Liquidity: When Small Trades Mean Big Moves
A number of episodes of financial market distress have at the heart of them a sudden and drastic reduction in market liquidity, characterized by disorderly adjustments in asset prices, a sharp increase in the costs of executing transactions and, in the most acute cases, a “seizing up” of markets. What to do? Part of the problem of liquidity is its abstract nature. Dr. Sorina Zahan outlines the 'Anatomy of Liquidity Risk', and Karen Schenone describes how ETFs affect and reflect liquidity. In the following Q&A session, we'll discuss hedges, metrics and strategies for liquidity.
Dr. Sorina Zahan | Sorina Zahan is Partner and Chief Investment Officer at Core Capital Management, an alternative investment services and finance research company that she helped establish in 2004 in Chicago. Her responsibilities include the management of Core’s portfolios and research activities.
Prior to 2004 Dr. Zahan spent fifteen years in academia. As a Professor she was specialized in artificial intelligence and uncertainty management. Dr. Zahan has published two books and numerous research papers. Dr. Zahan holds a B.S. and a Ph.D. degree from the Technical University of Cluj-Napoca, Romania and an MBA from the University of Chicago. Her current research activity is focused on measuring and hedging liquidity risk, the correction of common biases in portfolio construction as well as optimality and risk sharing in pension plans.
Karen Schenone, CFA, Vice President | Karen Schenone is a fixed income strategist within BlackRock's Fixed Income Portfolio Solutions group. Prior to joining BlackRock, she was an investment research analyst at Laird Norton Tyee, providing investment solutions for high net worth clients through asset allocation and security selection decisions from 2008 to 2010.
Ms. Schenone began her career as a portfolio analyst/trader at Washington Mutual Bank in 2004. Ms. Schenone earned a BBA degree in finance from The University of Texas at Austin in 2004.
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Victor Wood, CFA
|As a participant in the CFA Institute Approved-Provider Program, the CFA Society of Los Angeles has determined that this program qualifies for 1 credit hours. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE Diary.|