New challenges in managing Liquidity risk - Liquidity Black Holes
| Thesis title: | New challenges in managing Liquidity risk - Liquidity Black Holes |
|---|---|
| Author: | Holovka, Martin |
| Thesis type: | Diploma thesis |
| Supervisor: | Witzany, Jiří |
| Opponents: | Burešová, Jana |
| Thesis language: | English |
| Abstract: | Following the financial turmoil in 2007/2008 liquidity black holes (LBH) has become arising topic often discussed among academics as well as portfolio managers all around the world. More recent view on liquidity risk covers those liquidity black holes which occur when the liquidity completely dries up in a particular market and the market becomes one-sided. There are basically 2 channels through which liquidity can be affected - Demand and Supply. In first case, the portfolios of investors lose the value and consequently the investors lose confidence in financial system. In the second case, banks hit their capital constraints, they tighten the terms of providing credits and loans to reduce the credit risk exposure and hence it becomes more difficult for firms to raise the funds. At this point dangerous spiral arises and the liquidity of financial system evaporates rapidly. The crucial point of this master thesis is to find the main determinants of Liquidity Black holes and find possible solutions to avoid their appearance. |
| Keywords: | liquidity; risk; Black Holes |
| Thesis title: | New challenges in managing Liquidity risk - Liquidity Black Holes |
|---|---|
| Author: | Holovka, Martin |
| Thesis type: | Diplomová práce |
| Supervisor: | Witzany, Jiří |
| Opponents: | Burešová, Jana |
| Thesis language: | English |
| Abstract: | V návaznosti na financní krizi v letech 2007/2008 se pojem "Liquidity Black Holes" stal casto diskutovaným tématem v akademických kruzích, stejne tak jako mezi portfolio manažeri po celém svete. Novejší pohled na likviditní riziko bere v potaz "Liquidity Black Holes", které se objevují, když likvidita zcela zmizí z urcitého trhu a ten se tak stává jednostranný. V zásade existují 2 kanály, pres které muže být ovlivnena likvidita -- kanál poptávky a nabídky. V prvním prípade, portfolia investoru ztrácí hodnotu a v dusledku toho investori ztrácí duveru ve financní systém. V druhém prípade je postižen kapitál bank, a tyto instituce poté zprísní podmínky poskytování úveru a pujcek, tak aby snížily úverovou expozici, což nakonec vede k obtížnejšímu prístupu jednotlivých korporací ke zdroji financních prostredku. V tomto momente vzniká nebezpecná spirála a likvidita celého financního systému se muže zcela vytratit. Cílem této diplomové práce je zjistit hlavní faktory "Liquidity Black Holes" a hledat možná rešení, aby se zabránilo jejich vzniku. |
| Keywords: | riziko; černá díra; likvidita |
Information about study
| Study programme: | Finance a účetnictví/Finance |
|---|---|
| Type of study programme: | Magisterský studijní program |
| Assigned degree: | Ing. |
| Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
| Faculty: | Faculty of Finance and Accounting |
| Department: | Department of Banking and Insurance |
Information on submission and defense
| Date of assignment: | 26. 1. 2010 |
|---|---|
| Date of submission: | 31. 5. 2010 |
| Date of defense: | 14. 9. 2010 |
| Identifier in the InSIS system: | https://insis.vse.cz/zp/24336/podrobnosti |