Securities Market Liquidity Risk Management

Author: Liu Heliang / Zhong Liming
Publisher:
Publish Date: 2006-01-01
Features: This book is the main research outcome of the authors' recent National Natural Science Foundation of China projects. Its content includes:
In-depth and systematic summary of research findings on liquidity risk measurement and management, proposing a microstructure model of price impact by trades under the order-driven mechanism;
Addressing the traditional VaR's neglect of liquidity risk and the shortcomings of existing research in measuring liquidity risk, designing a VaR considering endogenous liquidity risk (LrVaR) under the assumptions of geometric Brownian motion and arithmetic Brownian motion for stock prices, as well as linear price impact;
Using numerical and analytical methods to derive liquidation strategies that minimize LrVaR;
Deriving the optimal liquidation strategy based on mean-variance utility;
Providing the minimum average cost control strategy for institutional investors under funding constraints.
The book is rich in content, with exploratory, forward-looking, and practical significance, making it suitable for researchers, Ph.D. and master's students in finance, as well as relevant professionals to reference.