liquidity analysis
Liquidity analysis is fast becoming a requirement in international risk management reporting.
Risk101 supplies trade volume data for numerous exchanges around the world, or alternatively this data can also be read in directly from Bloombergs.
Average daily volumes are calculated for a user-defined period, thus displaying
- Required days to liquidate the entire holding
- Required days to pull the weighting back in line with the index
- Long liquidity
- Short liquidity
- Total weighted days
In addition, a matrix shows the percentages of the portfolio with liquidation periods of 1-2 days, 2-5 days, etc.