摘要
流动性风险测度的问题日益成为风险管理与测度的核心问题,因而我们将VaR的理论思想引入中国股市的流动性风险研究中来,选取5只样本股对我国的股票市场做了实证分析,对流动性风险进行了度量.在分析各证券流动性强弱的同时给出一定置信度下,完成特定的交易指令可能担负的潜在流动性风险值,且该值可以和VaR结果直接叠加反映股票的整体风险.并在上述基础上得出了结论和建议.
The problem of liquidity risk measure has increasingly become the core issue of risk management and measure. So we incorporate VaR models in the study of liquidity risk in China stock market. 5 samples of the stock are selected to be analyzed in order to measure liquidity risk of China stock market. The certain confidence level is given while the liquidity strength of securities is analyzed. It shows that the specific instructions to complete the transaction may be responsible for the potential value of liquidity risk. Then this risk value can be directly superimposed on VaR and reflect overall risk of the stock. Based on the above research, some conclusion and suggestion is given.
出处
《浙江工业大学学报》
CAS
北大核心
2009年第5期586-590,共5页
Journal of Zhejiang University of Technology
关键词
VAR
风险
流动性
实证分析
VaR： risk
liquidity
demonstration analysis
