Thursday, July 30, 2009

Liquidity Risk and VAR in Financial Markets

Came across this really interesting presentation on liquidity risk in the financial markets (it's dated but still good). These 3 last slides jumped out:

Interestingly, the blow up in the credit spreads was the story of 2008. Are the other two crisis waiting to happen? Yes Toto, we're not in Kansas anymore.

Read the whole thing here:

Volatility VIX

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