传统的VaR方法忽略了流动性风险, 而现有的文献大都采用将流动性风险与传统的市场风险直接相加的方式来度量总的风险, 忽略了市场风险与流动性风险带来的损失之间的相关性. 本文采用经流动性风险调整过的收益率结合GARCH-VaR方法来度量包含了市场风险与流动性风险的总体风险, 并运用沪深300股指期货市场的5分钟高频数据进行实证分析, 结果表明, 传统的VaR会明显低估风险, 而将流动性风险与市场风险相加的方式计算的VaR会高估风险.
Abstract
Traditional Value at Risk (VaR) method ignores the liquidity risk, while the existing literature mostly add liquidity risk and market risk directly to measure the overall risk, which ignores the correlation between market risk and liquidity risk. This paper adopts the liquidity risk adjusted returns and GARCH-VaR method to measure the overall risk containing market risk and liquidity risk, and using five minutes high-frequency data of Hushen 300 stock index futures market for empirical analysis. The results show that the risks in Hushen 300 stock index futures market are underestimated by traditional VaR significantly and overestimated by simply adding liquidity risk and market risk together as overall risk.
关键词
风险度量 /
股指期货 /
流动性调整的收益率 /
GARCH-VaR
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Key words
risk measurement /
index futures /
liquidity adjusted return /
GARCH-VaR
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中图分类号：
F272.3
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脚注
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基金
国家自然科学基金(71471182);新世纪优秀人才支持计划(NCET-11-0750)
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