流动性调整的风险价值模型及其实证研究

Liquidity-adjusted VaR Model and Its Empirical Research

在放松传统的风险价值模型基于理想化市场的理论假设基础上,通过修正BDSS模型存在的缺陷,构建流动性调整的VaR模型,并以亚洲金融危机中泰铢和日元的汇率数据进行实证研究,并检验两个模型的效力。研究结果表明:在极端市场条件下两个模型估计结果一致,但在正常市场条件下本模型比BDSS模型更具有可靠性。

In relaxing idealized market assumption from the traditional VaR models,the liquidity-adjusted VaR model is deduced by revising the existent shortcoming of BDSS model. With the exchange rate data of Baht and Yen in Asian financial crisis,we carry on empirical research to examine the effects of the two models. The research result indicates that two models estimating the result under the condition of extreme market is consistent. However,the La -VaR model presented by this paper even has more credibility than BDSS Model under the condition of normal market.