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Abstract摘要

本文重点介绍对冲基金的流动性风险。 由于对冲基金被称为在投资中有着复杂性，杠杆效应和隐私性，流动性风险变得尤为重要。 风险价值（VaR）用于估计和计算任何类型的金融资产或证券投资组合的市场风险规模和潜在的最大损失。条件风险价值（CVaR）是指损失的条件平均值超过风险价值。This paper focus on the liquidity risk in Hedge funds. Since hedge funds is known as complexity of investment, high leverage and privacy, the liquidity risk becomes especially important. Value at Risk (VaR) is used to estimate and calculate the size of market risk and the potential biggest losses in given period of any kinds of financial asset or securities portfolio. Conditional value at risk (CVaR) refers to the conditional mean of losses exceed VaR.In this paper, we construct the liquidity adjusted Value at Risk (GARCH-La-CVaR) based on liquidity risk theory and CVaR model to reflect the liquidity risk of hedge funds. 

Key words: Hedge funds; Liquidity risk; VaR and CVaR model; GARCH model; La-VaR model 
 
Table of content
Abstract 2
1. Introduction 1
2. Literature Review 2
3. The theory of liquidity adjusted value at risk 5
3.1 Value at risk (VaR) and Conditional Value at risk (CVaR) 5
3.1.1 Value at Risk (VaR) 5
3.1.1 Conditional Value at Risk (CVaR) 5
3.2 GARCH model 6
3.3 GARCH-CVaR model 7
3.4 Liquidity risk 9
3.5 Liquidity adjusted Value at Risk (GARCH-La-CVaR) 11
4. Predicted Results 11
4.1. Data selection 11
4.2. The applicability test of GARCH model 12
4.3. The estimation of GARCH-La-CVaR model 12
References 14

1. Introduction介绍

对冲基金是一种另类投资，诞生于美国华尔街。通过建立新的资产头寸，对冲被用来抵消现有资产头寸价格的波动。这两种资产可以是同质的，也可以是异质的，但这两种资产的价格波动之间存在高度的相关性。
对冲基金的发展得益于其风险收益特征与投资者需求之间的良好匹配。具体而言，对冲基金的收益率低于股票和债券市场的收益率，但对冲基金的收益率高于股票和债券市场。对冲基金的收益波动率低于股票市场。另外，由于对冲基金收益与传统资产之间的相关系数较低，对冲基金的投资有利于资产组合的多样性，降低系统风险。
Hedge fund is a kind of alternative investment, which was first born in the Wall Street, United States. By establishing a new asset position, hedge is used to offset the fluctuations in the price of the existing assets positions. These two assets could either homogeneous or heterogeneous, but there exist high degree of correlation between the fluctuations in the price of these two assets. 

The development of hedge funds benefited from the pretty match between its characteristics of risk-income and the demand of investors. Specifically, the returns of hedge funds are lower than the yield of stock and bonds market, however, the returns of the hedge funds are higher than both stock and bonds market. The income volatility of hedge fund is lower than the stock market. In addition, as the correlation coefficient between hedge funds returns and traditional assets is low, investing in hedge funds benefits the diversity of asset portfolio and reduces the systemic risk. 
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