金融市场微观结构视角的LaVaR模型(I)

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1、东南大学博士学位论文金融市场微观结构视角的La-VaR模型姓名：林辉申请学位级别：博士专业：金融工程指导教师：何建敏20040301东南大学博士学位论文金融市场微观结构视角的La-VaR模型AbstractFinancialinstitutionswereconfrontedwithmorefinancialrisksthaneverbecauseofeconomicglobalization．Furthermore，incessantlyeffusingfinancialcrisisincidentsconvincedpeopleoftheimportanc

2、eoffinancialriskmanagement，alsopromotingValue—at-Risk(abbreviatedv￡R)tobeappliedinthemeasurementofmarketriskasastandardmethodology．Nevertheless，thetraditionalV￡浓models，whichwerebasedontheassumptionofidealWalrasianequilibriummarket．wereonlysuitableformarketriskmeasurementofhighliquid

3、ityassetunderthenormalfinancialmarketconditions，becausetheyneglectedpotentialliquidityriskwhenassetswereliquidated．111ispaperestablishedLiquidity—adjustedV报(abbreviatedLa-VaR、fromtheaspectofmarketmicrostructureforthesakeofcorrectingtheshortcomingsofthetraditionalmodels．basedontheass

4、ureptionofNonwalrasianequilibriummarket，byreleasingthetraditionalVaRmodels’theoryfoundationandintroducingtheMarketMicrostructureTheoriesintothesemodels．ThispapersyntheticallyappliedⅥRtheories，MarketMicrostructureTheories，UncertainProgrammingTheory,刚skPreferencesTheory,RandomProcessa

5、ndStatisticsandsoon．astheembodimentofmulti．subjectcombinationcharacteristic．AseriesofLa-VaRmodelswerepresentedformeasuringbothmarketriskandliquidityrisksyntheticallyinthispaper,whichwerepromotedfromsingleperiodtomulti-periods，fromoneassettoportfolio，fromexogenousrisktoendogenousrisk

6、．TheseLa_v￡汛modelsarcmodifiedBDSSmodel．theLa-Ⅵ暖measurementmodelintegratedbothmid-priceandbid-askspreadsbasedong&hdistribution,theLa-VaRmodelbasedonprice—qualityanalyses，randombid-askspreadsbasedontheadjustmentofllquidityratios，multi-perioddisperseexecutionLa_VaRmodelandsequentialliq

7、uidationmodel．TheabOVemodelsnotonlyovercometheshortcomingofthetraditionalVmmodelsincapabletomeasuringliquidityrisk．butalsocorrectedtllemistakesthattherisk1inearlyincreasedalongwiththeincrementoftheamount．thepriceanditSstandarddeviationoffinancialassetreturn．Especially,ontheresearcho

8、fthemulti-periodLa．