第21章-流動(dòng)性風(fēng)險(xiǎn)

1、Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012流動(dòng)性風(fēng)險(xiǎn)第 21 章 1流動(dòng)性風(fēng)險(xiǎn)的類型交易流動(dòng)性風(fēng)險(xiǎn)融資流動(dòng)性風(fēng)險(xiǎn)Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 20122交易流動(dòng)性風(fēng)險(xiǎn)一個(gè)特定資產(chǎn)的出售價(jià)格取決于以下因素資產(chǎn)的中間價(jià)格，或關(guān)于其價(jià)值的估計(jì)資產(chǎn)被出售的數(shù)量資產(chǎn)被變賣的速度經(jīng)濟(jì)條件在2007年八月以后，投資者發(fā)現(xiàn)透明度也是一個(gè)影響流動(dòng)性的因

2、素。Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 20123買入賣出價(jià)作為交易數(shù)量的函數(shù)Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012Offer PriceBid PriceQuantity4買入賣出差價(jià)Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C.

3、 Hull 20125受壓市場(chǎng)條件下的平倉(cāng)費(fèi)用Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 20126經(jīng)流動(dòng)性調(diào)整的風(fēng)險(xiǎn)價(jià)值度Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 20127優(yōu)化平倉(cāng)交易員交易q單位數(shù)量債券的買賣價(jià)差為p(q)假定中間市場(chǎng)價(jià)格的變化服從正態(tài)分布，每天變化標(biāo)準(zhǔn)差為s qi為在第i天的交易量并且xi為第i天末交易員的頭寸 (xi = xi-1

4、qi)交易員的目標(biāo)是選擇qi，使得下式最小Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 20128例21.3 假定某交易員在5天內(nèi)想將1億單位的某資產(chǎn) 頭寸進(jìn)行平倉(cāng)p(q) = a+becq 式中 a = 0.1, b = 0.05, 及 c = 0.03s = 0.1當(dāng)置信區(qū)間設(shè)定為95%，每天交易量分別為48.9, 30.0, 14.1, 5.1, 及1.9Risk Management and Financial Institutions 3e, Chapter 21,

5、Copyright John C. Hull 20129Liquidity Funding RiskSources of liquidityLiquid assetsAbility to liquidate trading positionsWholesale and retail depositsLines of credit and the ability to borrow at short noticeSecuritizationCentral bank borrowingRisk Management and Financial Institutions 3e, Chapter 21

6、, Copyright John C. Hull 201210Basel III RegulationLiquidity coverage ratio: designed to make sure that the bank can survive a 30-day period of acute stressNet stable funding ratio: a longer term measure designed to ensure that stability of funding sources is consistent with the permanence of the as

7、sets that have to be fundedRisk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 201211Examples of Liquidity Funding ProblemsNorthern Rock (Business Snapshot 21.1)Ashanti Goldfields (Business Snapshot 21.2)Metallgesellschaft (Business Snapshot 21.3)Risk Management and Fin

8、ancial Institutions 3e, Chapter 21, Copyright John C. Hull 201212Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012Liquidity Black HolesA liquidity black hole occurs when most market participants want to take one side of the market and liquidity dries upExamples:C

9、rash of 1987 (Business Snapshot 21.4, page 464)British Insurance Companies (Business Snapshot 3.1)LTCM (Business Snapshot 19.1) 13Positive and Negative Feedback TradingA positive feedback trader buys after a price increase and sells after a price decreaseA negative feedback trader buys after a price

10、 decrease and sells after a price increasePositive feedback trading can create or accentuate a black holeRisk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 201214Reasons for Positive Feedback TradingComputer models incorporating stop-loss tradingDynamic hedging a short

11、 option positionCreating a long option position syntheticallyMargin callsRisk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 201215Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012The Impact of RegulationIf all financial institution

12、were regulated in the same way, they would tend to react in the same way to market movementsThis has the potential to create a liquidity black hole16The Leveraging Cycle (Figure 21.2)Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 201217Investors allowed to increase

13、 to leverageThey buy more assetsAsset prices increaseLeverage of investors decreasesThe Deleveraging Cycle (Figure 21.3)Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 201218Investors required to reduce leverageThey do this is by selling assetsAsset prices declineLeverage of investors increasesRisk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012Is Liquidity Improving?Spreads are