1、Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012流動性風險第 21 章 1流動性風險的類型交易流動性風險融資流動性風險Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 20122交易流動性風險一個特定資產的出售價格取決于以下因素資產的中間價格，或關于其價值的估計資產被出售的數量資產被變賣的速度經濟條件在2007年八月以后，投資者發現透明度也是一個影響流動性的因

2、素。Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 20123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 2012Offer PriceBid PriceQuantity4買入賣出差價Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C.

3、 Hull 20125受壓市場條件下的平倉費用Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 20126經流動性調整的風險價值度Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 20127優化平倉交易員交易q單位數量債券的買賣價差為p(q)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 qi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-1

4、qi)交易員的目標是選擇qi，使得下式最小Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 20128例21.3 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p(q) = a+becq 式中 a = 0.1, b = 0.05, 及 c = 0.03s = 0.1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, Chapter 21,

5、Copyright John C. Hull 20129Liquidity Funding RiskSources of liquidityLiquid assetsAbility to liquidate trading positionsWholesale and retail depositsLines of credit and the ability to borrow at short noticeSecuritizationCentral bank borrowingRisk Management and Financial Institutions 3e, Chapter 21

6、, Copyright John C. Hull 201210Basel III RegulationLiquidity coverage ratio: designed to make sure that the bank can survive a 30-day period of acute stressNet stable funding ratio: a longer term measure designed to ensure that stability of funding sources is consistent with the permanence of the as

7、sets that have to be fundedRisk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 201211Examples of Liquidity Funding ProblemsNorthern Rock (Business Snapshot 21.1)Ashanti Goldfields (Business Snapshot 21.2)Metallgesellschaft (Business Snapshot 21.3)Risk Management and Fin

8、ancial Institutions 3e, Chapter 21, Copyright John C. Hull 201212Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012Liquidity Black HolesA liquidity black hole occurs when most market participants want to take one side of the market and liquidity dries upExamples:C

9、rash of 1987 (Business Snapshot 21.4, page 464)British Insurance Companies (Business Snapshot 3.1)LTCM (Business Snapshot 19.1) 13Positive and Negative Feedback TradingA positive feedback trader buys after a price increase and sells after a price decreaseA negative feedback trader buys after a price

10、 decrease and sells after a price increasePositive feedback trading can create or accentuate a black holeRisk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 201214Reasons for Positive Feedback TradingComputer models incorporating stop-loss tradingDynamic hedging a short

11、 option positionCreating a long option position syntheticallyMargin callsRisk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 201215Risk Management and Financial Institutions 3e, Chapter 21, Copyright John C. Hull 2012The Impact of RegulationIf all financial institution

12、were regulated in the same way, they would tend to react in the same way to market movementsThis 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. Hull 201217Investors allowed to increase

13、 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 201218Investors 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 2012Is Liquidity Improving?Spreads are