... www.fgn.unisg.ch/public/public.htm How large is liquidity risk in an automated auction market ?1 Pierre Giot, Joachim Grammig Author’s address: 1Pierre Prof Dr Joachim Grammig Schweizerisches Institut für Banken und Finanzen... cooperation in the preparation of the datasets and Bogdan Manescu for research assistance Abstract We introduce a new empirical methodology that takes account of liquidity risk in a Value-atRisk framework,... framework, and quantify liquidity risk premiums for portfolios and individual stocks traded on the automated auction market Xetra which operates at various European exchanges When constructing liquidity