Research Toward the Practical Application of Liquidity Risk 部分内容如下： MONE TARY AND ECONOMIC STUDIES/DECEMBER2000
Yoshifumi Hisata and Yasuhiro Yamtu
This paper proposes a practical framework for the quantification of
Liquidity-adjusted Value atRisk《L- VaR') incorporating the market
liquidity of financial products. This framework incorporates the
mechanism of the market impact caused by tk)e mvestorkotu竹deal-
ings tbrougb adjusting Value-at-Risk according to the level of mar-
ket liquidity and tk)e scale o[the mvestor≮position. Speczj:z'cally, the
optimal execution, strategy for liquicLzting the investor≮entire posi-
tion is jirst calculated taking the mar/eet impact into account. TJ7en
tk)e maximum loss that may be incurred by price_{luctuations un,der
optimal execution strategy is calculated as L一VaR.
This paper presen,ts aspeczjic model providin,g n closedj'orm
solutionor calculatin.g L—VaR, and examin.es wk)etk)er thisrame-
work can be applied to the practices of jinancial risk management
by calculating numerical examples.It also demonstrates that this L—
VaR calculation,-ramework may be applied under more gen,eral con-
dition.s, such as (1) when the market impact isun.certain, (2) when
the investors portj'olio consists of multiple j:z'nancial assets, and(3)
when, there is nnon-linear relationship between, the market impact
and the trading volume.
Keywords:Liquidity risk; Value at risk; Market risk; Market
impact; Optimal execution strategy; Optimal holding
period
Research Division l, Institute for Monetary and Economic Studies, Bank ofjapan
(E-mail: yoshifumi.hisata@boj.or.jp, yasuhiro.yamai@boj.or.j p)
This paper is an expansion and revision of a paper originally submitted to a research con-
ference on "New Approaches to Financial Risk Measurement" held by the Bank ofjapan
in January and February 2000. The authors would like to express their gratitude to the con-
ference participants for providing many valuable suggestions. |