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ji yu liu dong xing feng xian la-var du liang mo xing de gu quan zhi ya lv que ding
Pages: 119-123
Year: Issue:  14
Journal: Finance and Accounting Monthly

Keyword:  流动性风险La-VaR股权质押率股权质押;
Abstract: 在民生证券公司为顾地科技办理股权质押业务这一案例中,民生证券公司采用历史模拟法下的VaR模型进行风险评估。该方法存在缺陷,应引入流动性风险La-VaR度量模型予以改进,改进后的模型具有适用性。此类案例研究可得出结论:股权质押率的确定应考虑对流动性风险的度量,进而让证券公司可以承受股市更大的波动风险。
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