Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Borse

被引：10

作者：

Dionne, Georges ^{[1
,2
]}

Pacurar, Maria ^{[3
]}

Zhou, Xiaozhou ^{[2
,4
]}

机构：

[1] HEC Montreal, Canada Res Chair Risk Management, Montreal, PQ H3T 2A7, Canada

[2] HEC Montreal, Dept Finance, Montreal, PQ H3T 2A7, Canada

[3] Dalhousie Univ, Rowe Sch Business, Halifax, NS B3H 4R2, Canada

[4] Univ Quebec Montreal, Fac Management ESG, Montreal, PQ H3C 3P8, Canada

来源：

JOURNAL OF BANKING & FINANCE | 2015年 / 59卷

基金：

加拿大魁北克医学研究基金会;

关键词：

Liquidity-adjusted Intraday Value at Risk; Tick-by-tick data; Log-ACD-VARMA-MGARCH; Ex-ante liquidity premium; Limit Order Book; AUTOREGRESSIVE CONDITIONAL DURATION; ORDER EXECUTION QUALITY; VALUE-AT-RISK; TRANSACTION DATA; MARKET; EXCHANGE; IMPACT; BOOK;

D O I：

10.1016/j.jbankfin.2015.06.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper develops a high-frequency risk measure: the Liquidity-adjusted Intraday Value at Risk (LIVaR). Our objective is to explicitly consider the endogenous liquidity dimension associated with order size. By reconstructing the open Limit Order Book of Deutsche Borse, changes in the tick-by-tick (ex-ante) frictionless return and actual return are modeled jointly. The risk related to the ex-ante liquidity premium is then quantified. Our model can be used to identify the impact of ex-ante liquidity risk on total risk, and to provide an estimation of the VaR for the actual return at a point in time. In our sample, liquidity risk can account for up to 32% of total risk depending on order size. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：202 / 219

页数：18

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