08 Mar 2011
LIQUIDITY RISK and MARKET LIQUIDITY
Liquidity is related to the risk of not being able to execute a transaction at bid/ask market prices, due to the trade size and/or to the relative illiquidity of the underlying. We find liquidity issues at different levels in financial practice: in the day-by-day activity of a financial institution (e.g. managing the positions of a single trading desk, or in the definition of risk management policies) but also as the trigger of a large financial crisis: LTCM - bailed out by a consortium of 14 banks (and the FED) in 1998 - is one example, or more recently the cases of an insurance as AIG and a bank as Northern Rock are related to liquidity issues.
In this QFin Colloquia we focus on two different aspects of liquidity management: Prof. Scandolo proposes a framework which addresses the basic problem of liquidity risk, while Prof. Bouchaud introduces a new approach to market liquidity.
In this QFin Colloquia we focus on two different aspects of liquidity management: Prof. Scandolo proposes a framework which addresses the basic problem of liquidity risk, while Prof. Bouchaud introduces a new approach to market liquidity.
Scientific Committee
Emilio BARUCCI , Roberto BAVIERA , Daniele MARAZZINA , Carlo SGARRA
Local Organizing Committee
Claudio FONTANA, Eventimate
Politecnico di Milano, Dipartimento di Matematica, Aula Consiglio (7o piano)