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流动性风险是证券市场主要风险之一,但是人们往往仅重视价格风险从而低估市场风险。BDSS模型是在VaR风险管理体系的基础上,将市场风险和流动性风险进行合成管理。本文选用了沪深300指数,以BDSS模型为基础,将相对极差与日换手率的比值作为流动性指标,再运用ARCH族类模型对金融数据常有的集群性进行了描述,使得波动率的估计更加的准确,动态化的LVaR也更好的计算出风险价值。
Liquidity risk is one of the main risks in the stock market, but people tend to underestimate the market risk only by valuing the price risk. Based on the VaR risk management system, the BDSS model synthesizes the management of market risk and liquidity risk. This paper selects the Shanghai and Shenzhen 300 Index, based on the BDSS model, the ratio of the relative difference and daily turnover as the liquidity index, and then use the ARCH family model to describe the common clustering of financial data, making volatility Rate estimates more accurate, dynamic LVaR also better calculate the value of risk.