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1、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
2、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
3、5受压市场条件下的平仓费用RiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull20126经流动性调整的风险价值度RiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull20127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sqi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
4、选择qi，使得下式最小RiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull20128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=0.03s=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.Hull20129
5、LiquidityFundingRiskSourcesofliquidityLiquidassetsAbilitytoliquidatetradingpositionsWholesaleandretaildepositsLinesofcreditandtheabilitytoborrowatshortnoticeSecuritizationCentralbankborrowingRiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull201210BaselII
6、IRegulationLiquiditycoverageratio:designedtomakesurethatthebankcansurvivea30-dayperiodofacutestressNetstablefundingratio:alongertermmeasuredesignedtoensurethatstabilityoffundingsourcesisconsistentwiththepermanenceoftheassetsthathavetobefundedRiskManagementandFinancialInstitu
7、tions3e,Chapter21,Copyright©JohnC.Hull201211ExamplesofLiquidityFundingProblemsNorthernRock(BusinessSnapshot21.1)AshantiGoldfields(BusinessSnapshot21.2)Metallgesellschaft(BusinessSnapshot21.3)RiskManagementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull201212RiskMan
8、agementandFinancialInstitutions3e,Chapter21,Copyright©JohnC.Hull2012Liquidi
