Liquidity risk in derivatives valuation: an improved credit proxy method
针对衍生品估值中因信息缺乏导致的流动性风险，本文提出一种利用股票收益率改进的信用代理方法，相比现有方法更准确、稳定，能生成更可靠的市场风险和资本计量指标。
The models used to calculate post-crisis valuation adjustments, market risk and capital measures for derivatives are subject to liquidity risk due to severe lack of available information to obtain market implied model parameters. The European Banking Authority has proposed an intersection methodology to calculate a proxy CDS or Bond spread. Due to practical issues of this method, Chourdakis et al. introduce a cross-section approach. In this paper, we extend the cross-section methodology using equity returns, and show that our methodology is significantly more accurate compared to both existing methodologies, and produces more reliable, stable and robust market risk and capital measures, and credit valuation adjustment.