Author

Paolo Santucci de Magistris

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Preprint Sep 2026

Illiquidity at Risk

Market efficiency relies fundamentally on stable liquidity. Consequently, forecasting liquidity dynamics is a priority for both investors and regulators. We introduce a new tail-risk metric, Illiquidity-at-Risk (IlliQaR), designed to quantify the magnitude of extreme liquidity dry-ups. Relying upon the realized Amihud...

Demetrio Lacava, Paolo Santucci de Magistris · 0 citations