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Open-end Fund Risk Management: Empirical Analysis and Policy Recommendations

Author: SunPin
Tutor: GengTongJin
School: Zhengzhou University
Course: Business Administration
Keywords: Open-end fund Risk Management VAR Stock index futures
CLC: F832.51
Type: Master's thesis
Year: 2010
Downloads: 95
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Abstract

In recent years, the volatility of the international financial markets have become increasingly violent, one after another spate of financial crises, these risk management challenges of open-end funds as a development of the emerging market risk With the financial markets will development and the gradual increase in the risk increase is also proposed new requirements for risk management. Our late start on the use of modern risk management ideas and technology, compared with developed countries, there is a certain gap. In the quantitative risk management, generally also stay on in the the balance indicators management and management level positions matching For in VAR VAR applications also are not familiar with. Under the new situation, China's open-end fund market must be introduced VAR risk management techniques in order to establish a comprehensive risk management system. Vigorously the development and application of VAR, has a very important meaning from qualitative analysis to quantitative changes in the management of China's open-end fund risk management techniques. First, our financial institutions are facing increasingly complex risks, considering the need to measure risk is growing, VAR applications provide a broad space for development; followed by the use of the VAR approach is not only conducive to the identification and control of financial institutions' internal risk convenient unified supervision of the regulatory authorities; finally contribute to China's financial institutions internal risk management and external supervision technology to keep up with the world trend of financial development. The innovation of this paper is to select the open-end fund, established on January 2, 2004: ① our sample. The stock hybrid bond three different investment style of the fund, January 2, 2004 - December 31, 2008 range using the VAR method for quantitative analysis. ② The empirical results clearly indicate that the risk of the different styles of the different types of open-end funds are different, the same type of investment style risk gap is relatively large. ③ with a fund VAR values ??in different years, but in 2007, the risk measure is expected to significantly larger. This is not a long time, the development of China's open-end fund launched very quickly. Open-end fund to provide a platform for a large number of frequent short-term behavior of investors trading from some that did not fully play the role expected to stabilize the stock market, but in a certain period of time to increase the volatility of the stock market, exacerbated the risk of the securities market. . This fund launch first original intention contrary. In response to this situation, regulators, investors and fund managers with alternative proposals.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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