Title:

Chosen measures for pricing liquidity

Group publication title:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

Creator:

Dziwok, Ewa

Subject and Keywords:

liquidity risk ; liquidity measures ; term structure ; miary płynności ; struktura terminowa

Description:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu = Research Papers of Wrocław University of Economics, 2017, Nr 482, s. 29-35

Abstrakt:

The financial crisis of the years 2007-2009 showed that especially liquidity risk was underestimated or was not taken seriously into account. The existing liquidity measures proved to be inadequate or incorrectly used. For this reason, the alternative measures should be considered. The aim of the article is to investigate specific liquidity measures using a sample of daily data. The attention is focused in particular on the yield curve fitting error, precisely on the root mean squared error. The analysis covers the time series of errors calculated from daily WIBOR data and yield curve construction using two types of parametric models – Nelson- Siegel and Svensson. By employing the selected liquidity measures on the Polish financial market, one can find evidence of its changing level in case of market disturbances

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2017

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/pn.2017.482.03

Language:

eng

Relation:

Wrocław Conference in Finance: Contemporary Trends and Challenges ; Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu = Research Papers of Wrocław University of Economics; 2017; Nr 482

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu