期刊名称：European Research on Management and Business Economics
印刷版ISSN：2444-8834
出版年度：2017
卷号：23
期号：3
页码：157-164
DOI：10.1016/j.iedeen.2017.05.001
出版社：Elsevier B.V.
摘要：The last global financial crisis (2007–2008) has highlighted the weaknesses of value at risk (VaR) as a measure of market risk, as this metric by itself does not take liquidity risk into account. To address this problem, the academic literature has proposed incorporating liquidity risk into estimations of market risk by adding the VaR of the spread to the risk price. The parametric model is the standard approach used to estimate liquidity risk. As this approach does not generate reliable VaR estimates, we propose estimating liquidity risk using more sophisticated models based on extreme value theory (EVT). We find that the approach based on conditional extreme value theory outperforms the standard approach in terms of accurate VaR estimates and the market risk capital requirements of the Basel Capital Accord.
关键词：Value; at; risk ; Liquidity risk ; Extreme value theory ; Basel capital accord
