第21章 流动性风险

RiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull2012流动性风险第21章1流动性风险的类型交易流动性风险融资流动性风险RiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull20122交易流动性风险一个特定资产的出售价格取决于以下因素资产的中间价格，或关于其价值的估计资产被出售的数量资产被变卖的速度经济条件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。RiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull20123买入卖出价作为交易数量的函数RiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull2012OfferPriceBidPriceQuantity4买入卖出差价RiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull2012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1iiniiisαssp5受压市场条件下的平仓费用RiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull2012定义了差价的置信区间，和标准差为买卖价差比率的均值和式中)(211iiiiini6经流动性调整的风险价值度RiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull2012niiiiniiis11)(21VaRVaR受压的经流动性调整的21VaRVaR经流动性调整的7优化平仓交易员交易q单位数量债券的买卖价差为p(q)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qi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-1−qi)交易员的目标是选择qi，使得下式最小RiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull2012niiiniiqpqx1122)(218例21.3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p(q)=a+becq式中a=0.1,b=0.05,及c=0.03=0.1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1.9RiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull20129LiquidityFundingRiskSourcesofliquidityLiquidassetsAbilitytoliquidatetradingpositionsWholesaleandretaildepositsLinesofcreditandtheabilitytoborrowatshortnoticeSecuritizationCentralbankborrowingRiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull201210BaselIIIRegulationLiquiditycoverageratio:designedtomakesurethatthebankcansurvivea30-dayperiodofacutestressNetstablefundingratio:alongertermmeasuredesignedtoensurethatstabilityoffundingsourcesisconsistentwiththepermanenceoftheassetsthathavetobefundedRiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull201211ExamplesofLiquidityFundingProblemsNorthernRock(BusinessSnapshot21.1)AshantiGoldfields(BusinessSnapshot21.2)Metallgesellschaft(BusinessSnapshot21.3)RiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull201212RiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull2012LiquidityBlackHolesAliquidityblackholeoccurswhenmostmarketparticipantswanttotakeonesideofthemarketandliquiditydriesupExamples:Crashof1987(BusinessSnapshot21.4,page464)BritishInsuranceCompanies(BusinessSnapshot3.1)LTCM(BusinessSnapshot19.1)13PositiveandNegativeFeedbackTradingApositivefeedbacktraderbuysafterapriceincreaseandsellsafterapricedecreaseAnegativefeedbacktraderbuysafterapricedecreaseandsellsafterapriceincreasePositivefeedbacktradingcancreateoraccentuateablackholeRiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull201214ReasonsforPositiveFeedbackTradingComputermodelsincorporatingstop-losstradingDynamichedgingashortoptionpositionCreatingalongoptionpositionsyntheticallyMargincallsRiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull201215RiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull2012TheImpactofRegulationIfallfinancialinstitutionwereregulatedinthesameway,theywouldtendtoreactinthesamewaytomarketmovementsThishasthepotentialtocreatealiquidityblackhole16TheLeveragingCycle(Figure21.2)RiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull201217InvestorsallowedtoincreasetoleverageTheybuymoreassetsAssetpricesincreaseLeverageofinvestorsdecreasesTheDeleveragingCycle(Figure21.3)RiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull201218InvestorsrequiredtoreduceleverageTheydothisisbysellingassetsAssetpricesdeclineLeverageofinvestorsincreasesRiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull2012IsLiquidityImproving?SpreadsarenarrowingButarguablytherisksofliquidityblackholesarenowgreaterthantheyusedtobeWeneedmorediversityinfinancialmarketswheredifferentgroupsofinvestorsareactingindependentlyofeachother19