基于极值理论的我国股票市场流动性调整的VaR和ES研究

Research of Liquidity Adjusted VaR and ES in China Stock Market Based on Extreme Value Theory

通过构造新的流动性风险度量指标,结合极值理论模型的分析方法,考察了我国股票市场经流动性调整的风险价值及其预期不足。实证结果显示:流动性和价格风险价值对置信水平的敏感度存在一定差异,而流动性风险和价格风险的预期不足对置信水平的敏感度相差不大;在不同的置信水平下,沪市的风险都要低于深市,且这一相对关系不受市场极端程度的影响;从流动性风险的绝对量和相对量来看,沪市的流动性都比深市要好,但两者之间的差距不明显;两市流动性风险价值比例对置信水平的变化较为敏感,但流动性预期不足的比例对置信水平却缺乏弹性。

The paper analyzes the liquidity adjustment risks and anticipates deficiency of China stock market by constructing the new measurement index of the liquidity risks and combining the analytic procedure of extreme value theory model. The results show that there are some differences in the sensitivity of the confidence level between liquidity and value at risk of price, but there is little difference in the sensitivity of the confidence level between liquidity and price risk＇ s expected shortfall; Under different confidence level, the liquidity adjusted value at risk in Shanghai market is lower than in Shenzhen, and the correlation is not influenced by the extreme degree of the market; Because of the difference in price risk, the absolute level and the relative level of liquidity in Shanghai market is better than Shenzhen market, but the gap is not obvious. The ratio of liquidity risk has more sensitivity to the confidence level, but the ratio of expected shortfall of liquidity lacks elasticity towards the confidence level.