流动性风险

基于VaR模型的资产组合流动性风险度量研究

Measurement of the Liquidity Risk of Portfolios Based on VaR Model

本文在订单驱动市场条件下，从流动性风险角度对IPO抑价问题进行研究。

This paper aims to analyze the influence of liquidity risk on IPO underpricing in the order-driven market .

VaR模型可以很好度量社会保障基金的市场风险，其扩展模型可以度量社会保障基金的流动性风险和信用风险等。

VaR model does well in addressing social security fund market risk .

基于Copula的开放式基金流动性风险研究

Study of Liquidity Risk for Open-end Funds Based on Copula

传统的VaR隐含了许多假设，忽略了流动性风险的度量，低估了头寸或组合面临的风险。

Applying so many hypothesizes and ignoring measurement of liquidity risks , traditional VaR underestimates the risks the market faced .

采用统计检验方式发现，不同股票的流动性风险与IPO抑价正相关。

It is found by statistical method that the liquidity risk of different IPOs has the direct relation with IPO underpricing .

运用广义帕累托分布和Copula函数分析市场风险和流动性风险的相依性以及风险集成值。

The Generalized Pareto Distribution and the Copula function is used to analyze dependencies and integration of market risk and liquidity risk market risk .

传统的期货VaR风险度量模型缺乏对流动性风险的考虑。

Liquidity risk is one part of risks that could not be neglected in the futures market in China , but the classical VaR model is lack of consideration of liquidity risk .

通过对开放式基金流动性风险进行特征分析，得出流动性风险均衡管理的指标，并基于SVM（支撑向量机）上建立了一种均衡管理系统。

In this paper , the parameter index is presented after a system analyse about the fluidity risk of the open fund . An equilibrium management system will be given based on Support Vector Machine .

作为一位长线机构投资者，utahretirementsystems的文件辩称，“基金经理应在长时期内抚平允许进行的最大赎回压力，以确保长线投资者不会使流动性风险溢价下降”。

As a long-term institutional investor , the Utah retirement systems document argues that " managers should smooth maximum allowable redemption pressure over a long period of time to ensure that the liquidity risk premium is not subsidised by long-term investors " .

La-VaR模型在我国股票市场流动性风险度量中的应用

Application of La-VaR Model in the Liquidity Risk Measurement of China 's Stock Market

对ACD模型研究之后，并对数据进拟合，这样对交易发生的强度和频率会起到很好的预测效果，进而对研究流动性风险也会有一个评价指标。

After the ACD model and data into the fitting , so that will play a good predictor of the intensity and frequency of transactions occurring , and thus also an evaluation of liquidity risk .

第三章详细论述了我国开放式投资基金所面临的三大风险，市场风险、流动性风险和操作风险的评估与管理方法，并着重的介绍了以VaR模型进行评估的方法。

Chapter three has described three major risks that the open investment funds of our country face in detail , market risk , mobile risk and operating the assessment of the risk and office procedure , the introduction focused on carries on the method of the assessment with VaR model .

针对市场风险与流动性风险的时变性、异方差性和尾部特点，利用GARCH-EVT方法进行建模。

Considering the time variation , heteroscedasticity and tail characters of market risk and liquidity risk , GARCHEVTmethod is used for the modeling of these properties .

本部分主要是从受托人责任缺位产生的道德风险、内控机制不健全产生的经营管理风险以及REITs份额法律性质限制产生的流动性风险这三个方面去揭示投资者可能会面临的法律风险。

It reveals legal risks investors may face , mainly from three aspects , which are , moral hazard generated from the absence of a fiduciary duty , operational management risk incurred by inadequate internal management mechanisms , and liquidity risk arising from limitation on legal nature of REITs involvement .

开放式基金的流动性风险管理

Liquidity Risk Management of the Open - end Securities Investment Fund

我国基金管理公司的流动性风险及其对策

Liquidity risks and its countermeasures for funds management companies in China

基于流动性风险理论的国有股过渡流通市场方案

Study on Transitional Trading Market for State-owned Share by Liquidity Risk

一种巨额赎回导致的开放式基金流动性风险测量

Measuring Liquidity Risk of Open-End Funds for Large Amount of Redemption

上海股市收益与流动性风险动态关系实证

Dynamic relationship between return and liquidity risk in Shanghai Stock Markets

他们能够因为预想中的非流动性风险而要求赔偿吗？

Could they ask to be paid for assuming illiquidity risk ?

基于最优清算策略的流动性风险溢价测算

The Quantification of Liquidity Premium Based on an Optimal Liquidation Strategy

巨额赎回是造成开放式基金流动性风险的主要原因。

Quantity of large redemption is the main reason causing liquidity risk .

流动性风险依然是更为重要的问题。

More important still is the issue of liquidity risk .

开放式基金的赎回机制决定了其特殊的流动性风险。

The redemption mechanism of open-end funds determines its particular liquidity risk .

本文首先指出了开放式基金的流动性风险管理研究意义；

The significance of study on liquidity risk management is first discussed .

流动性风险是股票市场的主要风险之一。

Liquidity risk is one of the main risks of stock market .

一类开放式基金流动性风险的估计

Estimation for one kind of liquidity risk of open-end funds

关于我国商业银行流动性风险管理的研究

Research on Liquidity Risk Management of China 's Commercial Banks

流动性风险管理策略下的银行资产配置研究

The Bank Assets Allocation under Strategies of Liquidity Risk Management