Hyun Song Shin:Risk and Liquidity

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Hyun Song Shin is the Hughes-Rogers Professor of Economics at Princeton University.
Before coming to Princeton in 2006, he was Professor of Finance at the London School of Economics.
His current research interests are in financial economics with particular reference to financial institutions, disclosures, risk and financial stability issues, topics on which he has published widely both in academic and practitioner outlets.
He has served as editor or editorial board member of several scholarly journals, and has served in an advisory capacity to central banks and policy organizations on financial stability issues. He is a fellow of the Econometric Society and of the British Academy.

Risk and Liquidity, 2008 Clarendon Lectures in Finance, Oxford University Press

Table of Contents

1 Nature of Financial Risk

2 Value-at-Risk and Capital

2.1 Portfolio Choice under VaR Constraint

2.2 Upward-Sloping Demand Reactions

2.3 Notes on Further Reading

3 Boom and Bust Driven by Value-at-Risk

3.1 General Equilibrium with Value-at-Risk

3.2 Pricing of Risk and Credit Supply

3.3 Long-Short Strategy Hedge Fund

3.4 Hedge Fund with VaR Constraint

3.5 Endogenous Risk

3.6 Notes on Further Reading

4 Dynamic Hedging

4.1 Portfolio Insurance

4.2 Delta hedging

4.2.1 Examples without Feedback

4.2.2 Examples with Feedback

4.3 Stock Market Crash of 1987

5 Asset-Liability Management

5.1 Review of Basic Concepts

5.2 Example of Pension Fund

5.3 Example of Ivy College

5.4 Prices as Signals for Investment

6 Financial System

6.1 Accounting Framework

6.2 Realised Allocations

6.2.1 Nature of the Problem

6.2.2 Unique Value of Realised Debt

6.3 Market Value of Debt

6.3.1 Financial System Accounting Identities

6.3.2 Banking Sector Leverage

7 Lending Booms

7.1 Credit Risk Model

7.2 Value-at-Risk and Balance Sheet Management

7.3 Credit Boom

7.4 Global Imbalances

7.5 Foreign Holding of US Debt Securities

7.6 Related Literature

8 Case of Northern Rock

8.1 Background

8.2 Securitisation Process

8.3 The Run on Northern Rock

8.4 Reassessing the Run on Northern Rock

8.5 Implications for Financial Regulation

9 Securitisation and the Financial System

9.1 Accounting Framework Revisited

9.2 Boom Scenario

9.3 Bust Scenario

9.4 Prescriptions

9.5 Size of Banking Sector

10 A Fresh Start

This book presents the Clarendon Lectures in Finance by one of the leading exponents of financial booms and crises. Hyun Song Shin's work has shed light on the recent global financial crisis and he has been a central figure in the policy debates.
The paradox of the global financial crisis is that it erupted in an era when risk management was at the core of the management of the most sophisticated financial institutions. This book explains why. The severity of the crisis is explained by financial development that put marketable assets at the heart of the financial system, and the increased sophistication of financial institutions that held and traded the assets. Step by step, the lectures build an analytical framework that take the reader through the economics behind the fluctuations in the price of risk and the boom-bust dynamics that follow. The book examines the role played by market-to-market accounting rules and securitisation in amplifying the crisis, and draws lessons for financial architecture, financial regulation and monetary policy.
This book will be of interest to all serious students of economics and finance who want to delve beneath the outward manifestations to grasp the underlying dynamics of the boom-bust cycle in a modern financial system - a system where banking and capital market developments have become inseparable.

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关键词：Liquidity Liquid Hyun Shin Risk Risk Liquidity song Shin Hyun

看过了，是本好书 ，但很难

有谁看过的，可以简单的介绍一下Hyun Song Shin的书的理论逻辑？

thx a lot!!!

