Market Liquidity Risk Implications for Asset Pricing, Risk Managemen
Andria van der Merwe provides a thorough guide to the critical tools needed to navigate liquidity markets and value security pricing in the presence of market frictions and information asymmetries. This is essential reading for anyone with a current or fu
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Copyright material from www.palgraveconnect.com - licensed to HEC Montreal - PalgraveConnect - 2015-06-16
Market Liquidity Risk
10.1057/9781137389237 - Market Liquidity Risk, Andria van der Merwe
Copyright material from www.palgraveconnect.com - licensed to HEC Montreal - PalgraveConnect - 2015-06-16
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10.1057/9781137389237 - Market Liquidity Risk, Andria van der Merwe
Market Liquidity Risk
Andria van der Merwe
10.1057/9781137389237 - Market Liquidity Risk, Andria van der Merwe
Copyright material from www.palgraveconnect.com - licensed to HEC Montreal - PalgraveConnect - 2015-06-16
Implications for Asset Pricing, Risk Management, and Financial Regulation
market liquidity risk
Copyright © Andria van der Merwe, 2015. All rights reserved.
Where this book is distributed in the UK, Europe and the rest of the world, this is by Palgrave Macmillan, a division of Macmillan Publishers Limited, registered in England, company number 785998, of Houndmills, Basingstoke, Hampshire RG21 6XS. Palgrave Macmillan is the global academic imprint of the above companies and has companies and representatives throughout the world. Palgrave® and Macmillan® are registered trademarks in the United States, the United Kingdom, Europe and other countries. ISBN: 978–1–137–39044–8 Library of Congress Cataloging-in-Publication Data Van der Merwe, Andria. Market liquidity risk : implications for asset pricing, risk management and financial regulation / Andria van der Merwe. pages cm Includes bibliographical references and index. ISBN 978–1–137–39044–8 (hardcover : alk. paper) 1. Liquidity (Economics) 2. Finance. I. Title. HG178.V36 2015 332.0415—dc23
2014048241
A catalogue record of the book is available from the British Library. Design by Newgen Knowledge Works (P) Ltd., Chennai, India. First edition: June 2015 10 9 8 7 6 5 4 3 2 1 Printed in the United States of America.
10.1057/9781137389237 - Market Liquidity Risk, Andria van der Merwe
Copyright material from www.palgraveconnect.com - licensed to HEC Montreal - PalgraveConnect - 2015-06-16
First published in 2015 by PALGRAVE MACMILLAN® in the United States—a division of St. Martin’s Press LLC, 175 Fifth Avenue, New York, NY 10010.
Copyright material from www.palgraveconnect.com - licensed to HEC Montreal - PalgraveConnect - 2015-06-16
This book is dedicated to my parents for their love and support.
10.1057/9781137389237 - Market Liquidity Risk, Andria van der Merwe
Copyright material from www.palgraveconnect.com - licensed to HEC Montreal - PalgraveConnect - 2015-06-16
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10.1057/9781137389237 - Market Liquidity Risk, Andria van der Merwe
List of Figures
ix
List of Tables
xi
Preface
xiii
1 Musings on Liquidity
1
2 Financial Crises and Liquidity Traffic Jams
19
3 Market Structures and Institutional Arrangements of Trading
39
4 Asset Pricing and Market Liquidity
75
5 Stories of Liquidity and Credit
115
6 Financial Regulation and Liquidity Ri
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