Dissertation > Excellent graduate degree dissertation topics show

Our open-end fund market risk measurement

Author: ZuoYuShi
Tutor: ZhuShuZhen
School: Donghua University
Course: Finance
Keywords: Open-end fund Market Risk Measurement value at risk GARCH model SV Model
CLC: F224
Type: Master's thesis
Year: 2012
Downloads: 111
Quote: 0
Read: Download Dissertation

Abstract

As of 2011, China's open-end fund after more than ten years of development, the number and size accounted for more than 90%, mutual funds have become the market mainstream products, occupy an important position in the market. However, in an open-end fund booming Meanwhile, China's securities market system is incomplete, the lack of hedging tools, open-end funds facing greater market risk. Therefore, how to effectively measure the market risk of open-end funds, in order to manage market risks to provide basis for decision making, which in terms of institutional and individual investors are critical. With the development of securities markets, investment products innovation, the original method of risk measurement methods such sensitivity, volatility method due to its own limitations can not meet the demands of reality, VaR approach in this context came into being. Since VaR method has the accuracy, practical and scientific, and the data can be used to measure a financial asset risk, since its launch after being widely used in the financial sector, the mainstream approach. The use of the VaR approach, GARCH Model and SV model these two types of conditional heteroskedasticity models are better able to return to financial data volatility characteristics portrayed. In this study the risk of open-end funds as the core measure, trying to find the optimum risk estimation models. This article first open-end fund risk theory, expounded China's market risk of open-end funds are managed and describes the practical needs compared the risk measurement methods, results VaR is a better measure of market risk. Followed by a comparative analysis of two types of GARCH model and SV model conditional heteroskedasticity model, the results showed that these two types of heteroskedasticity models can fit the volatility of the return series features, including SV model is superior, based on GARCH Model and SV Model VaR approach can be realized on the market risk of open-end funds effective measure. Subsequently, selected twelve open-end funds as the research object, were established based on normal distribution and t distribution GARCH model and SV model, and the resulting time-varying variance applied to the calculation of VaR, by returning the test to get based on SV -t model is a measure of VaR Method open-end fund market risk optimum model, and then, based on empirical results quantitatively compare equity funds and fund derivatives at risk. Finally, the VaR method is applied to an open-end fund risk management, the initial construction method based on VaR risk management system. Innovation of this paper is to try to use the GARCH and SV models class model for open-end fund volatility of return series analysis, and thus the use of VaR Method for open-end fund market risk measure, in order to find the optimum measure of the risk model . In addition, this paper compares the use of quantitative methods equity funds and fund derivatives risk, which can also be used as - an innovative point.

Related Dissertations

CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net Mobile