摘要
VaR模型忽略了流动性风险,到目前为止还没有统一的指标度量流动性风险。本文分析了最高成交价与最低成交价之差模型度量流动性风险存在偏差,同时给出了度量流动性风险一种新的修正模型。最后,结合实证对两种模型进行对比,修正模型从更加微观的层面上充分考虑到各价位的实际成交的价、量分布对总交易金额的作用,计算流动性风险值比较客观、精确。
Value-at-risk（VaR）models ignore the liquidity risk and there has been no united index to measure liquidity risk up to now.This article analyzes the model of the difference between the highest transaction price and the lowest one and finds bias in liquidity risk.Meanwhile a new modified model is proposed in the paper.Finally the two models are compared through the example.The modified model considers more the role of the distribution of actual transaction price and the volume in the total transaction amount,from a more micro level.The value of liquidity risk is calculated more objectively and accurately in this model.
出处
《运筹与管理》
CSCD
北大核心
2010年第6期146-149,共4页
Operations Research and Management Science
基金
江苏省人文社科重点基金资助项目(06SJB790015)
