3.

L-VaR
1) L-VaR
L-VaR
.

[ 5] L-VaR
.

. 7
, L-VaR .
2) L-VaR 8
L-VaR X . X
, X X
price impact cost . X
.
X T N ,

t 0 , t1 , ... , t N . , t 0 = 0, t N = T .
, t k = k for k = 0,..., N .
x0 , x1 , ... , x N , x0 = X , x N = 0 .
S 0 , ... , S N . .

7
8

Almgren and Chriss, Optimal Execution of Portfolio Transactions, 1999 .

Yoshifumi Hisata and Yasuhiro Yamai IV-A .

x0 = X

xk

xN = 0

t0 = 0

t k = k

tN = T

S0

Sk

SN

Sk
[ 1] L-VaR
n1 , ... , n N ,
.

vk =

nk

arithmetic random walk ,

.
1

S k = S k 1 + 2 k + t nk
k

= S 0 + 2 j + t k ( X x k )
j =1

: stock price drift

: stock price volatility
j : random var iable ~ Z
: permenant impact coefficient
vk + v k 9
.
~

S k = S k v k

: bid ask spread

: temporary impact coefficient

.

impact coefficient . (order depth)

, market coefficient = (change prices) / (order depth) = (tick value) / (time weighted average of the
best bid order volume) . impact coefficient
.

1
2

S k = S 0 + j + t k ( X xk ) vk
j =1

X S , .

X S = nk S k
k =1
1

N
N
1
1 N

= XS 0 + 2 x k k + x k X 2 X + v k2
2
2 k =1

k =1
k =1

C = XS 0 X S
1
2

N
1
1 N

= x k k x k + X 2 + X + + v k2
2
2 k =1

k =1
k =1
N

, k , C
. , C .
N

E (C ) = x k +
k =1

1
1 N

X 2 + X + + v k2
2
2 k =1

V (C ) = 2 x k2
k =1

V (C ) ,

V (C )

risk . , percentile
L-VaR .10

L VaR = Z V (C )

4. L-VaR VaR

10

Optimal trading strategy N .

L = E (C ) + rZ V (C )

L
= 0
N

N .

 L-VaR VaR .

L VaR = Z V (C )
1
N

2
= Z 2 x k2
k =1

N
2
= VaR x k2
k =1

, , VaR
. Yoshifumi Hisata and Yasuhiro Yamai(2000)
VaR L-VaR .11

[ 2] VaR L-VaR ()
[ 2] , VaR 1

block

trading

risk . LVaR L-VaR VaR

. , VaR risk
.

5.
L-VaR risk
. VaR
risk , optimal trading strategies

11

 risk
.

.
.
L-VaR (performance analysis)
.