The value of liquidity. Can it be measured?

The issue of liquidity has arguably been central to most financial crises, although a concrete definition remains rather elusive. This feature report, released by RBC Dexia in partnership with RiskMetrics, provides valuable insights into the notion of liquidity against the backdrop of the liquidity constraints faced by asset managers.

The authors introduce a new framework for valuing and measuring liquidity, while reflecting the specific liquidity needs of the institution concerned. And a detailed case study clearly depicts the application and benefits of this approach.

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