摘要
文章从投资者实际投资时所面临的价格冲击入手,提出了流动性风险的概念,并定义了LOF(Listed Open-end Fund)流动性风险指标L,并利用VaR(Value at Risk)、ES(Expected Shortfall)对流动性风险进行度量。针对L序列厚尾分布的特征,采用极值理论的POT(Peaks Over Threshold)模型对其尾部数据进行建模,能更准确地估计度量流动性风险的工具VaR、ES的值,从而更有效地捕捉投资者所面临的流动性风险。最后利用LOF的1小时交易数据进行了实证研究。
In this paper,according to the price impact of investor,we have identified the concept of liquidity risk,defined liquidity risk indices L for LOF(Listed Open-end Fund) and employed VaR(Value at Risk) and ES(Expected Shortfall) in the measurement of liquidity risk.For the series of L have fat tail characteristics,POT(Peaks Over Threshold) model is used to estimate the value of VaR and ES for L series.In the end,an empirical study was conducted using the one hour data of LOF.
出处
《大连理工大学学报（社会科学版）》
CSSCI
2009年第1期16-21,共6页
Journal of Dalian University of Technology(Social Sciences)
基金
教育部人文社科规划基金(06JA790012)
国家自然科学基金(70772087)
