Malz, Financial Risk Management: Chapter 12, Liquidity and Leverage, is covered in three separate instructional videos. We have divided the learning objectives for this chapter into three sections.
This third video is 36 minutes, and analyzes the following concepts:
* Explain methods to measure and manage funding liquidity risk and transactions liquidity risk.
* Calculate the expected transactions cost and spread risk factor for a transaction, and calculate the liquidity adjustment to VaR for a position to be liquidated over a number of trading days.
* Explain interactions between different types of liquidity risk and explain how liquidity risk events can increase systemic risk.