Measuring and managing liquidity risk in the Hungarian practice

Acerbi, C. — Stefek, D. — Szekeres, Z. (2011): Toward Liquidity Metrics. Financial Market Liquidity Conference. Budapest, 10–11 November 2001.

Szekeres Z. , '', in Financial Market Liquidity Conference. Budapest, 10–11 November 2001 , (2011 ) -.

Szekeres Z. Financial Market Liquidity Conference. Budapest, 10–11 November 2001 2011 )| false

Bangia, A. — Diebold, F. X. — Schuermann, T. — Stroughair, J. D. (1998): Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management. Financial Institutions Center at The Wharton School Working Paper 99-06.

Stroughair J. D. , '', in Financial Institutions Center at The Wharton School Working Paper 99-06 , (1998 ) -.

Stroughair J. D. Financial Institutions Center at The Wharton School Working Paper 99-06 1998 )| false

Bank for International Settlements (1999): Market Liquidity: Research Findings and Selected Policy Implications. Committee on the Global Financial System, Publications No. 11.

'', in Committee on the Global Financial System , (1999 ) -.

Committee on the Global Financial System 1999 )| false

Basel Committee (2008): Principles for Sound Liquidity Risk Management and Supervision. Basel: Bank for International Settlement.

'', in Principles for Sound Liquidity Risk Management and Supervision , (2008 ) -.

Principles for Sound Liquidity Risk Management and Supervision 2008 )| false

Berkowitz, J. (2000): Incorporating Liquidity Risk into Value at Risk Models. Working paper, University of California, Irvine.

Berkowitz J. , '', in Incorporating Liquidity Risk into Value at Risk Models , (2000 ) -.

Berkowitz J. Incorporating Liquidity Risk into Value at Risk Models 2000 )| false

Bouchaud, J.-P. — Farmer, J. D. — Lillo, F. — des Meurisiers, O. (2008): How Markets Slowly Digest Changes in Supply and Demand. In: Hens, T. — Schenk-Hoppe, K. (eds): Handbook of Financial Markets: Dynamics and Evolution. Amsterdam: Elsevier.

Meurisiers O. , '', in Handbook of Financial Markets: Dynamics and Evolution , (2008 ) -.

Meurisiers O. Handbook of Financial Markets: Dynamics and Evolution 2008 )| false

Brunnermeier, M. K — Pedersen, L. H. (2009): Market Liquidity and Funding Liquidity. The Review of Financial Studies 22(6): 2201–2238.

Pedersen L. H. , 'Market Liquidity and Funding Liquidity ' (2009 ) 22 The Review of Financial Studies : 2201 -2238 .

Pedersen L. H. Market Liquidity and Funding Liquidity The Review of Financial Studies 2009 22 2201 2238 )| false
• Search Google Scholar

Budapest Stock Exchange (n.d.) Tõzsdei megbízások [Stock exchange orders] http://bet.hu/topmenu/befektetok/tozsde_lepesrol_lepesre/azonnali_piacismeretek/hogyan_kereskedjunk_a_tozsden/tozsdei_megbizasok, accessed 22 July 2014.

'', in Tõzsdei megbízások , (2014 ) -.

Tõzsdei megbízások 2014 )| false

Csávás, C. — Erhart, S. (2005): Likvidek–e a magyar pénzügyi piacok? — A deviza- és állampapír-piaci likviditás elméletben és gyakorlatban [Are Hungarian money markets liquid? — The liquidity of the foreign currency and the government security markets in theory and in practice]. MNB Working Paper 44.

Erhart S. , '', in Likvidek–e a magyar pénzügyi piacok? — A deviza- és állampapír-piaci likviditás elméletben és gyakorlatban , (2005 ) -.

Erhart S. Likvidek–e a magyar pénzügyi piacok? — A deviza- és állampapír-piaci likviditás elméletben és gyakorlatban 2005 )| false

Francios-Heude, A. — Van Wynandaeale, P. (2001): Integrating Liquidity Risk in a Parametric Intraday VaR Framework. Working Paper.

Wynandaeale P. , '', in Integrating Liquidity Risk in a Parametric Intraday VaR Framework , (2001 ) -.

Wynandaeale P. Integrating Liquidity Risk in a Parametric Intraday VaR Framework 2001 )| false

Gabaix, X. — Gopikrishnan, P. — Plerou, V. — Stanley, H. E. (2003): A Theory of Power-law Distributions in Financial Market Fluctuations. Nature 423: 267–270.

Stanley H. E. , 'A Theory of Power-law Distributions in Financial Market Fluctuations ' (2003 ) 423 Nature : 267 -270 .

Stanley H. E. A Theory of Power-law Distributions in Financial Market Fluctuations Nature 2003 423 267 270 )| false
• Search Google Scholar

Gomber, P. — Shcweikert, U. (2002): The Market Impact — Liquidity Measure in Electronic Securities Trading. Die Bank 7/2002.

Shcweikert U. , 'The Market Impact — Liquidity Measure in Electronic Securities Trading ' (2002 ) 7 Die Bank : 2002 -.

Shcweikert U. The Market Impact — Liquidity Measure in Electronic Securities Trading Die Bank 2002 7 2002 )| false
• Search Google Scholar

Gyarmati, Á. — Michaletzky, M. — Váradi, K. (2010a): Liquidity on the Budapest Stock Exchange 2007–2010. Budapest Stock Exchange Working Paper, http://ssrn.com/abstract=1784324, accessed 22 July 2014.

Váradi K. , '', in Liquidity on the Budapest Stock Exchange 2007–2010 , (2010 ) -.

