Market Liquidity Risk

This paper explains the StatPro approach for measuring Liquidity Risk. The traditional problem of Liquidity Risk is that the data needed for calibrating these models is only available for liquid instruments, trading on a regular basis and for which books of bid/ask and volumes are available. For this reason the current approaches to measuring Liquidity Risk fail providing any indication for the most opaque and illiquid instruments, or where the measurement of Liquidity Risk is mostly needed.

Dario Cintioli

Product Director

Dario joined StatPro in 2003 following StatPro’s investment in RiskMap. Dario was the original creator of StatPro Risk Management. He is an expert in risk management, fixed income attribution and reporting techniques, including ‘Value at Risk’, which provides a monetary measure of the risk of a portfolio.

Before establishing RiskMap and joining StatPro Dario spent 10 years in leading Italian financial institutions, as Head of Interest Rate Derivatives and Head of Quantitative Analysis. Today Dario is responsible for all StatPro’s products including software and data services.