Value At Risk Model For Liquidity Risk And Its Application In Portfolio Risk Management

Liquidity, which enables investors to buy or sell some amount of assets quickly at less transaction costs, is one of the basic attributes of security market. Liquidity risk is one of the main risks of security market. Neglecting liquidity risk or incomplete risk management would bring great loss.Based on the overseas and domestic liquidity study, the research of this thesis, from the perspective of the investors and combining characteristics of Chinese market, has constructed liquidity measurement index. Further, it footholds on the risk management theory, brings the liquidity risk measurement into the current full-fledged and wildly usedrisk management system——Value at Risk Model and establishes L_VaR model. On theempirical study, the thesis uses L_VaR model to study the liquidity of the Shenzhen and Shang hai A stock market via the daily index series of SZAZ and SZAZ. For the liquidity risk occurs on the open-ended fund when facing huge redemption, this thesis constructs optimal portfolio execution model based on L_VaR Model, takes the open-ended fund, YJPW as a case to discuss the optimal execution strategy when facing huge redemption.