Identify and understand liquidity

1.meet it’s payment obligations 支付義務(wù)

Operational restricted contingent strategy

2.liquidity trading risk交易性流動風(fēng)險(xiǎn)

判斷特征：

Tightness

Depth

Resiliency

三個(gè)計(jì)算流動性VaR公式

LVaR=VaR+Sinai/2

3.liquidity funding risk 融資風(fēng)險(xiǎn)

期限轉(zhuǎn)換（借短投長）芥牌，流動性轉(zhuǎn)換

NSFR

LCR

4.market of collateral

補(bǔ)充保證金margin call

融券rebate

5.motivation of Repos

Repurchase price =Borrowed money *(1+repo rate/360)

做市商

FFR（無抵押回購利率）>GC>SC（早發(fā)行）>SC（新發(fā)行）

6.leverage

L=A/E

ROE=L*ROA-(L-1)Rdebet

7.liquidity black holes 流動性枯竭

Circuit braker 熔斷

Positive feedback 追漲殺跌

Negative feedback →size/value價(jià)值投資阅束，主流認(rèn)可

Manage liquidity risk

1.net liquidity position

存在額-需求額

2.strategy 策略

Asset 賣資產(chǎn)呜叫，低風(fēng)險(xiǎn)低收益

Liability 借錢和悦，高風(fēng)險(xiǎn)高收益

Balance 平衡

3.estimating liquidity risk 改良版

The structure of funds approach

Deposit: 活期95%铆铆，中間30%沼溜，定期15%

減去3%的法準(zhǔn)后再乘百分比

Loan ：有貸款就需要計(jì)入100%

4. Calculating legal reserves 計(jì)算法準(zhǔn)

LRA滯后計(jì)算趟佃，4.1-4.14 14天用于5.1-5.14

0~10.7m 0%

10.7~58.8m 3%

>58.8 10%

特例-0% CDs /Euro currency /non-personal time deposit

5.LTP introduction

吸儲-司庫-投資

6.The approach to LTP

Zero

Average

Match maturity

7.contingent liquidity risk pricing

Buffer

8.stress testing

ALCO

9.contingency funding planning

應(yīng)急

10.liquidity risk report

各種報(bào)告

Asset management and liquidity management

1.Invest instruments

MBB =covered bond 未出表

MBS出表

2.invest maturity strategies

Barbell strategy 投資前期和后期例书，中間不投混驰，杠鈴策略

1/n no opinion on money 均衡投資

3.The source of illiquidity market imperfections

Liquidity premiums 溢價(jià)

4.Bias on return of illiquid asset

Survivorship bias

Selection bias

Infrequent sampling

5.collect illiquidity risk premium

Dynamic rebalance:short call+short put

6.pricing different types of deposits

Transaction 服務(wù)費(fèi)

無服務(wù)費(fèi) 收益里面減去服務(wù)費(fèi)

養(yǎng)老金賬戶不交稅

7.challenges of deposit offering

Overdrafts 透支

8.sources of nodeposits

Federal funds market 使用其他銀行超額準(zhǔn)備金

Borrow from federal reserve bank 向央行借錢

CDs大額存單

9.AFG

Use-Source

10.costs of no deposit

Measure and monitor

1.early warning indicator

EWI dashboard:increase buffers before times of stress

2.use and sources of intraday liquidity 日間流動性

Use:outgoing wire transfer 最大數(shù)目

Sources:intraday credit

3.measurement of liquidity

Flow/amount

Ratio

4.Taxonomy of cash flow

Liquidity options:withdraw

5.cause of liquidity

TSECG 時(shí)點(diǎn)期望現(xiàn)金流

TSECCF 累計(jì)值

TSLGC基本為正

TSCLGC累計(jì)值

Interstate rate and liquidity phenomenon

1.The use dollar shortage

2.CIP violation

3.Asset liquidity

4.interstate sensitive gap management

5.duration

Factor Investing

1攀隔、The factor theory

Losses during bad time, risk premium in good time

CAPM:passive

APT: intrest rate, inflation, economic growth

2、Why inefficient

Rational explanation:wether these are actually in bad time

Behavioral explanation:under or overreaction

3栖榨、Factor:

（1）The first type:macro-fundamental-based factor

Except volatility ,others can’t trade

The reasons for correlation(return and volatility ) is negative

-Leverage

-Discount rate

-Insurance /protection (swap/buy put OTM/buy bonds)

（2）The second type:investment-style factor

Static factors:market factor -CAPM

-Dynamic factors:

?Fama-French three factors:SMB HML-value positive feedback

-Momentum:negative feedback

3昆汹、Alpha?

Factor regression?

Low-risk anomaly

-Data Ming : data error

-Leverage constraints?

-Agency problem :can’t short?

-Preference?

Portfolio construction?

1、Judge

-Refining alpha:

scale the alpha =sigma*IC*score

Data cleaning?

Neutralization : benchmark alpha b=0

-Transaction cost: R max-R min

-Practical issue : IR/2*TEV

2婴栽、Construction technique

-Screens

-Stratification?

-Linear programming?

-Quadratic programming?

3满粗、Measure?

VaR=Z*sigma*w*Vp

VaR portfolio

MVaR=VaRp/Vp *beta(ip)

IVaR=MVaR*V portfolio

Component VaR=w(i p)*beta(ip)

Portfolio risk:risk measure and risk management?

1、VaR application to different risk

-Absolute risk vs relative risk

TE=Rp-Rb,TEV=sigma(Rp-Rb)

-Policy mix risk/passive management

-Funding risk

surplus=delta A-delta B , SaR=Z*sigma?

-Sponsor risk

Cash-flow risk ; economic risk

2愚争、Risk budgeting?

-Budgeting across Assets classes< total VaR

-Budgeting across manager?

Global minimum: MVaRi=MVaRj, beta i=beta j ,beta add to 1

Sharpe ratio=Rp-Rb/sigma p

Liquidity duration =Q/0.15*V

Performance evaluation

Tool 1 : the great zone (good-green, normal-yellow, bad-red)

Tool 2 :The sharpe and Information Ratio

-TWR OWR

-TR SR IR Jensen’ s alpha

-M^2

Tool 3 :Alpha versus Benchmark?

Tool 4 :Alpha versus Peer : T-test

Tool 5 :Attribution of Return?

Market Timing Ability?

Security selection or asset allocation

Hedge

1.Hedge fund vs mutual funds?

2.Survival bias/self-selection bias/backfill bias=instant history

3.Strategy?

-Directional strategies:

Managed futures (leverage)

Global macro(currency)

-Event-Driven strategies:

Risk arbitrage:acquisition

Distressed security?

-Relative Value and Arbitrage like strategies :

Fixed Income Arbitrage:swap

Convertible :pure band+call on stock—short treasury+sell stock=net long gamma and Vega

Long/short Equity?

-Niche strategies :

Dedicated short Bias

Emerging market:risk-return

Equity market neutral :zero beta?

4.FOF: fund of hedge fund?

5.Due diligence process -HF manager

6.Detecting fraud