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Methods of Risk Measures in Open-end Fund in China

Author: ZhangMin
Tutor: ZhengZuoZuo
School: Tianjin University
Course: Quantitative Economics
Keywords: Market risk GARCH model Markov GARCH model VaR Liquidity Risk
CLC: F832.51
Type: Master's thesis
Year: 2007
Downloads: 194
Quote: 1
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Abstract


This paper mainly studied from the perspective of market risk and liquidity risk of open-end fund risk measurement methods . First, the paper introduces the related theoretical background of risk measurement with domestic and foreign research overview , focusing on the Current Theories of market risk and liquidity risk . Then introduced the concepts and risk classification of open-end funds , in-depth analysis of the different sources of risk and characteristics . Then , the discussion of the econometric model for the distribution of our open-end fund market risk measurement methods and yields , and the combination of China's securities market is susceptible to policy factors and volatility characteristics of the introduction of the structural transformation of the GARCH model that Markov GARCH model . Secondly, as the core market risk measurement , VaR analysis method established in our early 16 open-end funds as the research object , sequence modeling Japanese yield based on different models and the distribution of the funds . E GARCH ( 1,1 ) - GED model can determine both the leverage effect of the return series can be described in its thick tail , and the estimation of VaR ideal , it is a good model . And then the above SSE Fund Index day yield of the object , its traditional GARCH and Markov GARCH model VaR calculation results show , based on the system conversion Markov GARCH model can better assess risk . Again , the introduction of the open-end fund is facing another important meaning and types of risk - liquidity risk , and in the existing foreign risk measurement model BDSS model based on the introduction of the three liquidity metrics , in order to establish consistent liquidity risk measurement model of China 's securities market conditions at this stage , and the open-end equity funds targeted at an empirical analysis of the VaR model were compared . Finally , in order to maintain the integrity of the article briefly describes the other risks faced by the open-end fund and its measurement methods , such as operational risk and credit risk .

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