International Reserves and Foreign Currency Liquidity: Guidelines for a Data Template, IMF Staff

Автор: Holmstr M. Bengt, Tirole Jean
Название: Inside and Outside Liquidity
ISBN: 0262518538 ISBN-13(EAN): 9780262518536
Издательство: MIT Press
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Цена: 28210.00 T
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Описание: Two leading economists develop a theory explaining the demand for and supply of liquid assets.

Автор: Banks
Название: Liquidity Risk
ISBN: 1403933995 ISBN-13(EAN): 9781403933997
Издательство: Springer
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Цена: 259950.00 T
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Описание: Liquidity Risk is a comprehensive treatment of the topic focusing on the nature of the risk, problems that arise in asset and funding liquidity and mechanisms that can be developed to monitor, measure and control such risks.

Автор: Foucault, Thierry
Название: Market Liquidity: Theory, Evidence, and Policy
ISBN: 0199936242 ISBN-13(EAN): 9780199936243
Издательство: Oxford Academ
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Цена: 66530.00 T
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Описание: The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. Market Liquidity offers a more accurate and authoritative take on liquidity and price discovery.

Автор: Gueant, Olivier
Название: Financial mathematics of market liquidity
ISBN: 1498725473 ISBN-13(EAN): 9781498725477
Издательство: Taylor&Francis
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Цена: 89820.00 T
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Описание:

This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems-inspired from the Almgren-Chriss approach-and then demonstrates the use of that framework across a wide range of areas.

The book introduces the classical tools of optimal execution and market making, along with their practical use. It also demonstrates how the tools used in the optimal execution literature can be used to solve classical and new issues where accounting for liquidity is important. In particular, it presents cutting-edge research on the pricing of block trades, the pricing and hedging of options when liquidity matters, and the management of complex share buy-back contracts.

What sets this book apart from others is that it focuses on specific topics that are rarely, or only briefly, tackled in books dealing with market microstructure. It goes far beyond existing books in terms of mathematical modeling-bridging the gap between optimal execution and other fields of Quantitative Finance.

The book includes two appendices dedicated to the mathematical notions used throughout the book. Appendix A recalls classical concepts of mathematical economics. Appendix B recalls classical tools of convex analysis and optimization, along with central ideas and results of the calculus of variations.

This self-contained book is accessible to anyone with a minimal background in mathematical analysis, dynamic optimization, and stochastic calculus. Covering post-electronification financial markets and liquidity issues for pricing, this book is an ideal resource to help investment banks and asset managers optimize trading strategies and improve overall risk management.

Автор: Langley, Paul (reader In Economic Geography, Durha
Название: Liquidity lost
ISBN: 0198778880 ISBN-13(EAN): 9780198778882
Издательство: Oxford Academ
Цена: 34840.00 T
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Описание: Contributing to interdisciplinary debates in cultural economy and the social studies of finance, and grounded in extensive empirical research, this book offers an innovative analysis of how the contemporary global financial crisis was governed. The focus is on the US and UK between 2007 and 2011

Автор: Erik Banks
Название: Liquidity Risk
ISBN: 113737439X ISBN-13(EAN): 9781137374394
Издательство: Springer
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Цена: 60550.00 T
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Описание: Liquidity Management is now a core consideration for banks and other financial institutions following the collapse of numerous well-known banks in 2007-8. This timely new edition will provide practical guidance on liquidity risk and its management - now mandatory under new regulation.

Автор: Vuorenmaa
Название: Lit and Dark Liquidity with Lost Time Data
ISBN: 1137432608 ISBN-13(EAN): 9781137432605
Издательство: Springer
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Цена: 55890.00 T
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Описание: Since the 2008 financial crisis, researchers and policy makers have been looking to empirical data to distil both what happened and how a similar event can be avoided in the future. In Lit and Dark Liquidity with Lost Time Data, Vuorenmaa analyses liquidity to better understand the crux of the financial crisis.

Автор: Leonard Matz
Название: Liquidity Risk Measurement and Management
ISBN: 1462892442 ISBN-13(EAN): 9781462892440
Издательство: Неизвестно
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Цена: 27570.00 T
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Автор: Andreas Behr
Название: Investment and Liquidity Constraints
ISBN: 3824491273 ISBN-13(EAN): 9783824491278
Издательство: Springer
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Цена: 69870.00 T
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Описание: During the last decade exploring the link between financial factors and investment has become a major field of theoretical and empirical publications. Firms in a weak financial position cannot raise capital at conditions that allow financing all profitable investment projects. Some empirical findings indicate that young, fast growing, low dividend paying firms face more liquidity constraints compared to other firms and therefore exhibit stronger reactions in investment to changes of their internal financial flow. If the credit conditions of firms will be influenced through expansionary or rather restrictive monetary conditions the cycle of real activity might be accelerated through these monetary conditions and the final effects might exceed the pure effects of the interest channel alone. In the analysis in hand the role of financial factors in the firm's investment decision is explored within the framework of the Q-theory of investment. The Q-theory is applied to a large database of German firms, covering balance sheet data for 2,314 German firms, thereof 1,342 manufacturing firms. This database, the Deutsche Bundesbank's Corporate Balance Sheet Statistics, gives the unique opportunity to analyze heterogeneity at the firm level, which is not possible using macro- or mesoeconomic data. Access to this data base was made possible during a stay at a visiting researcher in the research department at the Deutsche Bundesbank in 2002. I would like to thank Heinz Herrmann for his support and the fruitful discussions of questions arising during the research project.