Financialriskmanagement金融风险管理.pptxVIP

Liquidity Risk;Definition;Liquidity Risk in Investing;Liquidity Risk in Economics;Formation reason;Significance of liquidity risk management;田岷 金融学4班 2012121433;What is Financial crisis;Types;Causes and consequences;Theories;;;;;;;Financial Crisis;The analysis of crisis during 07-09;The analysis of crisis during 07-09;Effects created by Financial crisis;Effects created by Financial crisis;Responses to financial crisis; In?finance,?liquidity risk?is the risk that a given security or asset cannot be traded quickly enough in the market to prevent a loss (or make the required profit).;Market liquidity – An asset cannot be sold due to lack of liquidity in the market – essentially a sub-set of market risk. —Widening bid/offer spread —Making explicit liquidity reserves —Lengthening holding period for VaR calculations Funding liquidity – Risk that liabilities: — Cannot be met when they fall due — Can only be met at an uneconomic price — Can be name-specific or systemic ;Liquidity gap: Culp defines the liquidity gap as the net liquid assets of a firm. The excess value of the firms liquid assets over its volatile liabilities. A company with a negative liquidity gap should focus on their cash balances and possible unexpected changes in their values. As a static measure of liquidity risk it gives no indication of how the gap would change with an increase in the firms marginal funding cost. Liquidity risk elasticity: Culp denotes the change of net of assets over funded liabilities that occurs when the liquidity premium on the banks marginal funding cost rises by a small amount as the liquidity risk elasticity. For banks this would be measured as a spread over libor, for nonfinancials the LRE would be measured as a spread over commercial paper rates. Problems with the use of liquidity risk elasticity are that it assumes parallel changes in funding spread across all ma