ch10流动性风险资料教材.pptVIP

投资基金的流动性风险 共同基金、对冲基金 基金的净资产价值是市场价值，股东对基金的挤兑没有储户对银行存款挤兑那样积极。 如果基金被关闭后进行资产清理，其资产将按比例分配给股东，这与存款合约和保险合约“先到先得”的做法不同。 * Another example: In 2006, hedge fund, Amaranth had assets of $9.2 billion but lost $6.5 billion when its position in natural gas futures became too big to liquidate. The fund’s creditors forced a shutdown by threatening to cut off credit. * As a counterpoint to the proposal that technology improvements could reduce liquidity, note that any reduced liquidity resulting from herd behavior flies in the face of the efficient markets hypothesis. If all market participants desperately wi