MarketLiquidityandFundingLiquidity MarkusK.Brunnermeier PrincetonUniversity LasseHejePedersen NewYorkUniversity Weprovideamodelthatlinksanasset’smarketliquidity(i.e.,theeasewithwhichitis traded)andtraders’fundingliquidity(i.e.,theeasewithwhichtheycanobtainfunding). Tradersprovidemarketliquidity,andtheirability...
Liquidity Risk ManagementLiquidityLiquidationSystemic RiskLeverageMarginsHaircutsWe provide a model that links an asset's market liquidity; i.e., the ease with which it is traded; and traders' funding liquidity, i.e. the ease with which they can obtain funding. Traders provide market liquidity, ...
A.The use of a purchased asset as collateral to borrow money against is referred to as market liquidity.B.A decline in a source of funding has the same effect as a decrease in margin.C.A loss spiral is a negative function of market liquidity.D.In a margin spiral, a trader initiates ...
We provide a model that links a security's market liquidity — i.e., the ease of trading it — and traders' funding liquidity — i.e., their availability of funds. Traders provide market liquidity and their ability to do so depends on their funding, that is, their capital and the marg...
Funding risk (statement III) and trading-related risk (statement I) are two types of liquidity risk. 第2 题 平均正确率 :0% 您的答案:未作答 正确答案:D 解析: Asset liquidity risk is a function of the size of the position and the intrinsic liquidity of the instrument. Distressed securities...
Market Liquidity and Funding Liquidity Market Liquidity and Funding Liquidity∗ Markus K.Brunnermeier†Princeton University Lasse Heje Pedersen‡New York University β-Revision:August2006 Abstract We provide a model that links a assets’market liquidity—i.e.,the ease of trading it—and traders’...
市场流动性(Market Liquidity) 主要用在证券交易语境下,流动性通常指以接近共识价值(consensus value)的价格快速交易证券的能力。市场流动性即本书所主要讨论的流动性。 资金流动性(Funding Liquidity) 在银行或公司的语境下,流动性通常指拥有足够现金,或有能力以较低成本、较低风险获得信贷资金。 资金流动性与市场流动...
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摘要: This paper provides evidence on the interaction between hedge funds' performance and their market liquidity risk and funding liquidity risk. Using a 2-state Mar关键词: Market Liquidity Funding Liquidity Hedge Fund Performance Liquidity Regimes Regime Switching Liquidity Spirals ...
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