發(fā)布時(shí)間：2018-04-25 03:09

  本文選題：開放式基金 + VaR理論��； 參考：《合肥工業(yè)大學(xué)》2014年碩士論文

【摘要】：近年來，伴隨著經(jīng)濟(jì)全球化和金融一體化的進(jìn)程，中國(guó)的金融市場(chǎng)取得了前所未有的發(fā)展，金融風(fēng)險(xiǎn)也呈現(xiàn)加劇現(xiàn)象。開放式基金作為一種專家管理的集合投資方式，已成為我國(guó)證券市場(chǎng)的主要參與者。如何度量其風(fēng)險(xiǎn)，已成為金融監(jiān)管機(jī)構(gòu)與基金持有者共同關(guān)心的問題。因此，研究開放式基金市場(chǎng)風(fēng)險(xiǎn)具有重要的理論和實(shí)踐意義。 本文針對(duì)后危機(jī)時(shí)期我國(guó)開放式基金市場(chǎng)，應(yīng)用基于VaR理論的GARCH模型對(duì)我國(guó)開放式基金風(fēng)險(xiǎn)進(jìn)行了實(shí)證研究。論文選取十五只基金的日收益凈值數(shù)據(jù)，使用Eviews7.0計(jì)量分析軟件對(duì)這十五只開放式基金時(shí)間收益序列進(jìn)行綜合分析，得出各自收益率分布情況，并利用ARCH-LM檢驗(yàn)時(shí)間序列存在異方差、波動(dòng)聚集性等特征。隨后以單只基金為例選擇合適的模型，再利用此模型在t分布和GED分布的假設(shè)下，建立了估計(jì)基金風(fēng)險(xiǎn)的VaR-GARCH模型，，對(duì)各只基金及不同類型基金的VaR值進(jìn)行估計(jì)。最后在95%和99%置信水平下，運(yùn)用Kupiec方法對(duì)VaR模型的準(zhǔn)確性進(jìn)行了返回檢驗(yàn)。得出如下主要結(jié)論: t分布可以刻畫基金收益率序列的尖峰厚尾特征，但是t分布的尾部較厚，根據(jù)GARCH(1,1)-t分布模型計(jì)算VaR值會(huì)高估真實(shí)的風(fēng)險(xiǎn)，根據(jù)GARCH(1,1)-GED分布模型計(jì)算的VaR值能較真實(shí)的反映基金風(fēng)險(xiǎn)；95%置信水平下，GARCH-t模型存在高估風(fēng)險(xiǎn)，而GARCH-GED模型存在低估風(fēng)險(xiǎn)；99%置信水平下，GARCH-t模型和GARCH-GED均存在高估風(fēng)險(xiǎn)。最后，基于實(shí)證研究的啟示，結(jié)合我國(guó)開放式基金風(fēng)險(xiǎn)管理的現(xiàn)狀，提出了相應(yīng)的政策建議。
[Abstract]:In recent years, with the process of economic globalization and financial integration, China's financial market has achieved unprecedented development and financial risks are becoming more and more serious. As an expert management, the open fund has become the main participant in the securities market. How to measure its risk has become a financial supervision. Therefore, it is of great theoretical and practical significance to study the market risk of open-end funds.
In view of the open end fund market of China in the post crisis period, this paper uses the GARCH model based on VaR theory to carry out an empirical study on the risk of open-end fund in China. The paper selects the net daily income data of fifteen funds, and uses the Eviews7.0 econometric analysis software to comprehensively analyze the time income sequence of the fifteen open-end funds. The ARCH-LM test time series has the characteristics of heteroscedasticity and volatility aggregation. Then a single fund is used as an example to choose a suitable model. Under the assumption of t distribution and GED distribution, a VaR-GARCH model for estimating fund risk is established, and the VaR value of funds and different types of funds is also established. At the end of the 95% and 99% confidence levels, the accuracy of the VaR model is tested by the Kupiec method. The main conclusions are as follows: the t distribution can depict the peak and thick tail characteristics of the fund yield sequence, but the tail of the t distribution is thicker, and the GARCH (1,1) -t distribution model can overestimate the real risk, root, and the root of the GARCH (1,1) -t distribution model. According to the GARCH (1,1) -GED distribution model, the VaR value can reflect the risk of the fund more truly; under 95% confidence level, the GARCH-t model overestimates the risk, and the GARCH-GED model underestimates the risk; under the 99% confidence level, the GARCH-t model and GARCH-GED are all overestimated risk. Finally, the Revelation based on the empirical study, combined with our open-end fund The present situation of risk management puts forward corresponding policy recommendations.

【學(xué)位授予單位】：合肥工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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