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Liquidity at risk

From Wikipedia, the free encyclopedia

The Liquidity-at-Risk (short: LaR) is a quantity to measure financial risks and is the maximum net liquidity drain relative to the expected liquidity position which should not be exceeded at a given confidence level (e.g. 95%). The LaR is analog to the Value-at-Risk (VaR) where a quantile of the EBIT-distribution is considered, however it does take stochastic cash flows into account.[1][2]

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Statistical measures for financial risk are not intuitive. Increasing the confidence level (e.g. from 99.0% to 99.9%) does not capture very rare events with possibly high impact. The only way around is to use extreme value theory for modelling the distribution tails. In other words: Statistical liquidity risk modelling approaches do not provide certainty in terms of a reliable lower limit for future liquidity.

See also


  1. ^ "Liquidity-at-Risk (LaR) of a German private bank". Buxtehude, Germany: RC Banken-Consulting GmbH & Co. KG. 2011. Retrieved 12 January 2016.
  2. ^ Conzen, Sander (6 September 2009). Liquidity at Risk (LaR) und LiquidityValue at Risk (LVaR): Zwei neue Ansätze für das Liquiditätsmanagement (in German) (Frankfurt School of Finance & Management ed.). Hamburg, Germany: Diplomica. ISBN 978-3-8366-3500-4. Retrieved 12 January 2016.
This page was last edited on 12 January 2016, at 13:56
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