市场风险与流动性风险整合风险度量研究  

The Measurement of Integrated Risk between Market Risk and Liquidity Risk

作　　者：张蕊[1] 王春峰[1] 房振明[1] 梁崴[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《北京理工大学学报（社会科学版）》2010年第5期18-22,共5页Journal of Beijing Institute of Technology：Social Sciences Edition

基　　金：国家自然科学基金资助项目(70771076);国家杰出青年科学基金资助项目(70225002)

摘　　要：整合市场风险与流动性风险有利于投资者全面管理风险,度量交易时所面临的风险。针对市场风险与流动性风险的时变性、异方差性和尾部特点,利用GARCH-EVT方法进行建模。在此基础上利用三类二元阿基米德Copula函数对两类风险的相关结构进行考察。结果表明:中国股票市场中个股的市场风险与流动性风险在上尾与下尾相关性加强,并具有对称性。基于上述相关结构特点对两类风险进行整合并利用VaR模型进行度量,结果显示:该度量模型优于传统VaR模型和不考虑两类风险相关结构的VaR模型。The integration of market risk and liquidity risk facilitates the investors＇ comprehensive management of risks when they trade their stocks.Considering the time variation,heteroscedasticity and tail characters of market risk and liquidity risk,GARCHEVT method is used for the modeling of these properties.Three types of Archimedean Copula are used to investigate the dependence structure between two kinds of risks.The results indicate that the two kinds of risks show stronger dependence in the tails and the two tails are symmetric.The measurement based on such dependence structure performs better than traditional VaR and the VaR without regard to the dependence structure.

关 键 词：市场风险 流动性风险 相关结构 COPULA函数 

分 类 号：F830.9[经济管理—金融学]