Liquidity RiskMarket RiskPortfolio TheoryMSDC ModelsRisk MeasuresThe main aim of the thesis is to formulate a concept of liquidity risk and to incorporate liquidity risk in market risk measurement. We first review two types oTian, YuSocial Science Electronic Publishing...
针对市场流动性风险(Market Liquidity Risk),本公司及子公司衍生性金融商 品合约之名目本金通常系用以计算交易双方应收、 … www.showxiu.com|基于13个网页 2. 流动性风险管理部 ④市场和流动性风险管理部(Market Liquidity Risk):主要负责有关外汇 交易、证券、基金交易等金融衍生产品的风险控制。… ...
Liquidity Risk and Asset Prices Liquidity and Asset Prices 在之前的一些介绍中,我们知道了市场中存在的各种行为对于市场流动性的影响,而这个部分将更确切的学习流动性对于资产价格的影响。 在之前的介绍中,我们通常会认为流动性会影响资产的 bid-ask spread ,当然spread是市场流动性的一种具体的评估方式,然而实际上...
aIf we consider the impact of exchange rates and other things, the interest rates will be different between countries. 如果我们考虑交换率和其他事的冲击,利率将是不同的在国家之间。[translate] aIn order to decide whether to buy a euro or a dollar deposit, one must calculate the dollar return ...
流动性风险,可分为两类,funding liquidity和trading liquidity。前一种风险比较多的发生在履行清算或融资约定的时候,那么我们提前准备好足够的信用金,就能够控制这种风险,但是后一种风险,才是我们关注的重点。 交易风险,来源于我们没法按照既定的交易价格执行我们的交易,为什么会发生这种情况呢? 其实就是在当前时刻我们...
aLeading industry practices include giving the chief risk officer authority to monitor aggregate counterparty exposure, and to limit or reduce exposure in response to changes in credit, market, and liquidity risk tolerances. 主导产业实践包括给首要风险官员当局显示器聚集体counterparty曝光和极限或减少曝光以...
While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment of liquidity risk is still under development. This paper provides an overview on important aspects of market liquidity and its risk. We also survey ...
Market Liquidity and Funding Liquidity Liquidity Risk ManagementLiquidityLiquidationSystemic RiskLeverageMarginsHaircutsWe provide a model that links an asset's market liquidity (i.e., the ease ... MK Brunnermeier,LH Pedersen - 《Cepr Discussion Papers》 被引量: 6869发表: 2009年 Market liquidity ...
Investing in equity markets carries marketrisk(the risk of overall market declines), company-specific risk (the potential for a company's failure or underperformance), liquidity risk (not being able to sell shares quickly at a fair price), and economic risk (the risk of economic downturns or ...
The latter proved to be the case with perps because perceptions of the liquidity of the secondary market were permanently altered. In addition to providing new insights into why markets crash, our findings are particularly relevant for unseasoned financial products that are often priced and marketed ...