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.
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