Liquidity Black Holes

Liquidity Black Holes PDF Author: Avinash Persaud
Publisher:
ISBN: 9781904339137
Category : Asset-liability management
Languages : en
Pages : 272

Book Description
This cutting-edge volume brings together a range of leading academics and market practitioners to help you define, understand and measure liquidity risk and 'liquidity black holes'.

Liquidity Black Holes

Liquidity Black Holes PDF Author: Stephen Morris
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

Book Description
Traders with short horizons and privately known trading limits interact in a market for a risky asset. Risk-averse, long horizon traders supply a downward sloping residual demand curve that face the short-horizon traders. When the price falls close to the trading limits of the short horizon traders, selling of the risky asset by any trader increases the incentives for others to sell. Sales become mutually reinforcing among the short term traders, and payoffs analogous to a bank run are generated. A "liquidity black hole" is the analogue of the run outcome in a bank run model. Short horizon traders sell because others sell. Using global game techniques, this paper solves for the unique trigger point at which the liquidity black hole comes into existence. Empirical implications include the sharp V-shaped pattern in prices around the time of the liquidity black hole.

Liquidity Black Holes

Liquidity Black Holes PDF Author: Avinash Persaud
Publisher:
ISBN:
Category : Bank liquidity
Languages : en
Pages : 24

Book Description


Liquidity Black Holes

Liquidity Black Holes PDF Author: Avinash D. Persaud
Publisher:
ISBN:
Category :
Languages : en
Pages :

Book Description


Dynamic Hedging

Dynamic Hedging PDF Author: Nassim Nicholas Taleb
Publisher: John Wiley & Sons
ISBN: 9780471152804
Category : Business & Economics
Languages : en
Pages : 536

Book Description
Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.

The Risks of Financial Institutions

The Risks of Financial Institutions PDF Author: Mark Carey
Publisher: University of Chicago Press
ISBN: 0226092984
Category : Business & Economics
Languages : en
Pages : 670

Book Description
Until about twenty years ago, the consensus view on the cause of financial-system distress was fairly simple: a run on one bank could easily turn to a panic involving runs on all banks, destroying some and disrupting the financial system. Since then, however, a series of events—such as emerging-market debt crises, bond-market meltdowns, and the Long-Term Capital Management episode—has forced a rethinking of the risks facing financial institutions and the tools available to measure and manage these risks. The Risks of Financial Institutions examines the various risks affecting financial institutions and explores a variety of methods to help institutions and regulators more accurately measure and forecast risk. The contributors--from academic institutions, regulatory organizations, and banking--bring a wide range of perspectives and experience to the issue. The result is a volume that points a way forward to greater financial stability and better risk management of financial institutions.

Risk and Liquidity

Risk and Liquidity PDF Author: Hyun Song Shin
Publisher: OUP Oxford
ISBN: 0191613835
Category : Business & Economics
Languages : en
Pages : 205

Book Description
This book presents the Clarendon Lectures in Finance by one of the leading exponents of financial booms and crises. Hyun Song Shin's work has shed light on the global financial crisis and he has been a central figure in the policy debates. The paradox of the global financial crisis is that it erupted in an era when risk management was at the core of the management of the most sophisticated financial institutions. This book explains why. The severity of the crisis is explained by financial development that put marketable assets at the heart of the financial system, and the increased sophistication of financial institutions that held and traded the assets. Step by step, the lectures build an analytical framework that take the reader through the economics behind the fluctuations in the price of risk and the boom-bust dynamics that follow. The book examines the role played by market-to-market accounting rules and securitisation in amplifying the crisis, and draws lessons for financial architecture, financial regulation and monetary policy. This book will be of interest to all serious students of economics and finance who want to delve beneath the outward manifestations to grasp the underlying dynamics of the boom-bust cycle in a modern financial system - a system where banking and capital market developments have become inseparable.

Understanding Risk

Understanding Risk PDF Author: David Murphy
Publisher: CRC Press
ISBN: 9781584888949
Category : Business & Economics
Languages : en
Pages : 472

Book Description
Sound risk management often involves a combination of both mathematical and practical aspects. Taking this into account, Understanding Risk: The Theory and Practice of Financial Risk Management explains how to understand financial risk and how the severity and frequency of losses can be controlled. It combines a quantitative approach with a

Measuring and Managing Liquidity Risk

Measuring and Managing Liquidity Risk PDF Author: Antonio Castagna
Publisher: John Wiley & Sons
ISBN: 1119990246
Category : Business & Economics
Languages : en
Pages : 600

Book Description
A fully up-to-date, cutting-edge guide to the measurement and management of liquidity risk Written for front and middle office risk management and quantitative practitioners, this book provides the ground-level knowledge, tools, and techniques for effective liquidity risk management. Highly practical, though thoroughly grounded in theory, the book begins with the basics of liquidity risks and, using examples pulled from the recent financial crisis, how they manifest themselves in financial institutions. The book then goes on to look at tools which can be used to measure liquidity risk, discussing risk monitoring and the different models used, notably financial variables models, credit variables models, and behavioural variables models, and then at managing these risks. As well as looking at the tools necessary for effective measurement and management, the book also looks at and discusses current regulation and the implication of new Basel regulations on management procedures and tools.

The Anatomy of a Crash

The Anatomy of a Crash PDF Author: Sascha Strobl
Publisher:
ISBN:
Category :
Languages : en
Pages : 30

Book Description
We analyze the behavior of both the bid-ask spread and the depth of ETF options during the May 6th, 2010 Flash Crash. During the Flash Crash stub quotes (maximum quote size allowed) consistently occurred for more than 90% of the ETF option series examined in this study. Correspondingly, the best bid-ask depth for these options completely disappeared for several minutes during the Flash Crash, showing that all liquidity had totally disappeared from the market. Even after the stock market recovered from the Flash Crash the option spreads were significantly larger and the depth smaller compared to before the crash. Such a sudden decline in prices, expansion of bid-ask quotes, and removal of depth with no apparent associated news event is called a “liquidity black hole” and occurs more often than publicly reported.