Modeling Liquidity Risk 部分内容如下： Modeling Liquidity Risk
With Implications for Traditional Market Risk Measurement and Management
Anil Bangia
Oliver, Wyman & Company
Abstract
Francis X. Diebold
University of Pennsylvania,
Stern School, NYU
and Oliver Wyman Institute
John D. Stroughair
Oliver, Wyman & Company
November 1998
This draft/print: December 21, 1998
Til Schuermann
Oliver, Wyman & Company
Market risk management under normal conditions traditionally has focussed on the distribution of
portfolio value changes resulting from moves in the mid-price. Hence the market risk is really in a "pure"
form: risk in an idealized market with no "friction" in obtaining the fair price. However, many markets
possess an additional liquidity component that arises from a trader not realizing the mid-price when
liquidating her position, but rather the mid-price minus the bid-ask spread. We argue that liquidity risk
associated with the uncertainty of the spread, particularly for thinly traded or emerging market securities
under adverse market conditions, is an important part of overall risk and is therefore an important
component to model.
We develop a simple liquidity risk methodology that can be easily and seamlessly integrated into standard
value-at-risk models, and we show that ignoring the liquidity effect can produce underestimates of market
risk in emerging markets by as much as 25-30%. Furthermore, we show that the BIS inadvertently is
already monitoring liquidity risk, and that by not modeling it explicitly and therefore capitalizing against
it, banks will be experiencing surprisingly many violations of capital requirements, particularly if their
portfolios are concentrated in emerging markets.
We thank Steve Cecchetti and Edward Smith for helpful comments and suggestions. All remaining errors
are ours. |