Asset Market Liquidity Risk Management: A Generalized Theoretical Modeling Approach for Trading and Fund Management Portfolios

Asset market liquidity risk is a significant and perplexing subject and though the term market liquidity risk is used quite chronically in academic literature it lacks an unambiguous definition, let alone understanding of the proposed risk measures. To this end, this paper presents a review of contemporary thoughts and attempts vis-à-vis asset market/liquidity risk management. Furthermore, this research focuses on the theoretical aspects of asset liquidity risk and presents critically two reciprocal approaches to measuring market liquidity risk for individual trading securities, and discusses the problems that arise in attempting to quantify asset market liquidity risk at a portfolio level. This paper extends research literature related to the assessment of asset market/liquidity risk by providing a generalized theoretical modeling underpinning that handle, from the same perspective, market and liquidity risks jointly and integrate both risks into a portfolio setting without a commensurate increase of statistical postulations. As such, we argue that market and liquidity risk components are correlated in most cases and can be integrated into one single market/liquidity framework that consists of two interrelated sub-components. The first component is attributed to the impact of adverse price movements, while the second component focuses on the risk of variation in transactions costs due to bid-ask spreads and it attempts to measure the likelihood that it will cost more than expected to liquidate the asset position. We thereafter propose a concrete theoretical foundation and a new modeling framework that attempts to tackle the issue of market/liquidity risk at a portfolio level by combining two asset market/liquidity risk models. The first model is a re-engineered and robust liquidity horizon multiplier that can aid in producing realistic asset market liquidity losses during the unwinding period. The essence of the model is based on the concept of Liquidity-Adjusted Value-at-Risk (L-VaR) framework, and particularly from the perspective of trading portfolios that have both long and short trading positions. Conversely, the second model is related to the transactions cost of liquidation due to bid-ask spreads and includes an improved technique that tackles the issue of bid-ask spread volatility. As such, the model comprises a new approach to contemplating the impact of time-varying volatility of the bid-ask spread and its upshot on the overall asset market/liquidity risk.Economic Capital; Emerging Markets; Financial Engineering; Financial Risk Management; Financial Markets; Liquidity Risk; Portfolio Management; Liquidity Adjusted Value at Risk

Choice and wellbeing in informal care

‘Choice’ is increasingly pursued as a goal of social policy. However the degree to which choice is exercised when entering an informal care role is open to debate. In this study of UK carers, we examined whether caring was perceived as a free choice, and what the consequence of choice was for carers’ wellbeing. Our data were derived from responses to a postal survey conducted in a large British city. One thousand one hundred respondents reported providing care to a close person and of these, 72% answered a further set of questions about caregiving and about their own well-being. We found that informal care was generally perceived to be a free choice, albeit in most cases, a choice that was constrained by duty, financial or social resources. Having a sense of free choice in entering care was strongly and positively associated with wellbeing. The positive impact on wellbeing persisted across different measures of wellbeing and when controlling for socio-demographic characteristics and the nature of the caring role. Further work is needed to better understand the modifiable aspects of choice for carers. Nonetheless, this study suggests that enabling individuals to have more choice in their caring roles may improve their lives

Stability analysis of higher-order delta-sigma modulators for sinusoidal inputs

The aim of this paper is to determine the stability of higher-order Δ-Σ modulators for sinusoidal inputs. The nonlinear gains for the single bit quantizer for a dual sinusoidal input have been derived and the maximum stable input limits for a fifth-order Chebyshev Type II based Δ-Σ modulators are established. These results are useful for optimising the design of higher-order Δ-Σ modulators

Implementation of ACR and AVR controls for high voltage gain DC-DC Converter

Step up power conversion is universally used in many applications. The application that uses step-up power conversion can be observed in renewable energy such as photovoltaic (PV) system, wind turbine, data center and Electric vehicle. There are many applications which use the DC-DC boost converter to get higher DC voltage from the low input voltage. In this project, Marx topology boost converter (MTBC) analyzed and proposed for conversion from low input dc voltage to high output dc voltage. (MTBC) depends on the principle of the Marx generator. The proposed (MTBC) is multi-stage and consist from 4-stage, by multistage of converter the stress in the components will be reduced, where the parallel charging at input side to reduce the current stress, and series discharging at output to reduce the voltage stress. The stress on the components of the converter will inversely proportional with a number of stages. By implementation of ACR and AVR combination with using PI control technique the output voltage can be controlled. Based on the simulation results the obtained output voltage 400V DC by boosting input voltage 48V DC and by using 4- stage proposed converter, but any drop in the value of input voltage will effect on the output voltage, so that when battery voltage drop to 40V the output will be 340V. After implementing the control system for the AVR and ACR and combine between them, it will be possible to obtain 400V from different value input voltage (40V, 45V, 55V), as well as for 450V and 500V output voltage

A GUI driven Σ-Δ modulator design, evaluation and measurement tool with a view to practical implementation

A user-friendly design tool created in the MATLAB/Simulink environment to speed up the design, analysis, evaluation and measurement of single-loop and multistage sigma-delta (Sigma-Delta) modulators at the system level is presented in this paper. The tool covers a variety of Simulink-based design topologies of low-pass, band-pass and high-pass Sigma-Delta modulators