《流动性风险》PPT课件.pptx
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1、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
2、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 Institutio
3、ns 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
4、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 a
5、nd 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 Manage
6、ment 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
7、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(Busine
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