【作者】 梁崴；

【导师】 王春峰；

【作者基本信息】 天津大学 ， 管理科学与工程， 2007， 硕士

【摘要】 流动性是证券市场的生命力所在,是资本市场成熟与否的重要标志之一。如果市场因为流动性的缺失而导致交易难以完成,那么市场就失去了存在的基础。基于以上原因,Amihud和Mendelson指出“流动性是市场的一切”。由于流动性的脆弱本质,流动性风险成为风险管理问题中无法回避的重要风险。流动性风险研究也成为当今学术界的研究热点。本文从风险管理的角度出发,对资产的流动性风险管理问题进行了深入探讨。本章大体上分为三个部分:流动性风险研究概述(第1~2章);流动性风险管理的实证研究(第3~5章);最后,在上述研究基础上,给出全文的结论和未来的展望。详细内容如下:第一部分:第1章介绍了本文的研究背景、问题提出、研究现状,以及文章的研究内容和结构框架;第2章对流动性风险相关研究进行了概述,其中介绍了流动性和流动性风险的定义、风险度量的常用方法,对于流动性风险的特性及其影响因素也进行了介绍和总结。第二部分:第3章对流动性风险与市场风险的度量进行了研究,本章着重考察了流动性风险和市场风险的分布特性以及如何根据其特性采用适当的方法进行准确度量,这为后面的研究奠定了基础;第4章在上一章的研究基础上,对单资产情况下流动性风险与市场风险相关结构关系进行建模,并根据相关特性研究了单资产的风险管理问题;第5章讨论了跨资产间市场风险的相关结构关系,并将第4章中流动性风险与市场风险的结构关系引入资产组合中,达到了资产组合市场风险与流动性风险的整合风险管理。第三部分:第6章根据以上实证分析结果,给出全文的结论,并对未来的研究方向进行了展望。更多还原

【Abstract】 Liquidity is the vitality of the securities market and the important sign of maturity of securities market. The securities market will lose the foundation of existing if the trade cannot be accomplished due to lack of liquidity. For the above reasons, Amihud and Mendelson pointed that liquidity is all of the market. For the weakness of the liquidity, the liquidity risk has already become a crucial risk in the risk management. Also, the research on the liquidity risk is the main issue in the field of modern financial research.The dissertation investigates the asset liquidity risk management thoroughly from the risk management point of view. The paper consists of three parts: introduction of research of the liquidity risk (chapter 1~2); investigation of the liquidity risk (chapter 3~5); finally, the conclusion and prospect.The detailed content is as follows:(1) Chapter 1 discussed the background, introduction of the problem, and the development of liquidity risk, also introduced the content, structure and innovation of the dissertation. Chapter 2 contain the introduction of correlative theories of liquidity risk, definition and measurement of liquidity and liquidity risk, the characters and influencing factors of the liquidity risk is also introduced.(2)Chapter 3 researches the measurement of the liquidity risk and market risk.Two problems are investigated that are the distribution character of the liquidity risk and market risk and the accuracy of the measurement. This makes a foundation for the further study. Chapter 4 models the correlation of the liquidity risk and market risk by the Copula function. According to the correlation, one asset risk management is investigated. In Chapter 5, the correlations of the assets in the portfolio are discussed. Based on the research of the chapter 4, the correlation of the liquidity risk and market risk is introduced into the portfolio risk management. Consequently, the liquidity risk and market risk of the portfolio both are considered in the risk manangement.(3)Chapter 6 is the conclusion of dissertation, and some prospects of the dissertation are made.更多还原