Nice to read

这书一学期下来只是参考…………老师疯了

这本书作者Shin，原来搞物理的，后来转到经济做博弈论。起初在LSE，后来到princeton。他在博弈上重要的贡献是提了一个所谓的global game theory，并且用这一理论解释了金融危机的发生机理。Allen的understanding financial crisis里面简单阐述了global game,有兴趣的可去关注下 。      Shin在次贷危机后，又各种被追捧，因为确实他算是金融危机，或者金融风险理论的领军人物。此书主要是讲危机后金融风险管理应当如何发展的问题，本次危机是流动性短缺危机，这是公认的结论，但为何单个机构的流动性短缺会有如此大的传染效应？Shin的观点就是通过价格反馈（书中叫“价格共振”），就是价格变了，银行资产负债表缩了，跟银行相关联的机构的资产负债表也缩了，又因为存在杠杆（杠杆和抵押是应当考虑进现代金融的，这是Yale的 John Geanakoplos的主要工作，网易上有他的公开课http://v.163.com/special/opencourse/financialtheory.html ）因此缩的更快，缩完之后，银行要fire sale保持资产负债表的“容量”合理，这样又压低价格，价格骤减又导致新的一轮“反馈”，这样一轮一轮的最后liquidity dry up，系统性风险爆发，好了，金融危机 。这基本上算是Shin本书的经济直观所在，所有后面的分析都由这个故事引发开的。
　　 然后Shin又分析了顺周期性和资产负债表中的杠杆两者之间的关系，桥梁就是经典风险管理里面的VaR。分析两者关系的同时，Shin引入了liquidity risk，引入之后资产定价模型都会变动，那么无论是hedge fund还是其他一些影子银行的投资行为都会变化，风险管理行为也会变化，Shin定量的分析了这些变化 。
      这本书是介绍金融风险管理发展的理论基础的一本好书，建议多看看。

Hyun Shin represent collection of ideas he has developed over the past 10-15 years.
Many of these ideas preceded the financial crisis and were in fact prescient as to how the crisis came about.
While the book touches in important ways on both aspects of its title "risk" and "liquidity", the ideas about risk
are the most potent and in fact drive the book's thesis about liquidity.

The key idea is simple and explained beautifully well: that much of modern risk management - both inside
banks and that which is adopted by Basel capital requirements - is highly firm-centric or partial equilibrium
in view. It does not recognize that individual agents, taking the same action in interest of reducing each one's
risk in isolation can in fact make the system more fragile. These common actions could be building exposures to
mortgage-backed securities because Basel has encouraged them to do by lower capital requirements, or liquidating
assets all at once since they have all hit their risk limits based on common model assumptions. That risk of the
system is thus ENDOGENOUS to the very rules that are designed to reduce this risk is a subtle point that can help
understand much of what went in lead-up and unfolding of the recent crisis. It also helps understand why financial
firms and their employees, working each in their own self-interests, found it surprising that the aggregate outcome
of their actions was so calamitous.

The book also builds rich ideas around liquidity in asset markets and on balance-sheets, in turn being endogenous
to choices of agents in the economy, and how measures adopted to limit agency problems such as mark-to-market
accounting can similarly exacerbate market liquidity in times when several firms are close to their risk management
constraints at once. The book then goes on to suggest sound principles for - especially MACRO-PRUDENTIAL -
regulation of the financial system, principles that recognize the fallacy of composition and that guard against the
fact that risk and liquidity are endogenous to regulation itself.

The author, as part of a group of colleagues at London School of Economics (along with Charles Goodhart in particular)
had forewarned in 2002 in a report that Basel risk-weights are likely to endogenously make certain asset classes
more systemic and the economic cycle more severe in a downturn. Their academic thinking, like that of some others,
however went unheeded. The hope is that the ideas in these Clarendon lectures will receive more serious attention
and can be kept in mind as financial regulation is rewritten. I encourage everyone interested in financial markets,
crises and regulation to read this important contribution, in academia, practice and policy alike.

感谢分享好书！

thanks ..