Forced Liquidation or Dislodgement Moratorium
نویسندگان
چکیده
منابع مشابه
Forced Liquidation of an Investment Portfolio
This problem, which I call the Scholes liquidation problem, is ubiquitous during unstable financial periods. Indeed, in the recent financial crisis, banks incurred large losses during the forced contraction of their balance sheets, as access to short-term financing through repo markets dried up (e.g., Adrian and Shin 2008; Brunnermeier 2009). A systemic deleveraging process propagated through t...
متن کاملLiquidation Risk
Turmoil in financial markets is often accompanied by a significant decrease in market liquidity. Here, we investigate how such key risk measures as likelihood of insolvency, value at risk, and expected tail loss respond to bid– ask spreads that are likely to widen just when positions must be liquidated to maintain capital ratios. Our results show that this sort of illiquidity causes significant...
متن کاملAdaptive basket liquidation
We consider the infinite time-horizon optimal basket portfolio liquidation problem for a von NeumannMorgenstern investor in a multi-asset extension of the liquidity model of Almgren (2003) with cross-asset impact. Using a stochastic control approach, we establish a “separation theorem”: the sequence of portfolios held during an optimal liquidation depends only on the (co-)variance and (cross-as...
متن کاملOptimal Security Liquidation Algorithms
This paper develops trading strategies for liquidation of a financial security which maximize the expected return. The problem is formulated as a stochastic programming problem, which utilizes the scenario representation of possible returns. Two cases are considered, a case with no constraint on risk and a case when the risk of losses associated with trading strategy is constrained by Condition...
متن کاملMomentum liquidation under partial information
Momentum is the notion that an asset that has performed well in the past will continue to do so for some period. We study the optimal liquidation strategy for a momentum trade in a setting where the drift of the asset drops from a high value to a smaller one at some random change-point. This change-point is not directly observable for the trader, but it is partially observable in the sense that...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: E-conom
سال: 2015
ISSN: 2063-644X
DOI: 10.17836/ec.2014.2.125