Measuring, handling and monitoring liquidity risk.
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 Stud...
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ndltd-cuhk.edu.hk-oai-cuhk-dr-cuhk_3248132019-03-05T03:33:07Z Measuring, handling and monitoring liquidity risk. Liquidity (Economics) Risk management 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 Yeung, Wing Chuen. Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management. 2004 Text bibliography print vii, 70 leaves : ill. ; 30 cm. cuhk:324813 http://library.cuhk.edu.hk/record=b5892077 eng chi Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) http://repository.lib.cuhk.edu.hk/en/islandora/object/cuhk%3A324813/datastream/TN/view/Measuring%2C%20handling%20and%20monitoring%20liquidity%20risk.jpghttp://repository.lib.cuhk.edu.hk/en/item/cuhk-324813 |
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Liquidity (Economics) Risk management |
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Liquidity (Economics) Risk management Measuring, handling and monitoring liquidity risk. |
description |
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 |
author2 |
Yeung, Wing Chuen. |
author_facet |
Yeung, Wing Chuen. |
title |
Measuring, handling and monitoring liquidity risk. |
title_short |
Measuring, handling and monitoring liquidity risk. |
title_full |
Measuring, handling and monitoring liquidity risk. |
title_fullStr |
Measuring, handling and monitoring liquidity risk. |
title_full_unstemmed |
Measuring, handling and monitoring liquidity risk. |
title_sort |
measuring, handling and monitoring liquidity risk. |
publishDate |
2004 |
url |
http://library.cuhk.edu.hk/record=b5892077 http://repository.lib.cuhk.edu.hk/en/item/cuhk-324813 |
_version_ |
1718990100491141120 |