基于流动性调整CAViaR模型的风险度量方法

本文提出了流动性风险度量的一个新的方法,流动性调整的CAViaR模型。该模型能够直接反映资产流动性的变动对未来风险的影响,并在此基础上计算资产未来经过流动性调整的风险VaR,从而使投资者能够更好地管理风险,尤其是流动性风险。实证研究表明,该模型能够较好地刻画中国股市流动性风险的动态变化特征;并且发现股票流动性的大幅下降通常导致未来风险明显加大,且正向流动性下降所带来的风险往往较负向流动性要更大,因此更值得投资者关注。

A New Method of Risk Measurement Based on Liquidity Adjusted CAViaR Models

The measurement and management of the liquidity risk,which is one of the major risks faced by investors,has always been one of the most difficult problems in both academia and practice.In this paper,we propose a new risk measurement method,called liquidity adjusted CAViaR models,to help investors manage future risks better,especially liquidity risk.This method can directly reflect the impacts of liquidity changes on the future risks,and the future liquidity adjusted VaR can be calculated simultanuously.Empirical studies suggest that this model can characterize the behavior of dynamic changes of liquidity risks in Chinese stock market,and conclude that a substantial decline of stock liquidity may lead to a significant increase of future risks.The positive liquidity may have a more significant effect than that of negative liquidity,thus it is more worthy of attentions from investors.