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.
CHEN Songsong
,
CHENG Xijun
,
MA Lijun
. A margin model with liquidity risk[J]. Journal of University of Chinese Academy of Sciences, 2018
, 35(5)
: 589
-594
.
DOI: 10.7523/j.issn.2095-6134.2018.05.003
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