Integrating Liquidity Risk in a Parametric Intraday VaR Framework Alain Fran.cois-Heudea and Pascal Van Wynendaeleb

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Integrating Liquidity Riskin a Parametric
Intraday VaR FrameworkAlain Fran.cois-Heudea and
Pascal Van Wynendaeleb

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• Black (1971)
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???? ??????????? ? ???????????? ?????? VAR

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??????????? ????????? ?????????? (OES) ??????????? ????????? ?????????? (OES) ???? ????? ??????????? ??? ??????????????? ????????? ????????? ?????
Stochastic Horizon methods Market price impact Modelling the exogenous liquidity component
Lawrence Robinson (1996) and Haberle Persson (2000) Jarrow Subramaniam (1997) and Berkowitz (2000) Bangia, Diebold, Schuermann Stroughair (1999)
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?????? VAR, ????????????????? ? ?????? ?????
??????????? (BDSS)

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?????? VAR, ????????????????? ? ?????? ?????
??????????? (new)

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?????? VAR, ????????????????? ? ?????? ?????
??????????? (new) (2)
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?????? VAR, ????????????????? ? ?????? ?????
??????????? (new) (3)
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?????????? ? ?????????? ???? ???????????
???????? Modeling Liquidity Risk, With
Implications for Traditional Market Risk
Measurement and Management by Anil Bangia,
Francis X. Diebold, Til Schuermann, John D.
Stroughair, 1998
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?????????? ? ?????????? ???? ??????????? (2)

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?????? VAR, ????????????????? ? ?????? ?????
??????????? (new) (4)
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???????????? ??????

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  ?????????????? Paris Stock Exchange
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  index ? ????????????? ? ?????? ?? ?????? (80
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