【摘要】： 我國第一只開放式基金---華安創(chuàng)新證券投資基金于2001年9月11日正式成立,宣告中國的基金業(yè)進入了一個嶄新的時期。開放式基金經(jīng)過短短幾年的發(fā)展,已取代封閉式基金成為我國投資基金業(yè)的主要發(fā)展方向,并從中衍生出更廣義的開放式基金---LOF和ETF。 本文利用目前國際上比較流行的風險測量方法---VaR方法來定量分析我國開放式基金的市場風險。在我國目前的市場環(huán)境下,市場風險是開放式基金面對的最主要的風險,流動性風險則是市場風險的一種表現(xiàn)形式。實證分析發(fā)現(xiàn),基于GED分布的VaR計算結(jié)果要好于基于正態(tài)分布和t分布的計算結(jié)果。正態(tài)分布尾部太薄了,在置信水平比較高時會低估風險;而t分布的尾部又太厚了,容易造成對風險的高估。 鑒于我國投資環(huán)境的特殊性,在運用VaR進行風險測量的時候,需要輔之風險度量的基本方法---無條件標準差和β系數(shù)法�？紤]到我國股市波動較大,較易受到政策因素的影響,本文從風險度量的角度出發(fā),提出用β系數(shù)對VaR方法予以補充,從而對基金的市場風險有較為全面的評估,確保VaR的有效應(yīng)用。 最后,通過對五家基金管理公司兩類基金的風險進行比較分析發(fā)現(xiàn),傳統(tǒng)開放式基金與上市型開放式基金的組織形式、交易方式的選擇對基金風險的影響是顯著的。上市型開放式基金并沒有顯示出交易制度創(chuàng)新的優(yōu)越性,需進行進一步的改造和規(guī)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.
【學(xué)位授予單位】：蘭州商學(xué)院
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2008
【分類號】：F224;F832.51

【引證文獻】

相關(guān)碩士學(xué)位論文 前1條

1 周紅;GARCH-VaR模型在我國ETF風險測量中的應(yīng)用研究[D];遼寧科技大學(xué);2012年

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本文編號：2411043