The Influence of Liquidity Risk on Value-at-Risk Calculations
将流动性纳入标准风险价值框架，通过买卖价差改进模型，并在国内外市场测试，发现流动性VaR能较好衡量市场风险，但尚未通过所有回测。
In this article we implement liquidity in the standard value-at-riskframework. We incorporate bid-ask spread into basic VaR models. Wethen test these models on three foreign markets and on a domesticone. We conclude that liquidity VaR models adequately measure marketrisk. On one hand, the liquidity VaR methodology represents advancementin market risk analysis, but on the other hand, those modelsare not yet robust enough to pass all backtests. Comparing the resultsbetween markets we conclude that the results for the domesticmarket are comparable to those of foreign ones despite their size difference.