Liquidity Adjusted VaR: Solved Example
1. Context
In this video from FRM Part 2 curriculum, we employ a solved example to explain and calculate liquidity trading risk via cost of liquidation and liquidity adjusted VaR (LVaR). This video is included in the FRM Part 2 preparation course. The details of the reading in which this topic appears are given below:
| Area | Liquidity and Treasury Risk |
| Reading | Liquidity Risk |
| Reference | Chapter 24. Liquidity Risk In Risk Management and Financial Institutions (Hoboken, NJ: John Wiley & Sons, 2018). |