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