Incorporating Liquidity Risk in Value-at-Risk Based on Liquidity Adjusted Returns

摘要：

In this paper, based on overlapping generation model, we show that liquidity risk could influence the market risk forecasting through at least two ways. Then we argue that traditional liquidity adjusted VaR measure, the simply adding of the two risk measure, would underestimate the risk. Hence another approach, by mod-eling the liquidity adjusted returns (LAr) directly, was employed to incorporate liquidity risk in VaR measure in this study.

关键词： Value-at-Risk(VaR) Liquidity risk Skewed Students t GJR model

作者: Siwu Nian LeiWu

作者单位: School of Finance Shanghai University of Finance and Economics Shanghai, China Candidate in Finance Research Institute of Economics and Management, Southwestern University of Econ

会议类型: 国际会议

会议名称: 2011 International Conference on Innovation and Information Management(2011年IEEE创新与信息管理国际会议 ICIIM2011)

会议地点: 成都

会议语种:英文

页码: 110-113

在线出版日期: 2011-01-14（万方平台首次上网日期，不代表论文的发表时间）