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摘要翻译：
在风险集成的背景下，我们在风险度量中引入了随机持有期(SHP)模型。这样做是为了获得一个“流动性调整的风险度量”，其特点是没有固定的时间范围。基本的假设是，由于市场流动性条件的变化，一个人在一个“操作时间”内操作，清算一个市场组合的P&L过程就是在这个时间内进行的。这个框架导致组合收益的混合分布，潜在地允许偏斜、重尾和极端情况。我们分析了可能的分布选择对SHP的影响。在多变量环境下，我们提示可能引入依赖的SHP过程，这可能导致P&L过程之间的非线性依赖，从而导致投资组合中资产之间的尾部依赖，尽管这可能需要对SHP分布进行激烈的选择。我们还发现，通过Kendall的tau通过共同的SHP来衡量依赖性的增加似乎是不可行的。最后，我们讨论了未来市场数据的潜在发展。
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英文标题：
《Liquidity-adjusted Market Risk Measures with Stochastic Holding Period》
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作者：
Damiano Brigo, Claudio Nordio
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This is done in order to obtain a `liquidity-adjusted risk measure' characterized by the absence of a fixed time horizon. The underlying assumption is that - due to changes on market liquidity conditions - one operates along an `operational time' to which the P&L process of liquidating a market portfolio is referred. This framework leads to a mixture of distributions for the portfolio returns, potentially allowing for skewness, heavy tails and extreme scenarios. We analyze the impact of possible distributional choices for the SHP. In a multivariate setting, we hint at the possible introduction of dependent SHP processes, which potentially lead to non linear dependence among the P&L processes and therefore to tail dependence across assets in the portfolio, although this may require drastic choices on the SHP distributions. We also find that increasing dependence as measured by Kendall's tau through common SHP's appears to be unfeasible. We finally discuss potential developments following future availability of market data.
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PDF链接：
https://arxiv.org/pdf/1009.3760
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