Liquidity and Risk Management
建立了一个模型，分析风险管理实践与市场流动性之间的相互作用，发现风险管理收紧会降低流动性，而流动性下降又反过来促使风险管理进一步收紧，形成反馈效应，有助于解释流动性突然下降和价格波动。
This paper provides a model of the interaction between risk-management practices and market liquidity. On one hand, tighter risk management reduces the maximum position an institution can take, thus the amount of liquidity it can offer to the market. On the other hand, risk managers can take into account that lower liquidity amplifies the effective risk of a position by lengthening the time it takes to sell it. The main result of the paper is that a feedback effect can arise: tighter risk management reduces liquidity, which in turn leads to tighter risk management, etc. This can help explain sudden drops in liquidity and, since liquidity is priced, in prices in connection with increased volatility or decreased risk-bearing capacity.