第21章流动性风险ppt课件

1、Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2019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 20192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2

2、019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 20193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 2019Offer PriceBid PriceQuantity4买入卖出差价买入卖出差价Risk Management and Financia

3、l Institutions 3e, Chapter 21, Copyright John C. Hull 2019的货币价值.个产品相应头寸i第为 率,i个产品的买卖价差比为某金融机构持有的第 量,式中，n为头寸的总数21平仓费用的正常市场条件下市场中间价买入价 卖出价 ,买入卖出差价比率买入价 卖出价 ,值买入卖出差价的货币价1iiniiisssp5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 2019定义了差价的置信区间 ，

4、和标准差为买卖价差比率的均值和式中)(211iiiiini6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 2019niiiiniiis11)(21VaRVaR 受压的经流动性调整的21VaRVaR 经流动性调整的7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

5、择qi，使得下式最小Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2019niiiniiqpqx1122)(218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,

6、 Chapter 21, Copyright John C. Hull 20199Liquidity 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 Institu

7、tions 3e, Chapter 21, Copyright John C. Hull 201910Basel 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 th

8、e permanence of the assets that have to be fundedRisk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 201911Examples of Liquidity Funding ProblemslNorthern Rock (Business Snapshot 21.1)lAshanti Goldfields (Business Snapshot 21.2)lMetallgesellschaft (Business Snapshot 21.

9、3)Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 201912Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2019Liquidity Black HoleslA liquidity black hole occurs when most market participants want to take one side of the market and li

10、quidity 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 fe

11、edback 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 201914Reasons for Positive Feedback TradinglComputer models incorporating stop-l

12、oss tradinglDynamic hedging a short option positionlCreating a long option position syntheticallylMargin callsRisk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 201915Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2019The Impact of Re

13、gulationlIf 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. H

14、ull 201917Investors 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 201918Investors 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 2019Is Liquidity Improvin