中国科学院大学学报 ›› 2018, Vol. 35 ›› Issue (5): 589-594.DOI: 10.7523/j.issn.2095-6134.2018.05.003
• 数学与物理学 • 上一篇 下一篇
陈松松1, 程希骏1, 马利军2
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CHEN Songsong1, CHENG Xijun1, MA Lijun2
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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。
关键词: 保证金, LMSV-t模型, pair-copula, VaR, 流动性风险
Abstract: 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.
Key words: margin, LMSV-t, pair-copula, VaR, liquidity risk
中图分类号:
F830.9
陈松松, 程希骏, 马利军. 一种含流动性风险的保证金模型[J]. 中国科学院大学学报, 2018, 35(5): 589-594.
CHEN Songsong, CHENG Xijun, MA Lijun. A margin model with liquidity risk[J]. , 2018, 35(5): 589-594.
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链接本文: http://journal.ucas.ac.cn/CN/10.7523/j.issn.2095-6134.2018.05.003
http://journal.ucas.ac.cn/CN/Y2018/V35/I5/589
