VaR方法在开放式基金风险测量中的应用
发布时间：2019-01-18 19:39
【摘要】： 我国第一只开放式基金---华安创新证券投资基金于2001年9月11日正式成立,宣告中国的基金业进入了一个崭新的时期。开放式基金经过短短几年的发展,已取代封闭式基金成为我国投资基金业的主要发展方向,并从中衍生出更广义的开放式基金---LOF和ETF。 本文利用目前国际上比较流行的风险测量方法---VaR方法来定量分析我国开放式基金的市场风险。在我国目前的市场环境下,市场风险是开放式基金面对的最主要的风险,流动性风险则是市场风险的一种表现形式。实证分析发现,基于GED分布的VaR计算结果要好于基于正态分布和t分布的计算结果。正态分布尾部太薄了,在置信水平比较高时会低估风险;而t分布的尾部又太厚了,容易造成对风险的高估。 鉴于我国投资环境的特殊性,在运用VaR进行风险测量的时候,需要辅之风险度量的基本方法---无条件标准差和β系数法。考虑到我国股市波动较大,较易受到政策因素的影响,本文从风险度量的角度出发,提出用β系数对VaR方法予以补充,从而对基金的市场风险有较为全面的评估,确保VaR的有效应用。 最后,通过对五家基金管理公司两类基金的风险进行比较分析发现,传统开放式基金与上市型开放式基金的组织形式、交易方式的选择对基金风险的影响是显著的。上市型开放式基金并没有显示出交易制度创新的优越性,需进行进一步的改造和规范。
[Abstract]:China's first open-end fund, Hua'an Innovation Securities Investment Fund, was formally established on September 11, 2001, declaring that China's fund industry has entered a new period. After a few short years of development, open-end funds have replaced closed-end funds as the main development direction of China's investment fund industry, and derived a broader open-ended fund LOF and ETF.. This paper uses the VaR method, which is a popular international risk measurement method, to quantitatively analyze the market risk of open-end funds in China. In the current market environment in China, market risk is the most important risk faced by open-end funds, and liquidity risk is a form of market risk. The empirical analysis shows that the results of VaR based on GED distribution are better than those based on normal distribution and t distribution. The tail of normal distribution is too thin, it will underestimate the risk when the confidence level is high, and the tail of t distribution is too thick, so it is easy to overestimate the risk. In view of the particularity of the investment environment in China, the basic methods of risk measurement, i.e. unconditional standard deviation and 尾 coefficient method, need to be used to measure risk by using VaR. Considering that the stock market in our country is volatile and vulnerable to the influence of policy factors, this paper puts forward to supplement the VaR method with 尾 coefficient from the angle of risk measurement, so as to evaluate the market risk of the fund comprehensively. Ensure effective application of VaR. Finally, through the comparative analysis of the risk of the two types of funds in five fund management companies, it is found that the choice of traditional open-end fund and listed open-end fund has a significant impact on the risk of the fund. Listed open-end funds do not show the advantages of trading system innovation, need to be further reformed and standardized.
【学位授予单位】：兰州商学院
【学位级别】：硕士
【学位授予年份】：2008
【分类号】：F224;F832.51
本文编号：2411043
[Abstract]:China's first open-end fund, Hua'an Innovation Securities Investment Fund, was formally established on September 11, 2001, declaring that China's fund industry has entered a new period. After a few short years of development, open-end funds have replaced closed-end funds as the main development direction of China's investment fund industry, and derived a broader open-ended fund LOF and ETF.. This paper uses the VaR method, which is a popular international risk measurement method, to quantitatively analyze the market risk of open-end funds in China. In the current market environment in China, market risk is the most important risk faced by open-end funds, and liquidity risk is a form of market risk. The empirical analysis shows that the results of VaR based on GED distribution are better than those based on normal distribution and t distribution. The tail of normal distribution is too thin, it will underestimate the risk when the confidence level is high, and the tail of t distribution is too thick, so it is easy to overestimate the risk. In view of the particularity of the investment environment in China, the basic methods of risk measurement, i.e. unconditional standard deviation and 尾 coefficient method, need to be used to measure risk by using VaR. Considering that the stock market in our country is volatile and vulnerable to the influence of policy factors, this paper puts forward to supplement the VaR method with 尾 coefficient from the angle of risk measurement, so as to evaluate the market risk of the fund comprehensively. Ensure effective application of VaR. Finally, through the comparative analysis of the risk of the two types of funds in five fund management companies, it is found that the choice of traditional open-end fund and listed open-end fund has a significant impact on the risk of the fund. Listed open-end funds do not show the advantages of trading system innovation, need to be further reformed and standardized.
【学位授予单位】：兰州商学院
【学位级别】：硕士
【学位授予年份】：2008
【分类号】：F224;F832.51
【引证文献】
相关硕士学位论文 前1条
1 周红;GARCH-VaR模型在我国ETF风险测量中的应用研究[D];辽宁科技大学;2012年
，本文编号：2411043
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