Váradi K. Liquidity on the Budapest Stock Exchange 2007–2010 2010 )| false

Gyarmati, Á. — Michaletzky, M. — Váradi, K. (2010b): The Budapest Liquidity Measure and its Application Liquidity Risk in VaR Measures. Budapest Stock Exchange Working Paper, http://ssrn.com/abstract=1784348, accessed 22 July 2014.

Váradi K. , '', in The Budapest Liquidity Measure and its Application Liquidity Risk in VaR Measures , (2010 ) -.

Váradi K. The Budapest Liquidity Measure and its Application Liquidity Risk in VaR Measures 2010 )| false

Havran, D. (2010): A vállalati likviditáskezelés [Corporate liquidity management]. Unpublished dissertation, Corvinus University of Budapest.

Havran D. , '', in A vállalati likviditáskezelés , (2010 ) -.

Havran D. A vállalati likviditáskezelés 2010 )| false

Jarrow, R. — Subrahmanyam, A. (1997): Mopping up Liquidity. Risk 10(12): 170–173.

Subrahmanyam A. , 'Mopping up Liquidity ' (1997 ) 10 Risk : 170 -173 .

Subrahmanyam A. Mopping up Liquidity Risk 1997 10 170 173 )| false
• Search Google Scholar

Jorion, P. (2007): Value at Risk: The Benchmark of Controlling Market Risk, 3rd ed., McGraw-Hill Publishing Co.

Jorion P. , '', in Value at Risk: The Benchmark of Controlling Market Risk , (2007 ) -.

Jorion P. Value at Risk: The Benchmark of Controlling Market Risk 2007 )| false

Kutas, G. — Végh, R. (2005): A Budapesti Likviditási Mérték bevezetésérõl [About the introduction of the Budapest liquidity measure]. Közgazdasági Szemle 52(7–8): 686–711.

Végh R. , 'A Budapesti Likviditási Mérték bevezetésérõl ' (2005 ) 52 Közgazdasági Szemle : 686 -711 .

Végh R. A Budapesti Likviditási Mérték bevezetésérõl Közgazdasági Szemle 2005 52 686 711 )| false
• Search Google Scholar

Lawrence, C. — Robinson, G. (1997): Liquidity Measures. Risk 8(7): 52–55.

Robinson G. , 'Liquidity Measures ' (1997 ) 8 Risk : 52 -55 .

Robinson G. Liquidity Measures Risk 1997 8 52 55 )| false
• Search Google Scholar

Marer, P. (2010): The Global Economic Crisis: Impacts on Eastern Europe. Acta Oeconomica 60(1): 3–33.

Marer P. , 'The Global Economic Crisis: Impacts on Eastern Europe ' (2010 ) 60 Acta Oeconomica : 3 -33 .

Marer P. The Global Economic Crisis: Impacts on Eastern Europe Acta Oeconomica 2010 60 3 33 )| false
• Search Google Scholar

Monostori, Z. (2013): Crisis on the Hungarian Government Bond Markets in the Winter of 2011–2012: Was There a Liquidity Problem? Society and Economy 35(4): 539–550.

Monostori Z. , 'Crisis on the Hungarian Government Bond Markets in the Winter of 2011–2012: Was There a Liquidity Problem ' (2013 ) 35 Society and Economy : 539 -550 .

Monostori Z. Crisis on the Hungarian Government Bond Markets in the Winter of 2011–2012: Was There a Liquidity Problem Society and Economy 2013 35 539 550 )| false
• Search Google Scholar

NYSE (n.d.) NYSE Trading Information. http://www.nyse.com/pdfs/fact_sheet_nyse_orders.pdf, accessed 22 July 2014.

'', in NYSE Trading Information , (2014 ) -.

NYSE Trading Information 2014 )| false

Radnai, M. — Vonnák, D. (2009): Likviditási kockázat az Európai Tõkemegfelelési Direktíva tervezett módosításában [Liquidity risk in the planned modification of the European Capital Adequacy Directive]. Hitelintézeti Szemle 8: 248–256.

Vonnák D. , 'Likviditási kockázat az Európai Tõkemegfelelési Direktíva tervezett módosításában ' (2009 ) 8 Hitelintézeti Szemle : 248 -256 .

Vonnák D. Likviditási kockázat az Európai Tõkemegfelelési Direktíva tervezett módosításában Hitelintézeti Szemle 2009 8 248 256 )| false
• Search Google Scholar

Shin, H. S. (2005): Financial System Liquidity, Asset Prices and Monetary Policy. The Changing Nature of Business Cycle Conference, Kirribilli, 11–12 July, 2005.

Shin H. S. , '', in The Changing Nature of Business Cycle Conference, Kirribilli, 11–12 July, 2005 , (2005 ) -.

Shin H. S. The Changing Nature of Business Cycle Conference, Kirribilli, 11–12 July, 2005 2005 )| false

Váradi, K. (2012): Liquidity Risk on Stock Markets — Statistical Analysis and Possible Application of the Budapest Liquidity Measure. Unpublished dissertation, Corvinus University of Budapest.

Váradi K. , '', in Liquidity Risk on Stock Markets — Statistical Analysis and Possible Application of the Budapest Liquidity Measure , (2012 ) -.

Váradi K. Liquidity Risk on Stock Markets — Statistical Analysis and Possible Application of the Budapest Liquidity Measure 2012 )| false

Von Wyss, R. (2004): Measuring and Predicting Liquidity in the Stock Market. Unpublished dissertation, Universität St. Gallen.

Wyss R. , '', in Measuring and Predicting Liquidity in the Stock Market , (2004 ) -.

Wyss R. Measuring and Predicting Liquidity in the Stock Market 2004 )| false