VaR模型作为风险度量和管理的工具,已经被金融机构和监管当局广泛接受。但是,由于它是一定置信度和持有期内衡量资产头寸所能遭受的最大损失,它并没有考虑到是否能够真的以所计算出的可能的最差价格将所持有的头寸变现。在实践中,两个具有相同的VaR值,但流动性高低不同的投资组合,其变现的最差价格是不同的。因而,很多学者对传统的VaR模型提出了质疑,并认为把流动性风险的度量加入到目前已非常成熟的风险管理体系VaR模型中,是金融风险管理领域的一个严峻挑战和紧随的任务。 The VaR model, as a tool for measuring and managing risks, has been widely accepted by financial institutions and regulatory authorities. However, since it is a measure of confidence and the maximum loss sustained by the measurement of the position of assets during the holding period, it does not take into account whether or not it can actually realize the position it holds at the calculated worst price possible. In practice, the two worst-case cash-generating portfolios with the same value of VaR, but with different levels of liquidity, differ in their worst-case price. Therefore, many scholars have questioned the traditional VaR model and believe that adding the measure of liquidity risk to VaR model of risk management system, which is already very mature, is a serious challenge and the following task in the field of financial risk management.