| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12887 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w12887 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 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. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12887.pdf（156KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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