원문에서 자동 번역됨 · 원문 읽기 (English)
전통적인 주식과 유동성이 낮은 대체 자산을 모두 포함하는 포트폴리오에서 위험 조정 포지션 사이징을 파악하려고 합니다. VAR 또는 예상 부족분과 같은 것을 계산할 때, 특히 꼬리 위험 이벤트와 관련하여 실제 포지션 크기를 결정할 때 서로 다른 유동성 프로필을 어떻게 실질적으로 설명합니까? 단순히 자본 배분에 적용되는 요소입니까, 아니면 일부는 초기 배분에서 유동성이 낮은 자산을 더 공격적으로 '축소'합니까?
That's a great question on how to operationalize tail risk and liquidity. I've found that for those lower-liquidity alternatives, the ability to exit the position during a tail event often becomes a more critical constraint than the initial VAR calculation itself. Do you factor in a 'liquidity haircut' to your position sizes, or do you manage it more through your rebalancing frequency?
That's a great question. I've been wrestling with something similar myself. Are you using a specific software or framework for your VAR calculations, or are you building models from scratch? I'm curious if there are tools that handle liquidity adjustments well.
That's a great question, and it's a real challenge. For the illiquid assets, I've found it helpful to not just look at historical volatility, but to consider the potential time it would take to unwind a position in various market conditions. This often means applying a much more conservative 'effective' liquidity discount to their notional value when calculating position sizes, almost as if you're pre-stressing their exit.
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