| 流动性与风险管理：一个基于二元t分布GARCH估计方法的L_VaR模型 |
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| 引用本文： | 沈豪杰,黄峰.流动性与风险管理：一个基于二元t分布GARCH估计方法的L_VaR模型[J].天津大学学报(社会科学版),2010,12(3):197-202. |
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| 作者姓名： | 沈豪杰 黄峰 |
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| 作者单位： | 1. 西安交通大学经济与金融学院,西安,710061
2. 浙商银行总行风险管理部,杭州,310006 |
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| 摘 要： | VaR已是风险管理领域金融机构量化风险的主流方法，但传统的VaR模型一直未很好地将流动性风险纳入其考量范围。文章通过引入非流动性指标，构建了一个简单的经流动性风险调整的VaR模型，VaR估计方法采用二元t分布GARCH模型。对我国股市实际数据计算发现，流动性因素对VaR值的影响较大，而且持仓规模越大，影响越大。该模型对风险管理具有很好的参考价值。
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| 关 键 词： | 流动性风险 非流动性 VaR |
Liquidity and Risk Management: A Liquidity Risk-Adjusted VaR Model Based on Two-Dimensional t-Distribution GARCH Model |
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| SHEN Hao-jie,HUANG Feng.Liquidity and Risk Management: A Liquidity Risk-Adjusted VaR Model Based on Two-Dimensional t-Distribution GARCH Model[J].Journal of Tianjin University(Social Sciences),2010,12(3):197-202. |
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| Authors: | SHEN Hao-jie HUANG Feng |
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| Institution: | 1. School of Economics and Finance, Xi＇ an Jiao Tong University, Xi＇ an 710061, China; 2. Risk Management Department of China Zheshang Bank, Hangzhou 310006, China) |
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| Abstract: | The traditional methodology of VaR is popularly adopted by financial institutions in financial market,but it has never taken liquidity risk into sufficient consideration.In this paper,based on two-dimensional t-distribution GARCH estimation model,we develop a liquidity risk-adjusted VaR model,and apply it in mainland China stock markets.It is found that the liquidity factor influences the volume of VaR greatly,and the greater the position scale,the greater the influence.Our model will be a good tool for ris... |
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| Keywords: | liquidity risk illiquidity VaR |
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