一种含流动性风险的保证金模型  

A margin model with liquidity risk

作　　者：陈松松 程希骏[1] 马利军[2] CHEN Songsong;CHENG Xijun;MA Lijun(Department of Statistics and Finance,University of Science and Technology of China,Hefei 230026,China;College of Management,Shenzhen University,Shenzhen 518060,Guangdong,China)

机构地区：[1]中国科学技术大学统计与金融系,合肥230026 [2]深圳大学管理学院,广东深圳518060

出　　处：《中国科学院大学学报（中英文）》2018年第5期589-594,共6页Journal of University of Chinese Academy of Sciences

基　　金：国家自然科学基金(71671176)资助

摘　　要：针对现有模型无法有效解决期货组合的市场价格风险和流动性风险之间关系的刻画问题,对两种风险分开建模,首先考虑不同期货间同类风险的相关性,再考虑流动性风险和市场价格风险间的交互作用,进而给出一个含流动性风险的保证金模型设定。Existing models can not be used to effectively describe the relationship between the market price risk and liquidity risk of futures portfolio. To solve this problem,this work models the two risks separately. Firstly,we consider the correlation of risks of the same kind among different futures. Secondly,we study the interaction between the market price risk and liquidity risk. Then,we provide a margin model including the liquidity risk.

关 键 词：保证金 LMSV-t模型 PAIR-COPULA VAR 流动性风险 

分 类 号：F830.9[经济管理—金融学]