1、Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2019流動性風險流動性風險第 21 章 1流動性風險的類型流動性風險的類型l交易流動性風險l融資流動性風險Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 20192交易流動性風險交易流動性風險l一個特定資產的出售價格取決于以下因素l資產的中間價格，或關于其價值的估計l資產被出售的數量l資產被變賣的速度l經濟條件l在2

2、019年八月以后，投資者發現透明度也是一個影響流動性的因素。Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 20193買入賣出價作為交易數量的函數買入賣出價作為交易數量的函數Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2019Offer PriceBid PriceQuantity4買入賣出差價買入賣出差價Risk Management and Financia

3、l Institutions 3e, Chapter 21, Copyright John C. Hull 2019的貨幣價值.個產品相應頭寸i第為 率,i個產品的買賣價差比為某金融機構持有的第 量,式中，n為頭寸的總數21平倉費用的正常市場條件下市場中間價買入價 賣出價 ,買入賣出差價比率買入價 賣出價 ,值買入賣出差價的貨幣價1iiniiisssp5受壓市場條件下的平倉費用受壓市場條件下的平倉費用Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2019定義了差價的置信區間 ，

4、和標準差為買賣價差比率的均值和式中)(211iiiiini6經流動性調整的風險價值度經流動性調整的風險價值度Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2019niiiiniiis11)(21VaRVaR 受壓的經流動性調整的21VaRVaR 經流動性調整的7優化平倉優化平倉l交易員交易q單位數量債券的買賣價差為p(q)l假定中間市場價格的變化服從正態分布，每天變化標準差為s lqi為在第i天的交易量并且xi為第i天末交易員的頭寸 (xi = xi-1qi)l交易員的目標是選

5、擇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假定某交易員在5天內想將1億單位的某資產 頭寸進行平倉lp(q) = a+becq 式中 a = 0.1, b = 0.05, 及 c = 0.03ls = 0.1l當置信區間設定為95%，每天交易量分別為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