Liquidity risk
The risk that a position cannot be closed at a sensible price when it needs to be: either no buyer is there, or the buyer wants a visible discount.
How to read the number
It shows itself in two ways — a wide spread in the order book on an ordinary day, and the disappearance of bids on the day everyone wants out at once.
When the metric lies
Average daily turnover is a poor guide. It was measured on days when the market was calm, and it will be needed on the day the calm ends.
Also known as: exit liquidity risk