基于价格冲击函数的经流动性调整VaR模型

Liquidity-adjusted value at risk model based on optimal execution strategy

提出了一种基于价格冲击函数的VaR(风险值)模型构建思路,以使得这种经流动性调整后的VaR更能完整地计量金融资产的风险.对于给定数量和限定期限的资产变现问题,投资者的风险偏好系数决定了其选择的交易路径是唯一的.由于投资者风险偏好系数和VaR下的置信概率水平具有一一对应关系,可以通过最优路径集下执行成本的期望和标准差组合曲线来获得不同置信概率下,经过流动性调整后的VaR.考虑到实际的资产价格分布的尖峰厚尾性,引入了正态修正因子θ,以改进VaR的风险评估效果.

Based on the price impact model, a practical framework for the quantification of the liquidityadjusted value at risk （VaR） was proposed, incorporating the liquidity risk of financial products. For the problem of an investor＇s position to be closed within a fixed period of time, there exists an optimal trade trajectory, which is decided by the investor＇s risk-aversion coefficient. Based on the relationship between the risk-aversion coefficient and the confidence level in VaR, liquidity-adjusted VaR at any confidence level was obtained. For many instruments, the distributions of their real market returns are leptokurtic and fat tails, thus a correction factor was introduced to improve the precision of VaR.