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After completing this reading, you should be able to:
- Explain and calculate liquidity trading risk via the cost of liquidation and liquidity-adjusted VaR (LVaR).
- Identify liquidity funding risk, funding sources, and lessons learned from real cases: Northern Rock, Ashanti Gold-fields, and Metallgesellschaft.
- Evaluate Basel III liquidity risk ratios and BIS principles for sound liquidity risk management.
- Explain liquidity black holes and identify the causes of positive feedback trading.
0:00 Introduction
0:43 Learning Objectives
1:53 What is Trading Liquidity Risk?
3:40 Bid-offer Spread
6:25 Tools used to Measure Market Liquidity
8:26 Cost of Liquidation
13:39 Liquidity Funding Risk
15:08 Sources of Liquidity
16:07 Liquidity Crisis at Northern Rock
18:00 Liquidity Crisis at Ashanti Goldfields
20:44 Liquidity Crisis at Metallgesellschaft
22:34 Basel III: Liquidity Coverage Ratio
24:23 BIS Principles for Sound Liquidity Risk Management
28:05 Liquidity Black Hole
29:47 Types of Traders
30:45 Reasons behind Positive Feedback Trading
31:19 BOOK 4 - Liquidity and Treasury Risk FRM Part II Measurement and Management
22 июл 2024
