Measuring, handling and monitoring liquidity risk.

• Other Authors: Yeung, Wing Chuen.
• Format: Others
• Language: English; Chinese
• Published: 2004
• Subjects: Liquidity (Economics); Risk management
• Online Access: http://library.cuhk.edu.hk/record=b5892077; http://repository.lib.cuhk.edu.hk/en/item/cuhk-324813

Yeung, Wing Chuen. === Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. === Includes bibliographical references (leaves 68-70). === Abstracts in English and Chinese. === Abstract --- p.i === Acknowledgement --- p.iii === Chapter 1 --- Introduction --- p.1 === Chapter 2 --- Background Study --- p.4 === Chapter 2.1 --- Liquidity Management --- p.4 === Chapter 2.2 --- Default Prediction Analysis --- p.7 === Chapter 2.3 --- The Merton Model --- p.10 === Chapter 3 --- Insolvency Model --- p.15 === Chapter 3.1 --- Insolvency Probability --- p.16 === Chapter 3.2 --- Factors Affecting Insolvency Probability --- p.19 === Chapter 3.3 --- Chapter Summary --- p.29 === Chapter 4 --- "Profitability, Liquidity and Insolvency" --- p.30 === Chapter 4.1 --- Profitability and Liquidity --- p.31 === Chapter 4.2 --- Modified Insolvency Probability --- p.34 === Chapter 4.3 --- Chapter Summary --- p.38 === Chapter 5 --- Decision on Optimal Liquidity Level --- p.39 === Chapter 5.1 --- Expected Loss in case of Insolvency --- p.40 === Chapter 5.2 --- Optimal Liquidity Level --- p.43 === Chapter 5.3 --- Numerical Example --- p.46 === Chapter 5.4 --- Chapter Summary --- p.49 === Chapter 6 --- Liquidity Strategies --- p.50 === Chapter 6.1 --- Liquidity Strategies --- p.51 === Chapter 6.2 --- Scenario Tests --- p.54 === Chapter 6.3 --- Chapter Summary --- p.59 === Chapter 7 --- Conclusions --- p.60 === Chapter A --- Fibonacci Algorithm --- p.62 === Chapter B --- Stimulation Results --- p.64 === Bibliography --- p.68