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1、Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012,1,流动性风险,第 21 章,流动性风险的类型,交易流动性风险 融资流动性风险,Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012,2,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
2、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 2012,3,Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012,4,买入卖出价作为交易数量的函数,Offer Price,Bid Price,Quantity,买入卖出差价,Risk Management and Financial Institutions 3e, Chapt
3、er 21, Copyright John C. Hull 2012,5,Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012,6,受压市场条件下的平仓费用,Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012,7,经流动性调整的风险价值度,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s qi为
4、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) 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 2012,8,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 s = 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1.9,Risk Management a
5、nd Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012,9,Liquidity Funding Risk,Sources of liquidity Liquid assets Ability to liquidate trading positions Wholesale and retail deposits Lines of credit and the ability to borrow at short notice Securitization Central bank borrowing,Risk
6、Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012,10,Basel III Regulation,Liquidity coverage ratio: designed to make sure that the bank can survive a 30-day period of acute stress Net stable funding ratio: a longer term measure designed to ensure that stability of fun
7、ding sources is consistent with the permanence of the assets that have to be funded,Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012,11,Examples of Liquidity Funding Problems,Northern Rock (Business Snapshot 21.1) Ashanti Goldfields (Business Snapshot 21.2) Meta
8、llgesellschaft (Business Snapshot 21.3),Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012,12,Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012,Liquidity Black Holes,A liquidity black hole occurs when most market participants w
9、ant to take one side of the market and liquidity dries up Examples: Crash of 1987 (Business Snapshot 21.4, page 464) British Insurance Companies (Business Snapshot 3.1) LTCM (Business Snapshot 19.1),13,Positive and Negative Feedback Trading,A positive feedback trader buys after a price increase and
10、sells after a price decrease A negative feedback trader buys after a price decrease and sells after a price increase Positive feedback trading can create or accentuate a black hole,Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012,14,Reasons for Positive Feedback
11、 Trading,Computer models incorporating stop-loss trading Dynamic hedging a short option position Creating a long option position synthetically Margin calls,Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012,15,Risk Management and Financial Institutions 3e, Chapter
12、 21, Copyright John C. Hull 2012,The Impact of Regulation,If all financial institution were regulated in the same way, they would tend to react in the same way to market movements This has the potential to create a liquidity black hole,16,Risk Management and Financial Institutions 3e, Chapter 21, Co
13、pyright John C. Hull 2012,17,The Leveraging Cycle (Figure 21.2),Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012,18,The Deleveraging Cycle (Figure 21.3),Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012,Is Liquidity Improving?,Spreads are narrowing But arguably the risks of liquidity black holes are now greater than they used to be We need more diversity in financial markets where different groups of investors are acting independently of each other,19,
