Dan Hedges's Contact Details

Dan Hedges's Company Details

DCH llc

, , • 3 Employees
Financial Services

DCH llc was created in 2010 as a vehicle for cutting-edge liquidity risk solutions.As witnessed throughout the latest Great Recession and its repercussions, realizations of market risk and deterioration of credit quality quickly translate into market freeze-up and drain of liquidity in the markets hit. Examples of the latter range from the ABS market crash through the freeze up of Covered bonds to the dysfunction of the market for Sovereign debt of the European Periphery.The events reinforced the fact that liquidity risk a factor tat needs being tackled in its own right and managed appropriately. Thus, DCH llc strove to provide adequate solutions to this overlooked part of risk management.The pilot project of DCH llc, Liquidity Assessment and Risk Calculator or LARC, utilizes the liquidity policy construct described in "Liquidity Risk Theory and Coherent Measures of Risk" by Carlo Acerbi and Giacomo Scandolo, applies it to high frequency tic data and assesses the systemic and idiosyncratic illiquidity of an asset. LARC has been successfully applied to equity, residual value of automobiles and fixed income assets. The latter application has been fully developed and tested, some of the landmark merits being the prediction of the freeze-up of Greek sovereign bonds as early as the end of Q3 of 2009. Going further back, 2007 Q2 data heralded the pre-Lehman explosion in the yield spreads of Financials and Agency bonds and the ensuing illiquidity.