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

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


1
Integrating Liquidity Riskin a Parametric
Intraday VaR FrameworkAlain Fran.cois-Heudea and
Pascal Van Wynendaeleb
  • ?????????
  • ??????? ??????, 61????

2
??????????? ? ???? (??????) ???????????
  • Black (1971)
  • ? ????? ?????? ??????? ?????????? ??? ???? ? ???
    ???? ??? ?????????, ??????? ????? ??????????
    ??????\??????? ??????????? ??????????,
    ????????????? ??????????
  • ???-??? ????? ?????? ?????
  • ? ?????????? ?????? ?????????? ????????,
    ???????? ??????\??????? ??????? ??????????
    ??????? ???? ? ??????? ??????? ? ???????
  • ???????? ????? ?????? \??????? ??????? ????
    ?????????, ???????? ?????? ??? ???????, ???????
    ???????????? ??????? ?? ??????.

3
???? ??????????? ? ???????????? ?????? VAR
  • ????? ?????????? ????????? ??????? ??
  • ??????????????? ??????? ????????
  • ??????????? ???????
  • ??????? ?????????? ?????????? (???????? ?
    ??????????? ?? ?????)
  • ???????????, ???????? ????? ? ????????? ???????

4
??????????? ????????????
??????????? ????????? ?????????? (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)
????????? ?????????? ????????? ? ????? ????????? ???????? ???? ????????????? ???????????????? ??? ?????????? ????? ?? ?????? ???? ????????? ??? ? ???? ?????? ???????????
5
?????? VAR, ????????????????? ? ?????? ?????
??????????? (BDSS)
  • ??????????????
  • E(r) 0 (??????? ?????????? ????????????
    ?????????)
  • ??????????? ????????????? ?????????? ?????
    ???????? ?????????? ??? ? ???????? ???????????
    ???????

6
?????? VAR, ????????????????? ? ?????? ?????
??????????? (new)
  • ???? ????????? ?????? BDSS ? ?????? ???????????
  • ?????????????? ?????? ?????? ????? ??????????
    ?????????? ?????????????? ??????
  • ????? ??????? ?????????? ????
  • ????? ??????? ???????????? ?????? ???????????

7
?????? VAR, ????????????????? ? ?????? ?????
??????????? (new) (2)
8
?????? VAR, ????????????????? ? ?????? ?????
??????????? (new) (3)
9
?????????? ? ?????????? ???? ???????????
???????? Modeling Liquidity Risk, With
Implications for Traditional Market Risk
Measurement and Management by Anil Bangia,
Francis X. Diebold, Til Schuermann, John D.
Stroughair, 1998
10
?????????? ? ?????????? ???? ??????????? (2)
  • ?????????? ???? ?????? ??????????? ????????
    ??????????? ???????? ????????????? ?? ????? ???
    ???? ??????? ? ?? ??????? ?? ???????? ??????????
    ?????? (?? ????? ???????? ?? ?????????? ????????
    ???? ??? ????? ???? ???????)
  • ?????????? ???? ?????????? ??? ??????? ??
    ?????, ??????????? ? ??????????? ?? ???????. ?
    ???????? ???????????? ???????? ??????? (??????
    ???????????)

11
?????? VAR, ????????????????? ? ?????? ?????
??????????? (new) (4)
12
???????????? ??????
  • ???? ???????????? ?????? ?? BDM - ???? ??????,
    ?????????????? Paris Stock Exchange
  • ? ???? ?????????? ?????? ????????????? ????
    (??????, ?????? ?????????, ????????????????
    ??????)
  • ??????? ????? Carrefour, ???????? ? ?????? CAC 40
    index ? ????????????? ? ?????? ?? ?????? (80
    ????) ?????? ???????? ??????????? ?????? 15
    ?????

13
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21
?????????? ??????
  • ?? ??????????? ????, ????????? ?? ???????
    ????????????
  • ?? ??????????? ??????????
  • ? ?????? ?????? ??? ?????????? ?????? ?????? ?
    ?????????? ???????? ???????? ? ???????
    ??????????. ????????, ????????? ?? ????????
    ?????? ????????????????.
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