Traditional VaR method has many defects in measuring portfolio risk,this paper modifies BDSS model based on relative spread to measnre ligmidity risk. The empirical analysis shows that Copula-kernel model can accurately fit multiple yield and relative spread order,and the part of liquidity risk in the La-VaR is gradually significant with the decrease of confidence c. The back testing shows that La-VaR may not underestimate risk in most cases whatever confidence c is high or low.% 传统VaR方法在衡量投资组合的风险上存在诸多缺陷，针对BDSS模型进行改进，基于相对价差得到了再修正的BDSS模型以计量流动性风险。实证分析表明，Copula-kernel模型对多元收益率和相对价差序列的拟合程度都很高，且La-VaR中的流动性风险部分随着置信度的减小而逐渐显著，返回测试表明无论置信度的高低，在大多数情况下La-VaR都不会低估风险。
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机译：The Impacts of Margin Trading on Rate of Return and Volatility in the Stock Market: A Study Using the SVAR Model and Panel Regressions =融资对股价收益与波动的影响特征研究——基于SVAR模型与面板模型的实证分析
