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Metrics and empirical analysis of the market risk of open-end funds in China

Author: ChangLin
Tutor: WangChunLi
School: Dongbei University of Finance
Course: Statistics
Keywords: Risk Measurement VaR model Semi-parametric method Cointegration Analysis
CLC: F832.5
Type: Master's thesis
Year: 2005
Downloads: 259
Quote: 0
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Abstract


Open-end funds as a mainstream product of the investment fund market in China is still in the growth stage. Our relatively immature investment fund market environment, how to build a modern scientific risk management system to prevent and control the risk of open-end funds, has become an urgent problem of the number of investors and the securities regulatory authorities in China. Risk measure as an important stage in the risk management, it is related to the accuracy of the decision-making of investors. For open-end funds, the risks faced can be attributed to three categories: market risk, liquidity risk, and operational risks, market risk and liquidity risk are the two most important risk of open-end funds. But from China's investment environment, the open-end fund's liquidity risk is the market risk of a form of expression, The final decisive force in the market risk. By how accurate historical data, intuitively reflect the Fund's market risk level to become an important part in the risk measure. This article aims to quantitative analysis of the basic situation of China's open-end fund risk, risk management and the basic theory of the open-end fund, leads to the open-end fund's risk measure specific international market risk measurement methods GARCH model and VaR model, Riskmetrics and semi-parametric method and analytical framework in VaR theory and empirical analysis of the level of market risk of open-end funds, and also by open-end funds and securities market is the relationship between the stock market cointegration analysis, open-end funds in China to illustrate the existence of irrational potential risk factors. This paper is divided into three chapters: the first chapter, theoretical overview of the risk management and open-end fund. Brief introduction to the basic theory and the development of risk management and the open-end fund, a more detailed discussion of the risk measure dynamic as well as China's open-end fund's risk. Chapter II, market risk measurement methods and empirical analysis. The first section details the basic methods of risk measurement and modern measurement methods, mainly GARCH and VaR model; adopt the Riskmetrics and semi parameters based on a variety of tests of our fund data selected open-end fund sample empirical analysis, and compare the empirical results of the two methods. Section II starting from the discussion of fund prices, changes in the securities market relations, the use of the Johansen test methods, price changes, open-end funds and the stock market price changes in the stock market (including Shenzhen and Shanghai Stock Exchange) cointegration

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