Identify and understand liquidity
1.meet it’s payment obligations 支付义务
Operational restricted contingent strategy
2.liquidity trading risk交易性流动风险
判断特征：
Tightness
Depth
Resiliency
三个计算流动性VaR公式
LVaR=VaR+Sinai/2
3.liquidity funding risk 融资风险
期限转换（借短投长），流动性转换
NSFR
LCR
4.market of collateral
补充保证金margin call
融券rebate
5.motivation of Repos
Repurchase price =Borrowed money *(1+repo rate/360)
做市商
FFR（无抵押回购利率）>GC>SC（早发行）>SC（新发行）
6.leverage
L=A/E
ROE=L*ROA-(L-1)Rdebet
7.liquidity black holes 流动性枯竭
Circuit braker 熔断
Positive feedback 追涨杀跌
Negative feedback →size/value价值投资，主流认可
Manage liquidity risk
1.net liquidity position
存在额-需求额
2.strategy 策略
Asset 卖资产，低风险低收益
Liability 借钱，高风险高收益
Balance 平衡
3.estimating liquidity risk 改良版
The structure of funds approach
Deposit: 活期95%，中间30%，定期15%
减去3%的法准后再乘百分比
Loan ：有贷款就需要计入100%
4. Calculating legal reserves 计算法准
LRA滞后计算，4.1-4.14 14天用于5.1-5.14
0~10.7m 0%
10.7~58.8m 3%
>58.8 10%
特例-0% CDs /Euro currency /non-personal time deposit
5.LTP introduction
吸储-司库-投资
6.The approach to LTP
Zero
Average
Match maturity
7.contingent liquidity risk pricing
Buffer
8.stress testing
ALCO
9.contingency funding planning
应急
10.liquidity risk report
各种报告
Asset management and liquidity management
1.Invest instruments
MBB =covered bond 未出表
MBS出表
2.invest maturity strategies
Barbell strategy 投资前期和后期，中间不投，杠铃策略
1/n no opinion on money 均衡投资
3.The source of illiquidity market imperfections
Liquidity premiums 溢价
4.Bias on return of illiquid asset
Survivorship bias
Selection bias
Infrequent sampling
5.collect illiquidity risk premium
Dynamic rebalance:short call+short put
6.pricing different types of deposits
Transaction 服务费
无服务费 收益里面减去服务费
养老金账户不交税
7.challenges of deposit offering
Overdrafts 透支
8.sources of nodeposits
Federal funds market 使用其他银行超额准备金
Borrow from federal reserve bank 向央行借钱
CDs大额存单
9.AFG
Use-Source
10.costs of no deposit
Measure and monitor
1.early warning indicator
EWI dashboard:increase buffers before times of stress
2.use and sources of intraday liquidity 日间流动性
Use:outgoing wire transfer 最大数目
Sources:intraday credit
3.measurement of liquidity
Flow/amount
Ratio
4.Taxonomy of cash flow
Liquidity options:withdraw
5.cause of liquidity
TSECG 时点期望现金流
TSECCF 累计值
TSLGC基本为正
TSCLGC累计值
Interstate rate and liquidity phenomenon
1.The use dollar shortage
2.CIP violation
3.Asset liquidity
4.interstate sensitive gap management
5.duration
Factor Investing
1、The factor theory
Losses during bad time, risk premium in good time
CAPM:passive
APT: intrest rate, inflation, economic growth
2、Why inefficient
Rational explanation:wether these are actually in bad time
Behavioral explanation:under or overreaction
3、Factor:
（1）The first type:macro-fundamental-based factor
Except volatility ,others can’t trade
The reasons for correlation(return and volatility ) is negative
-Leverage
-Discount rate
-Insurance /protection (swap/buy put OTM/buy bonds)
（2）The second type:investment-style factor
Static factors:market factor -CAPM
-Dynamic factors:
Fama-French three factors:SMB HML-value positive feedback
-Momentum:negative feedback
3、Alpha
Factor regression
Low-risk anomaly
-Data Ming : data error
-Leverage constraints
-Agency problem :can’t short
-Preference
Portfolio construction
1、Judge
-Refining alpha:
scale the alpha =sigma*IC*score
Data cleaning
Neutralization : benchmark alpha b=0
-Transaction cost: R max-R min
-Practical issue : IR/2*TEV
2、Construction technique
-Screens
-Stratification
-Linear programming
-Quadratic programming
3、Measure
VaR=Z*sigma*w*Vp
VaR portfolio
MVaR=VaRp/Vp *beta(ip)
IVaR=MVaR*V portfolio
Component VaR=w(i p)*beta(ip)
Portfolio risk:risk measure and risk management
1、VaR application to different risk
-Absolute risk vs relative risk
TE=Rp-Rb,TEV=sigma(Rp-Rb)
-Policy mix risk/passive management
-Funding risk
surplus=delta A-delta B , SaR=Z*sigma
-Sponsor risk
Cash-flow risk ; economic risk
2、Risk budgeting
-Budgeting across Assets classes< total VaR
-Budgeting across manager
Global minimum: MVaRi=MVaRj, beta i=beta j ,beta add to 1
Sharpe ratio=Rp-Rb/sigma p
Liquidity duration =Q/0.15*V
Performance evaluation
Tool 1 : the great zone (good-green, normal-yellow, bad-red)
Tool 2 :The sharpe and Information Ratio
-TWR OWR
-TR SR IR Jensen’ s alpha
-M^2
Tool 3 :Alpha versus Benchmark
Tool 4 :Alpha versus Peer : T-test
Tool 5 :Attribution of Return
Market Timing Ability
Security selection or asset allocation
Hedge
1.Hedge fund vs mutual funds
2.Survival bias/self-selection bias/backfill bias=instant history
3.Strategy
-Directional strategies:
Managed futures (leverage)
Global macro(currency)
-Event-Driven strategies:
Risk arbitrage:acquisition
Distressed security
-Relative Value and Arbitrage like strategies :
Fixed Income Arbitrage:swap
Convertible :pure band+call on stock—short treasury+sell stock=net long gamma and Vega
Long/short Equity
-Niche strategies :
Dedicated short Bias
Emerging market:risk-return
Equity market neutral :zero beta
4.FOF: fund of hedge fund
5.Due diligence process -HF manager
6.Detecting fraud
