非流动性市场环境下的市场风险预测:不同建模技术的比较

Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-05-18 DOI:10.2139/ssrn.3847066

Mazin A. M. Al Janabi

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引用次数: 0

摘要

本文填补了交易风险管理文献的空白，特别是从新兴市场和非流动性市场的角度。我们发现，在某些交易策略下，如卖空股票，除了交易资产之间的相关程度因素外，L-VaR统计的敏感性对所选择的内部资产流动性模型也很重要。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Market Risk Prediction under Illiquid Market Environments: A Comparison of Alternative Modeling Techniques

This paper bridges the gap in trading risk management literatures, and particularly from the perspective of emerging and illiquid markets. We find that under certain trading strategies, such as short-selling of stocks, the sensitivity of L-VaR statistics are rather critical to the selected internal asset liquidity model in addition to the degree of correlation factors among trading assets.

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Risk Management & Analysis in Financial Institutions eJournal

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