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来源类型Working Paper
规范类型报告
DOI10.3386/w12887
来源IDWorking Paper 12887
Liquidity and Risk Management
Nicolae B. Garleanu; Lasse H. Pedersen
发表日期2007-02-06
出版年2007
语种英语
摘要This paper provides a model of the interaction between risk-management practices and market liquidity. On one hand, tighter risk management reduces the maximum position an institution can take, thus the amount of liquidity it can offer to the market. On the other hand, risk managers can take into account that lower liquidity amplifies the effective risk of a position by lengthening the time it takes to sell it. The main result of the paper is that a feedback effect can arise: tighter risk management reduces liquidity, which in turn leads to tighter risk management, etc. This can help explain sudden drops in liquidity and, since liquidity is priced, in prices in connection with increased volatility or decreased risk-bearing capacity.
主题Financial Economics ; Financial Markets
URLhttps://www.nber.org/papers/w12887
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/570553
推荐引用方式
GB/T 7714
Nicolae B. Garleanu,Lasse H. Pedersen. Liquidity and Risk Management. 2007.
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