本文選題：VaR + GARCH模型��； 參考：《北京工業(yè)大學(xué)》2012年碩士論文

【摘要】：隨著我國證券投資基金尤其是開放式基金的快速發(fā)展，基金已成為投資者重要的理財(cái)對象，基金的業(yè)績表現(xiàn)受到廣泛關(guān)注，無論對投資者，還是對基金管理公司而言，對基金的業(yè)績進(jìn)行全面合理的評價(jià)和分析都具有非常重要的意義。但理論界對基金評價(jià)指標(biāo)的選擇仍未達(dá)成共識，尚未形成我國的基金業(yè)績評價(jià)體系。傳統(tǒng)的三大基金績效評估方法包括Sharpe指數(shù)、Treynor指數(shù)和Jensen指數(shù)，這些經(jīng)典的風(fēng)險(xiǎn)調(diào)整收益指標(biāo)在一定程度上衡量了基金的績效，但都存在一些缺陷。為了彌補(bǔ)這些缺陷，本文將衡量下方風(fēng)險(xiǎn)的風(fēng)險(xiǎn)價(jià)值(Value at Risk,簡稱VaR)引入基金績效評估中，通過實(shí)證研究來分析VaR在我國開放式基金績效評估中的應(yīng)用。 風(fēng)險(xiǎn)價(jià)值，是指在一定的持有期和一定的置信水平下來考察投資組合可能存在的潛在最大損失。它是一種用概率來描述投資組合價(jià)值變化的風(fēng)險(xiǎn)管理工具。本文中研究的基于VaR的風(fēng)險(xiǎn)調(diào)整收益指標(biāo)又稱為基于VaR的Sharpe指數(shù)，即Risk-Adjusted Return On Capital，，簡稱RAROC。 本文選取2005年1月1日到2011年12月31日之間6家不同基金管理公司的不同類型基金的周收益率作為研究對象，根據(jù)風(fēng)險(xiǎn)調(diào)整收益的思想，采用基于VaR的Sharpe指數(shù)對基金業(yè)績進(jìn)行評價(jià)，將衡量下方風(fēng)險(xiǎn)的VaR方法應(yīng)用在基金績效評價(jià)上，分析單只基金的不同市場表現(xiàn)、不同基金管理公司的績效水平、不同類型基金的績效水平，并與傳統(tǒng)基金業(yè)績評價(jià)方法進(jìn)行比較。通過實(shí)證分析得出所有樣本基金基于VaR的Sharpe指標(biāo)及三種傳統(tǒng)的績效評價(jià)指標(biāo)的績效排名均優(yōu)于市場組合，說明我國證券投資基金的業(yè)績總體上優(yōu)于市場基準(zhǔn)組合；基于VaR的Sharpe指數(shù)的績效評估排名和傳統(tǒng)的三大指數(shù)的排名相比呈現(xiàn)出較明顯的正相關(guān)；在股市的上升階段的標(biāo)準(zhǔn)差和VaR均明顯大于股市下降階段的值，這說明市場行情上升時(shí)往往潛伏著更大的風(fēng)險(xiǎn)；債券型基金在市場下降階段表現(xiàn)出了良好的抗跌性。
[Abstract]:With the rapid development of China's securities investment funds, especially open-end funds, the fund has become an important financial object for investors. The performance of the fund has received extensive attention, not only for investors, but also for fund management companies. It is of great significance to evaluate and analyze the fund's performance in a comprehensive and reasonable way. However, the theoretical circle has not reached a consensus on the selection of fund evaluation indicators, and has not yet formed a fund performance evaluation system in China. The three traditional performance evaluation methods include Sharpe index Treynor index and Jensen index. These classic risk-adjusted return indexes measure the performance of the fund to a certain extent, but they all have some defects. In order to remedy these defects, this paper introduces the value at risk (VaR) to fund performance evaluation, and analyzes the application of VaR in open-end fund performance evaluation through empirical research. The value of risk refers to the potential maximum loss of portfolio under certain holding period and certain confidence level. It is a risk management tool that uses probability to describe portfolio value changes. The risk-adjusted return index based on VaR in this paper is also called the Sharpe index based on VaR, that is, Risk-Adjusted return on Capital. From January 1, 2005 to December 31, 2011, the weekly rate of return of six different fund management companies is chosen as the research object. This paper uses Sharpe index based on VaR to evaluate fund performance, applies VaR method to fund performance evaluation, analyzes the different market performance of single fund and the performance level of different fund management company. The performance levels of different types of funds are compared with traditional fund performance evaluation methods. Through the empirical analysis, it is concluded that the Sharpe index of all sample funds based on VaR and the performance ranking of the three traditional performance evaluation indicators are superior to the market portfolio, indicating that the performance of China's securities investment funds is generally better than the market benchmark portfolio. The performance evaluation rank of Sharpe index based on VaR has obvious positive correlation with that of the traditional three indexes, and the standard deviation and VaR in the rising stage of stock market are obviously larger than those in the declining stage of stock market. This suggests that higher risks tend to lurk in rising markets, and bond funds have shown good resilience during the downturn.
【學(xué)位授予單位】：北京工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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