【风险管理】Ch15流动性风险（Liquidityrisk）.pptVIP

流动性风险管理的重要性 2007年中期开始的信用危机 偿付能力与流动性 北岩因流动性风险解体 应谨慎管理流动性风险 确保在最糟糕的情况下，仍能通过将资产转为现金，或通过外部拆借来取得现金以确保生存 * * * * * * * * * * * * * * * 流动性风险 Chapter 19Liquidity Risk * Types of Liquidity Risk Liquidity trading risk Liquidity funding risk 交易流动性和融资流动性 * Liquidity Trading Risk Price received for an asset depends on The mid market price（价格的估计） How much is to be sold How quickly it is to be sold The economic environment As we found in August 2007 transparency is factor that affects liquidity 资产转变为现金，产品的价格、产品的透明度 * Bid-Offer Spread As a Function of Quantity 卖出价、买入价和交易量 Offer Price Bid Price Quantity * 市场流动性的检测Bid-Offer Spread （差价） 比率、 正常市场交易组合平仓（流动）的费用 * Cost of Liquidation in Stressed Markets 在受压市场条件下的交易组合平仓的费用 * Liquidity-Adjusted VaR 建议在VaR的计算中加入流动性度量 * Unwinding a Position Optimally（优化平仓） Suppose dollar bid-offer spread as a function of units traded is p(q) Suppose standard deviation of mid-market price changes per day is s Suppose that qi is amount traded on day i and xi is amount held on day i (xi = xi-1?qi) Trader’s objective might be to choose the qi to minimize Risk Management and Financial Institutions 2e, Chapter 19, Copyright ? John C. Hull 2009 * Example 19.3 (page 391) A trader wishes to unwind a position in 100 million units over 5 days p(q) = a+becq with a = 0.1, b = 0.05, and c = 0.03 s = 0.1 With 95% confidence level the amounts that should be traded on successive days is 48.9, 30.0, 14.1, 5.1, and 1.9 Risk Management and Financial Institutions 2e, Chapter 19, Copyright ? John C. Hull 2009 * Liquidity Funding Risk Sources of liquidity Liquid assets Ability to liquidate trading positions Wholesale and retail deposits Lines of credit and the ability to borrow at short notice Securitization Central bank borrowing 融资流动性风险：是金融机构为满足现金需求时而产生的 * Examples of Liquidity Funding Problems Northern Rock (Business Snapshot 19.1) Ashanti Goldfields (Business Snapshot 19.2) Metallgesellschaft (Business Snapshot 19.3) 融资流动性风险实例 * 流动性黑洞 Liquidity Black Holes A