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基金投资组合市场风险和流动性风险分析——基于VaR与BDSS模型

Market and Liquidity Risk Analysis of Fund Portfolios Based on VaR and BDSS Models
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摘要 提出了三种流动性指标,基于BDSS模型,建立了同时度量市场风险和流动性风险的三种VaR模型,考虑金融时间序列的尖峰性,构建了峰度调整的VaR模型,最后选取我国证券市场的样本,通过传统VaR、峰度调整VaR及基于三种流动指标的VaR共五种模型,进行了实证分析,探讨了基金投资组合市场风险和流动性风险的合成管理。 Proposing three liquidity indexes,this paper establishes three VaR models to measure market and liquidity risk based on BDSS,and Kurtosis adjusted VaR Model considering the kurtosis of time series.Applying the VaR,adjusted VaR and three VaR models based on liquidity index,this paper makes empirical analysis of samples in China＇s securities market,discusses synthetic management for market and liquidity risk of fund portfolios.
作者 潘海峰
机构地区 安徽工程大学数理学院
出处 《宜春学院学报》 2010年第12期64-66,71,共4页 Journal of Yichun University
基金 安徽工程大学青年基金重点项目(2008YQ026zd) 安徽省教育厅高校人文社科项目(2010sk316)
关键词 VAR BDSS 市场风险 流动性风险 峰度调整VaR VaR BDSS market risk liquidity risk kurtosis adjusted VaR
分类号 F830.91 [经济管理—金融学]
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参考文献11

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二级参考文献12

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共引文献62

宜春学院学报
2010年 第12期

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