This study constructs an extended value-at-risk model that incorporates all microstructural liquidity components using a high-quality tick-by-tick index options market dataset. Out-of-sample backtesting and mean-difference analyses suggest that the traditional value-at-risk measure significantly underestimates investors’ potential losses relative to our new liquidity-adjusted measure. Logistic regressions reveal that ex-ante market illiquidity increases violations of liquidity-adjusted value-at-risk and that these violations are often driven by foreign institutional investors.

中文翻译：

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流动性调整风险价值：具有微观结构流动性成分的综合扩展

本研究使用高质量的逐笔报价指数期权市场数据集构建了一个扩展的风险价值模型，该模型包含所有微观结构流动性成分。样本外回测和均值差异分析表明，相对于我们新的流动性调整指标，传统的风险价值指标显着低估了投资者的潜在损失。逻辑回归表明，事前市场流动性不足增加了对流动性调整风险价值的违规行为，并且这些违规行为通常是由外国机构投资者推动的。