影响调整估值的建议：关键杠杆和执行风险
A proposal for impact-adjusted valuation: Critical leverage and execution risk
摘要：
以当前交易价格按市值计价的做法存在严重缺陷。在杠杆作用下，问题尤其突出：由于市场冲击的凹形式，抛售总是首先导致预期杠杆增加。有一个临界杠杆，超过这个临界杠杆，如果杠杆没有无限大，破产就不可能退出投资组合。标准的风险管理方法没有对这个问题发出警告，这在流动性不足的市场中很容易发生在过度杠杆化的头寸上。我们提出了一个替代的会计程序的基础上估计的市场冲击的清算，消除了利润的幻想。这将遏制杠杆循环，并有助于加强金融市场的稳定。
英文摘要：
The practice of valuation by marking-to-market with current trading prices is seriously flawed. Under leverage the problem is particularly dramatic: due to the concave form of market impact, selling always initially causes the expected leverage to increase. There is a critical leverage above which it is impossible to exit a portfolio without leverage going to infinity and bankruptcy becoming likely. Standard risk-management methods give no warning of this problem, which easily occurs for aggressively leveraged positions in illiquid markets. We propose an alternative accounting procedure based on the estimated market impact of liquidation that removes the illusion of profit. This should curb the leverage cycle and contribute to an enhanced stability of financial markets.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
