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Judit Hevér

is a PhD student at the Department of Finance at Corvinus University of Budapest. She earned her Master’s Degree in Mathematical Finance at Corvinus University of Budapest in 2010. Before starting her PhD studies, she worked as an analyst for OTP Bank, Strategy Department. Her field of research is related to liquidity, market impact and portfolio valuation.

Péter Csóka

is an Associate Professor at the Corvinus University of Budapest, Department of Finance and a senior research fellow at the game theory research group of the Hungarian Academy of Sciences. He received his Ph.D. in economics from Maastricht University in 2008. His research topics include risk measures, risk capital allocation, various aspects of liquidity, and financial networks. He has papers published in journals like European Journal of Operational Research, Games and Economic Behaviour, and Journal of Banking and Finance.
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Carlo Acerbi

received a PhD in Theoretical Physics from the International School for Advanced Studies (SISSA - ISAS), Trieste, Italy, before turning to Finance in 1997. In the past he worked as a Risk Manager and a Financial Engineer for Italian banks, and as a senior expert in the risk practice of McKinsey & Co. He currently leads the research team on Liquidity Risk at MSCI. His main areas of interest in finance are risk management and derivatives pricing. He is the author of several papers in renowned international journals, focusing in particular on the theoretical foundations of financial risk and the extension of portfolio theory to illiquid markets. He is a member of the board of 'The Journal of Risk', an Executive Fellow of the Essex Business School and a honorary professor at Corvinus University of Budapest.


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Judit Hevér - Péter Csóka - Carlo Acerbi: The effect of systemic liquidity on market liquidity: a general equilibrium approach

Acerbi and Scandolo (2008) formalizes liquidity risk on the portfolio level to incorporate liquidity in the theory of coherent risk measures. In their theory, the value of an illiquid portfolio is defined by the marginal supply-demand curve (MSDC, corresponding to the order books) of the assets and a given liquidity policy (constraints imposed by an investor). Expanding their theory with no-arbitrage pricing arguments enables us to formalize a causal effect of systemic liquidity on market liquidity. We will use a general equilibrium model with transaction costs (using MSDCs) to formalize how liquidity circulates in the economy with and without extra capital requirements.

Last modified: 2018.11.30.