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First order price risks show themselves in their impact on the appraised value of holdings on the basis of marking their value to market prices. This does not take into account whether such values could actually be realized and how quickly. Specific realization risks include the following:

Liquidity and price impact. Liquidity and price impact risks are determined by the size of a bank’s position in a particular financial instrument against its trading volume. When liquidity is relatively thin and the position relatively large unwinding the position may have a direct adverse impact on market prices for the instrument. It is possible to unwind, liquidate or hedge positions virtually instantaneously in certain positions, such as foreign exchange, where markets are very deep. Other positions may be virtually impossible to unwind quickly. OTCs, for example, usually have only one market-maker and the holders of such contracts are exposed to both price impact and liquidity risks. Scheduled trading hours. Some markets, such as the foreign exchange market, are open for trading 24 hours a day, 7 days a week around the year. This is not the case with many exchanges that have definite trading hours, are usually closed at weekends and on local public holidays. Stock markets in some emerging markets open only one morning a week! Automatic dampers. Automatic dampers exist in many markets and are intended to stabilize prices of stocks that have gone into freefall. Trading in individual stocks is suspended when they fall by a specified amount (often referred to as limit-down) in a single trading session. Trading resumes after a defined cool-down period. In some markets other restrictions exist such as the prohibition of shorting stocks when prices are falling. Exchange suspension. In extreme circumstances exchanges, financial regulators or governments may act to suspend trading on exchanges or to prohibit certain otherwise legitimate financial transactions. Exchanges may be closed as a result of panic selling or for other reasons such as civil disorder or terrorist action. Stock markets in countries with tropical climates
are often forced to close as a result of natural weather conditions such as hurricanes or typhoons.
Market crashes. When prices of financial instruments fall sharply this can trigger further selling as a result of margin calls and prices hitting trigger levels of automated computer trading systems. In many market crashes trading volumes rise sharply and then collapse. At these moments of exceptionally high volumes exchange systems’ capacity is tested to the  limits. If an exchange’s trading system crashes then all trading activities will grind to a halt. Settlement failures. Even when trades can be completed there remains the risk that they cannot be settled. Back-office settlement systems, both human and automated, are severely tested at these times. Most settlement failures require human intervention to resolve and may also have a knock-on effect with one failure leading to successive failures. It can take days to clear such backlogs. Counterparty risks. Counterparty risks are an ever-present concern for banks. Losses experienced by counterparties from a widespread collapse in asset prices may affect their ability to make the payments due on their trades and other exposures they have with the bank.
In “normal” circumstances realization risks need to be managed but are rarely the source of material losses. When markets crash, however, they become of vital importance. Realization risks are highest when their potential impact is greatest.