Liquidity Risk Management in the Avoidance of Another Financial Crisis

Mazin A. M. Al Janabi
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Abstract

The global financial crisis showed us that there is a need for appropriate identification and evaluation of implicit liquidity trading risks in investment portfolios. It is undeniable that many of the financial institution collapses, both in developed and emerging markets, as well as the subsequent financial turbulence, were, to a certain extent, caused by the impact of liquidity trading risk on structured stocks portfolios. Liquidity trading risk increases due to the incapability of financial institutions to liquidate their shares at a fair price during the settlement period. In the chapter “Liquidity risk management in emerging and Islamic markets” that I published as part of the Handbook of Empirical Research on Islam and Economic Life (Edward Elgar, 2017), edited by the renowned scholar Prof. M. Kabir Hassan, University of New Orleans, I empirically develop and test a strategy of measurement and exposure control of market/liquidity risks of investment portfolios that include illiquid capital shares in critical circumstances, proposing that there be a strategy for the establishment of maximum risk limits.
避免另一场金融危机的流动性风险管理
全球金融危机告诉我们,有必要对投资组合中的隐性流动性交易风险进行适当的识别和评估。不可否认,无论是发达市场还是新兴市场,许多金融机构的倒闭以及随之而来的金融动荡,在一定程度上都是流动性交易风险对结构性股票投资组合的影响造成的。由于金融机构无法在结算期间以公平价格清算其股份,流动性交易风险增加。在由新奥尔良大学著名学者M. Kabir Hassan教授编辑的《伊斯兰与经济生活实证研究手册》(爱德华·埃尔加,2017年)中,我出版了“新兴市场和伊斯兰市场的流动性风险管理”一章。在这一章中,我实证地开发并测试了一种衡量和暴露控制投资组合市场/流动性风险的策略,这些投资组合包括在关键情况下的非流动性资本股。建议有一个建立最大风险限制的策略。
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