摘要
VaR已是风险管理领域金融机构量化风险的主流方法,但传统的VaR模型一直未很好地将流动性风险纳入其考量范围。文章通过引入非流动性指标,构建了一个简单的经流动性风险调整的VaR模型,VaR估计方法采用二元t分布GARCH模型。对我国股市实际数据计算发现,流动性因素对VaR值的影响较大,而且持仓规模越大,影响越大。该模型对风险管理具有很好的参考价值。
The traditional methodology of VaR is popularly adopted by financial institutions in financial market, but it has never taken liquidity risk into sufficient consideration. In this paper, based on two-dimensional t-distribution GARCH estimation model, we develop a liquidity risk-adjusted VaR model, and apply it in China's Mainland stock markets. It is found that the liquidity factor influences the volume of VaR greatly, and the greater the position scale, the greater the influence. Our model will be a good tool for risk management.
出处
《天津大学学报（社会科学版）》
CSSCI
2010年第3期197-202,共6页
Journal of Tianjin University：Social Sciences
