Liquidity-adjusted value-at-risk: a comprehensive extension with microstructural liquidity components
利用高频逐笔指数期权数据，构建了包含所有微观结构流动性成分的扩展在险价值模型，发现传统模型显著低估投资者潜在损失，且事前市场非流动性会增加模型违规。
This study constructs an extended value-at-risk model that incorporates all microstructural liquidity components using a high-quality tick-by-tick index options market dataset. Out-of-sample backtesting and mean-difference analyses suggest that the traditional value-at-risk measure significantly underestimates investors’ potential losses relative to our new liquidity-adjusted measure. Logistic regressions reveal that ex-ante market illiquidity increases violations of liquidity-adjusted value-at-risk and that these violations are often driven by foreign institutional investors.