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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 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

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_324813
Date January 2004
ContributorsYeung, Wing Chuen., Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, vii, 70 leaves : ill. ; 30 cm.
RightsUse 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/)

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