开放式基金流动性风险管理研究

发布时间：2018-06-19 02:24

本文选题：开放式基金 + 流动性风险　；参考：《武汉大学》2004年硕士论文

【摘要】：市场的一个主要功能就是在交易成本尽可能低的情况下，使投资者迅速、有效地执行交易。也就是说，市场必须具有足够的流动性。市场的流动性为投资者提供了交易机会，如果市场缺乏流动性而导致交易难以完成，市场也就失去了存在的必要。正是在这个意义上，我们说流动性是市场的生命力所在，流动性是市场的一切。开放式基金的“开放”特性更是使其对流动性有着更深一层的意义，流动性的高低直接制约着基金本身的发展或者说存亡，本文就是本着这样一个原则来研究开放式基金流动性风险管理的。开放式基金的流动性风险是指由于投资者赎回时间和赎回数量的不确定所引起的基金资产变现的不确定损失，其极端情况类似于银行的“挤兑”风险。本研究共分四章。第一章论述了开放式基金流动性风险管理的理论基础，深入分析了开放式基金的流动性含义、流动性风险含义及其成因，以及我国开放式基金流动性风险的特殊性。在第一章的理论基础上，后三章从资产、负债和政策三个角度来研究开放式基金流动性风险管理。第二章从资产角度研究了开放式基金的流动性管理和流动性的度量指标。本章的特殊之处在于给出了流动性的数量化度量，用数量关系来反映流动性的真实含义，从而为流动性风险的数量化度量模型L_VaR的构建打下了基础。另外，本章在对资本市场资产分类的基础上，探讨了开放式基金流动性风险管理的资产出清策略。第三章从内生性负债和外生性负债两个角度对开放式基金流动性风险管理加以研究。通过对内生性负债的探讨，在对比美国共同基金管理的基础上，我们分析了开放式基金的种类、投资者结构、费率结构设计同其流动性风险管理之间的关系；通过对外生性负债的探讨，，我们对开放式基金的融资制度加深了研究，并设计了适合我国国情的开放式基金融资制度。这一章对开放式基金流动性管理的实际运行有着很大的指导意义；第四章结合我国资本市场的现行规则及运行状况，主要从政策层面上提出了一些建议，通过对市场微观结构的探讨、对金融衍生工具的探讨，明示了我国开放式基金流动性风险管理的发展方向。通过以上四章的论述，笔者认为:基金管理公司首先应该对资本市场资产加以分类，并在整体层面上来构建基金组合;其次，基金管理公司应明确基金的分类和基金投资者受众，并在二者之间形成均衡;最后，要做好开放式基金的流动性风险管理，还需要政策面的大力支持。
[Abstract]:One of the main functions of the market is to enable investors to execute transactions quickly and effectively at the lowest possible transaction cost. In other words, the market must have sufficient liquidity. The liquidity of the market provides trading opportunities for investors, and if the market is illiquid and the transaction is difficult to complete, the market loses its necessity. In this sense, we say that liquidity is the vitality of the market, liquidity is all the market. The "open" character of the open-end fund makes it have a deeper meaning to the liquidity, and the level of liquidity directly restricts the development or survival of the fund itself. This article is based on such a principle to study the liquidity risk management of open-end funds. The liquidity risk of open-end funds refers to the uncertain losses caused by the uncertainty of the redemption time and the amount of redemption, and its extreme situation is similar to the risk of bank runs. This research is divided into four chapters. The first chapter discusses the theoretical basis of liquidity risk management of open-end funds, and analyzes the meaning of liquidity, the meaning and causes of liquidity risk of open-end funds, as well as the particularity of liquidity risk of open-end funds in China. Based on the theory of the first chapter, the last three chapters study the liquidity risk management of open-end funds from the perspectives of assets, liabilities and policies. The second chapter studies the liquidity management and liquidity measurement of open-end funds from the perspective of assets. The special point of this chapter is that the quantitative measure of liquidity is given, and the real meaning of liquidity is reflected by quantitative relationship, which lays a foundation for the construction of quantitative measurement model of liquidity risk (LSP VaR). In addition, based on the classification of capital market assets, this chapter discusses the asset clearing strategy of liquidity risk management of open-end funds. Chapter three studies the liquidity risk management of open-end funds from the perspectives of endogenous liabilities and external liabilities. Based on the comparison of the management of mutual funds in the United States, we analyze the relationship between the types of open-end funds, the structure of investors, the design of rate structure and the liquidity risk management. Through the discussion of external liabilities, we have deepened the research on the financing system of open-end funds, and designed an open-end fund financing system suitable for the situation of our country. This chapter has great guiding significance for the actual operation of open-end fund liquidity management. The fourth chapter combines with the current rules and operating status of China's capital market, mainly puts forward some suggestions from the policy level. Through the discussion of market microstructure and financial derivatives, the development direction of liquidity risk management of open-end funds in China is pointed out. Through the discussion of the above four chapters, the author thinks that the fund management company should first of all classify the capital market assets and construct the fund portfolio on the overall level; secondly, Fund management companies should identify the categories of funds and the audience of fund investors, and balance the two. Finally, To do a good job in the liquidity risk management of open-end funds, we still need strong support from policy.
【学位授予单位】：武汉大学
【学位级别】：硕士
【学位授予年份】：2004
【分类号】：F832.5

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