wilmott.com

i'm trying to find PRACTICAL solution to junk bond liquidity monitoring. i've couple of points which are not perfectly clear for me, and would highly appreciate your recommendations:since i'm working on risk management rather than trading solution, i guess estimating current liquidity premium (if this at all makes sense) shouldnt be a priority for me. instead, i need to come up with some sort of liquidity risk proxy - such as portfolio sensitivity to "liquidity factors", or r^2 of multiple regression of historical ytm with liquidity proxies, or i don't know... any ideas?many associate liquidity risk (or even directly map it to) bid-ask spread. even if it were possible to observe bid-ask spreads for all the speculative grade bonds (in bloomberg these quotes are not always available), i wouldnt use it as the only proxy, because the bid-ask spread is instantaneous measure and does not really have predictive power on market depth - i.e. it might change in the next instant depending on the order flow... anybody any suggestions?

I'm interested in how one quantifies liquidty too. For eample a bond may not be actively traded yet it may be very liquid.I'm intrested from a collateral monitoring perspective.