Theoretical Research On Liquidity Risk Model Of Chinese Securities Market

China’s securities market relative to mature securities market of foreign developed countries,the establishment of the time is not long,it is an emerging market.In the initial stage of the development of the securities market,the investment in the securities market is very limited,when investors hold large amounts of funds into the securities market,so that the relationship between supply and demand of China’s securities market in a long-term in a state of short supply,resulting in liquidity risk of China’s securities market has not been much attention in the early,but with the rapid development of China’s securities market,the liquidity risk is becoming more and more prominent,investors in the securities market,especially the investors holding large assets or the institutional investors,the liquidity risk has become the risk that they can not be ignored in the securities market.Therefore,the study of liquidity risk has great theoretical and practical significance.This paper introduces the basic knowledge and research status of liquidity and liquidity risk,and explains the concept of optimal liquidation strategy.Because the traditional VaR(Value at Risk)model ignores the liquidity risk,this paper based on the traditional VaR model,considers the Chinese securities market as the actual situation of order-driven market,the liquidity risk model under discrete time frame and continuous time frame is constructed respectively--LVaR,and the optimal liquidity model is constructed on the basis of the liquidity risk model,then the theoretical process of solving the optimal realization model by numerical method is given.