LOF流动性风险度量与实证研究.pdf

301 大连理工大学学报( 社会科学版) Vol. 30, No. 1 2 00 9 3 Journal of Dalian University of Technology (Social Sciences) Mar. 2 0 0 9 LOF 王 敬, 刘 华 ( , 116024 ) : 文章从投资者实际投资时所面临的价格冲击 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 S ortfall) 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 T res old) 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VaRES 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 : LOF; ; VaR; ES; ; POT : F830. 91 : A : 1008407X(2009) LOF Li uidity Risk Measurement and Empirical Study WANG Jing, LIU Hua ( School of Management, Dalian University of echnology, Dalian 116024, China ) Abstract: In t is paper, according to t e price impact of investor , w e ave identified t e concept of liquidity risk, defined liquidity risk indices L for LOF ( Listed Openend Fund) and employed V aR ( Value at Risk) and ES ( Expected S ortfall) in t e measurement of liquidity risk. For t e series of L ave fat tail c aracteristics, POT ( Peaks Over T res old) model is used to estimate t e value of VaR and ES for L series. In t e end, an empirical study w as conducted using t e one our data of LOF. Key words: LOF; liquidity risk; VaR; ES; EV T; POT model , , , , , , : , , :