淺析金融市場流動性風(fēng)險
Financial market liquidity risk exploration

內(nèi)容摘要
收益和風(fēng)險是投資活動中必須考慮的兩個基本要素。這里所指的投資活動主要基于市場。而在整個市場體系中，金融市場是最基本的組成部分之一，是聯(lián)系其他市場的紐帶?？梢哉f金融市場的發(fā)展對整個市場體系的發(fā)展起著舉足輕重的制約作用。探索研究金融市場的流動性風(fēng)險也就顯得極具意義。
本篇論文將對金融市場流動性風(fēng)險這一課題進(jìn)行研究。文獻(xiàn)將從系統(tǒng)科學(xué)的角度出發(fā)，著眼于金融市場的整體，借用數(shù)學(xué)模型的方法結(jié)合數(shù)理統(tǒng)計及運籌學(xué)知識，來剖析金融市場流動性風(fēng)險的本質(zhì)及其所造成的影響，并結(jié)合計算機的應(yīng)用尋求最優(yōu)的規(guī)避風(fēng)險的方法，使投資者能夠在金融市場中獲得最優(yōu)的回報。
為了規(guī)避風(fēng)險，我們必須了解風(fēng)險的來源，流動性風(fēng)險的來源種類多樣，本文將主要研究對個體投資者和機構(gòu)投資者影響的因素，網(wǎng)絡(luò)信息的傳播對個體投資者心理的影響，進(jìn)而有可能導(dǎo)致的盲目投資與停頓滯后，造成的整個投資風(fēng)險。對批發(fā)資金來源和抵押品的依賴程度等因素對銀行等機構(gòu)投資者的影響力也比較大。辨別與規(guī)避風(fēng)險的方法也將在文中闡述。
關(guān)鍵詞：金融市場 流動性風(fēng)險 數(shù)學(xué)建模 投資回報



Abstract
Return and risk are two basic elements that must be considered investment activities. Investments referred to here is mainly based on the market. In the whole market system, the financial markets is the most basic part of one bond is linked to other markets. You can say that the development of financial markets on the development of the entire market system plays an important role in the constraints. Exploration and research of financial market liquidity risk also seems very meaningful.
This thesis will be liquidity risk in financial markets on the subject studied. Scientific literature from the system perspective, focusing on the financial markets as a whole, to borrow a combination of mathematical models and mathematical statistics, operations research knowledge to analyze the nature of liquidity risk in financial markets and its impact caused by the combined application of computer seek the best way to avoid the risk so that investors can get the best returns in the financial markets.
In order to avoid risks, we must understand the sources of risk, liquidity risk sources of species diversity, this paper will study the main factors affect the spread of individual investors and institutional investors, the impact of network information on the individual investor psychology, and thus it is possible blind investment and pause caused by lag, caused the entire investment risk. Dependence on wholesale funding sources and the degree of influence factors on collateral banks and other institutional investors are also relatively large. Identify and risk-averse approach will also be described in the text.
Keywords: Financial market Liquidity risk Mathematical Modeling Return on Investment
目錄
摘要
中文摘要........................................................................................................................3
英文摘要........................................................................................................................4
正文
第一章.緒論..................................................................................................................6
1.1選題背景和選題意義.........................................................................................6
1.2國內(nèi)外研究現(xiàn)狀...................................................................................7
1.3本文主要內(nèi)容和創(chuàng)新之處.....................................................................9
第二章.理論基礎(chǔ).........................................................................................9
2.1chi圖...................................................................................................9
2.2多元線性回歸理論..............................................................................10
2.3多主體系統(tǒng)理論.................................................................................13
第三章.影響流動性風(fēng)險的因素分析.........................................................................15
3.1問題提出與分析................................................................................................15
3.2模型建立............................................................................................................18
3.3模型的求解........................................................................................................18
第四章.結(jié)論.................................................................................................................21
4.1對風(fēng)險的總結(jié)....................................................................................................21
4.2對投資者的建議................................................................................................21
第五章小結(jié)............................................................................................................