Market Liquidity Risk Management for Investment Management - Alfi

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period time day a over outflows cash. Net assets liquid quality high of. Stock ... period time day a over outflows cash.
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Stock of high quality liquid assets  100% Net cash outflows over a 30  day time period



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Stock of high quality liquid assets  100% Net cash outflows over a 180  day time period





70

40000000

35000000

60

30000000 50 25000000 40 20000000 30 15000000 20 10000000

10

5000000

   no. of se curities held      RF1  max  0, min 1,1      current daily volume     

    no. of outst. se curities  current daily volume       1           no . of outst . se curities    RF2  max  0, min 1,  Y%            

 BidAskSpread    RF3  max  0, min 1,1  Mid Pr ice  X%     

     

17122009

16/11/2009

14/10/2009

11/09/2009

11/08/2009

09/07/2009

08/06/2009

06/05/2009

31/03/2009

26/02/2009

17122008

26/01/2009

14/11/2008

14/10/2008

11/09/2008

11/08/2008

09/07/2008

06/06/2008

02/05/2008

28/03/2008

12/02/2008

03/01/2008

20/11/2007

15/10/2007

07/09/2007

30/07/2007

08/06/2007

29/03/2007

04/01/2007

17/10/2006

15/08/2006

15/05/2006

15/03/2006

0

03/01/2006

0

Closing Price 200 days av Price Volume 200 days av Vol

Rf  Rf 1  RF2  RF3

 BidAskSpread    RF4  max  0, min 1,1  Mid Pr ice   X%    

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  own position of shares in a fund    no. of outst. shares in a fund RF5  max  0, min 1,1   Y%    

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