Methods and systems to quantify and index liquidity risk in financial markets and risk management contracts thereon

A computer-implemented system for quantifying liquidity risk of a plurality of assets and monitoring an index of quantified liquidity risk for a financial market, the system comprising:

• a processor configured to:
• determine a plurality of estimates of liquidity, wherein a respective estimate in the plurality of estimates of liquidity corresponds to a respective asset from a plurality of assets and comprises at least one of a projected trade volume capacity for the respective asset, a projected price volatility for the respective asset, a projected time to liquidate for the respective asset, a projected time to cash conversion for the respective asset, a projected market price impact for the respective asset, and a projected liquidation cost for the respective asset;
• generate a plurality of quantified liquidity risk indicators by applying a transformation to one or more of the plurality of estimates of liquidity based on at least one of a statistical analysis, an econometric model, and a weighting scheme, wherein at least a portion of the plurality of quantified liquidity risk indicators comprise a plurality of respective ratios for each respective asset from the plurality of assets, and a respective quantified liquidity risk indicator in the plurality of quantified liquidity risk indicators corresponds to the respective asset from the plurality of assets and comprises a ratio of two estimates of liquidity from the plurality of respective estimates for the respective asset;
• aggregate the plurality of ratios;
• generate an index based on aggregating the plurality of ratios for the plurality of assets;
• monitor changes corresponding to the index over a period of time;
• and
• generate a graphical user interface that is configured to display the monitored changes corresponding to index in real-time or based on a user-configurable time period.