流动性风险与市场风险的集成度量方法研究

Study on integrated measurement of incorporating liquidity risk and market risk

传统市场风险度量方法没有考虑由于变现资产而产生的流动性风险.针对指令驱动市场提出一种流动性风险和市场风险的集成度量方法,该方法使用连接函数构建流动性风险和市场风险的联合分布,能够兼顾这两种风险的非正态特征和它们的相依性.在基于中国股市的实证研究中,度量了不同规模公司股票的集成风险.与集成风险度量方法相比,传统VaR方法将低估或者高估风险;而对于个股,只有选择最优变现期或最优变现策略才能最小化集成风险.

Liquidity risk incurred by liquidating assets is not taken into account in traditional market risk measurement. In this paper, an integrated measurement of incorporating liquidity risk and market risk is proposed for order-driven market. Copula function is used to construct the joint distribution of liquidity risk and market risk, which can give attention to both non-normality of the two risks and their dependency. In empirical study on Chinese stock market, integrated risks of different size firms＇ stocks are calculated. Compared with the integrated risk measurement, risk measures are underestimated or overestimated by traditional VaR approaches. For different stocks, optimum liquidation strategies or optimum holding periods need to be determined in order to minimize their integrated risks.