SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
QFsurvival
Topic Author
Posts: 40
Joined: September 11th, 2008, 8:57 am

How investment bank deal with liquidity risk?

September 18th, 2008, 12:43 am

I am a risk guy from a major investment bank. I just joined two months ago. So far, I have had good exposure to everything about market risk, some operational risk and even some credit exposure analysis. However, I haven't seen anything related to liquidity risk. Maybe we have the liquidity risk management but it is not my responsibility. Is there anyone have the industry experience to deal with liquidity risk? What is industry model or methodology to be used to analyze liquidity risk? Thanks,
 
User avatar
trackstar
Posts: 26746
Joined: August 28th, 2008, 1:53 pm

How investment bank deal with liquidity risk?

September 18th, 2008, 1:11 am

A few days ago, I mentioned this book on the Book Forum. Published this year.L'Habitant is well-respected in some circles and it seems like a good, if not cohesive collection of papers.The usual precautions about applying academic theory to the real world apply.Stock Market Liquidity
Last edited by trackstar on September 17th, 2008, 10:00 pm, edited 1 time in total.
 
User avatar
QFsurvival
Topic Author
Posts: 40
Joined: September 11th, 2008, 8:57 am

How investment bank deal with liquidity risk?

September 18th, 2008, 1:35 am

Thanks for your recommodation. I am based in asian pacific. It is not convinient for me to order a book. Is there any good paper so I can refer?
 
User avatar
trackstar
Posts: 26746
Joined: August 28th, 2008, 1:53 pm

How investment bank deal with liquidity risk?

September 18th, 2008, 2:25 am

Hi QF,Let's take this over to the Book Forum. If you pick up the thread on this book there, you will see a list of authors and essays.Again, the problem is that most of this work is very academic. In addition, as a collection of papers it provides a fragmented view of the field.Still, there are several chapters (Ch. 2, 7, and 16) that focus on Asian markets, so they might be useful to you.I'll keep an eye out for you on the Book Forum.
 
User avatar
TraderJoe
Posts: 11048
Joined: February 1st, 2005, 11:21 pm

How investment bank deal with liquidity risk?

September 18th, 2008, 9:07 pm

Jarrow and Protter have done some work on this, for example.
 
User avatar
pisia
Posts: 52
Joined: July 14th, 2002, 3:00 am

How investment bank deal with liquidity risk?

September 19th, 2008, 3:13 am

How do investments bank deal with liquidity risk? There are three main time-honored approaches:1. Go bankrupt2. Get taken over/sell themselves3. Close their eyes and hope for the bestThe literature on this is vast, just not very formal.
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On