Bundesbank paper calls for inclusion of endogenous liquidity in accounts
A working paper published by the Deutsche Bundesbank today (December 11) says endogenous liquidity is an important omission from the valuation of portfolios.
The researchers, Philippe Durand, Yalin Gündüz and Isabelle Thomazeau, define endogenous liquidity as the risk that the realised price of a transaction may be different from the expected price. Incorporating endogenous liquidity into valuations is "feasible and realistic", they say, but is not currently required by the International
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