《流动性风险》PPT课件.pptx
Risk Management and Financial Institutions 3e,Chapter 21,Copyright John C.Hull 2012流动性风险流动性风险第 21 章 1流动性风险的类型流动性风险的类型l交易流动性风险l融资流动性风险Risk Management and Financial Institutions 3e,Chapter 21,Copyright John C.Hull 20122交易流动性风险交易流动性风险l一个特定资产的出售价格取决于以下因素l资产的中间价格，或关于其价值的估计l资产被出售的数量l资产被变卖的速度l经济条件l在2007年八月以后，投资者发现透明度也是一个影响流动性的因素。Risk Management and Financial Institutions 3e,Chapter 21,Copyright John C.Hull 20123买入卖出价作为交易数量的函数买入卖出价作为交易数量的函数Risk Management and Financial Institutions 3e,Chapter 21,Copyright John C.Hull 2012Offer PriceBid PriceQuantity4买入卖出差价买入卖出差价Risk Management and Financial Institutions 3e,Chapter 21,Copyright John C.Hull 20125受压市场条件下的平仓费用受压市场条件下的平仓费用Risk Management and Financial Institutions 3e,Chapter 21,Copyright John C.Hull 20126经流动性调整的风险价值度经流动性调整的风险价值度Risk Management and Financial Institutions 3e,Chapter 21,Copyright John C.Hull 20127优化平仓优化平仓l交易员交易q单位数量债券的买卖价差为p(q)l假定中间市场价格的变化服从正态分布，每天变化标准差为s lqi为在第i天的交易量并且xi为第i天末交易员的头寸(xi=xi-1qi)l交易员的目标是选择qi，使得下式最小Risk Management and Financial Institutions 3e,Chapter 21,Copyright John C.Hull 20128例例21.3 l假定某交易员在5天内想将1亿单位的某资产 头寸进行平仓lp(q)=a+becq 式中 a=0.1,b=0.05,及 c=0.03ls=0.1l当置信区间设定为95%，每天交易量分别为48.9,30.0,14.1,5.1,及1.9Risk Management and Financial Institutions 3e,Chapter 21,Copyright John C.Hull 20129Liquidity Funding RisklSources of liquiditylLiquid assetslAbility to liquidate trading positionslWholesale and retail depositslLines of credit and the ability to borrow at short noticelSecuritizationlCentral bank borrowingRisk Management and Financial Institutions 3e,Chapter 21,Copyright John C.Hull 201210Basel III RegulationlLiquidity coverage ratio:designed to make sure that the bank can survive a 30-day period of acute stresslNet stable funding ratio:a longer term measure designed to ensure that stability of funding sources is consistent with the permanence of the assets that have to be fundedRisk Management and Financial Institutions 3e,Chapter 21,Copyright John C.Hull 201211Examples of Liquidity Funding ProblemslNorthern Rock(Business Snapshot 21.1)lAshanti Goldfields(Business Snapshot 21.2)lMetallgesellschaft(Business Snapshot 21.3)Risk Management and Financial Institutions 3e,Chapter 21,Copyright John C.Hull 201212Risk Management and Financial Institutions 3e,Chapter 21,Copyright John C.Hull 2012Liquidity Black HoleslA liquidity black hole occurs when most market participants want to take one side of the market and liquidity dries uplExamples:lCrash of 1987(Business Snapshot 21.4,page 464)lBritish Insurance Companies(Business Snapshot 3.1)lLTCM(Business Snapshot 19.1)13Positive and Negative Feedback TradinglA positive feedback trader buys after a price increase and sells after a price decreaselA negative feedback trader buys after a price decrease and sells after a price increaselPositive feedback trading can create or accentuate a black holeRisk Management and Financial Institutions 3e,Chapter 21,Copyright John C.Hull 201214Reasons for Positive Feedback TradinglComputer models incorporating stop-loss tradinglDynamic hedging a short option positionlCreating a long option position syntheticallylMargin 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 RegulationlIf all financial institution were regulated in the same way,they would tend to react in the same way to market movementslThis 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 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?lSpreads are narrowinglBut arguably the risks of liquidity black holes are now greater than they used to belWe need more diversity in financial markets where different groups of investors are acting independently of each other19
