Liquidity-adjusted Intraday Value at Risk modeling and risk management: by using Vector Auto Regression (VAR)

Value at risk (VaR) risk assessment and diagnosis method that uses standard statistical techniques that are routinely used in other technical fields, is used. The contract, the value at risk in a given period the maximum expected loss at a given confidence level is measured. This article is designed to measure a sequence of high-risk deals with the calculation of Liquidity-adjusted Intraday (LIVaR). Hence, our goal is clear review aspects related to the size of the company's internal liquidity. With the reconstruction of classified information, and significant changes in real output and efficiency without friction (planned) occurred and these two variables were modeled jointly. Risk related to planned cash expenses, was determined at a later stage.