A margin model with liquidity risk

doi:10.7523/j.issn.2095-6134.2018.05.003

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›› 2018, Vol. 35 ›› Issue (5): 589-594.DOI: 10.7523/j.issn.2095-6134.2018.05.003

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A margin model with liquidity risk

CHEN Songsong¹, CHENG Xijun¹, MA Lijun²

1. Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China;
2. College of Management, Shenzhen University, Shenzhen 518060, Guangdong, China

Received:2017-02-22 Revised:2017-06-19 Online:2018-09-15

Abstract

Abstract: Existing models can not be used to effectively describe the relationship between the market price risk and liquidity risk of futures portfolio. To solve this problem, this work models the two risks separately. Firstly, we consider the correlation of risks of the same kind among different futures. Secondly, we study the interaction between the market price risk and liquidity risk. Then,we provide a margin model including the liquidity risk.

Key words: margin, LMSV-t, pair-copula, VaR, liquidity risk

CLC Number:

F830.9

CHEN Songsong, CHENG Xijun, MA Lijun. A margin model with liquidity risk[J]. , 2018, 35(5): 589-594.

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A margin model with liquidity risk

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