本文關鍵詞：基于流動性風險調(diào)整的我國開放式基金績效評價　出處：《上海師范大學》2014年碩士論文　論文類型：學位論文

  更多相關文章： 開放式股票基金 流動性風險 分位數(shù)S回歸 歷史模擬VaR 績效評價

【摘要】：起源于美國的次貸危機于2007年8月開始席卷全球，流動性風險在這次金融危機中扮演了非常重要的角色，成為危機爆發(fā)和迅速蔓延的重要推手之一，近年來非常活躍的開放式基金也受到了影響。普通投資者對于基金的認識也在市場的大幅波動中不斷深化，風險意識不斷增強，在考慮基金收益同時對于投資風險，尤其流動性風險也越來越關注。 傳統(tǒng)績效評價指標雖然在業(yè)界得到廣泛地應用，，但存在著缺陷與不足。夏普、特雷諾指數(shù)和詹森指數(shù)所依據(jù)的理論基礎假設條件過多，特別是有效市場假設和收益率正態(tài)分布假設與實際相差過大，使得績效評價結(jié)果的有效性受到一定影響。其次，標準差和Beta系數(shù)作為風險描述反應的都是全局風險(即與均值相偏離的風險)，這與投資者所關注的下方風險(即帶來損失的風險)并不一致。 風險價值VaR作為一種絕對風險度量方式，區(qū)別于傳統(tǒng)相對風險的描述方式，而且不需要對收益率分布做嚴格限制，在現(xiàn)代的風險管理領域受到廣泛推崇。本文針對傳統(tǒng)基金評級指標的不足，在前人的理論研究基礎上把流動性風險代入CAViaR模型得出基金風險價值，并將其作為風險因子引入風險調(diào)整資本回報率(RAROC，Risk-Adjusted Return Of Capital)來評價基金業(yè)績。然后將RAR0C指標和傳統(tǒng)基金業(yè)績評價指標進行Kendall r相關性分析，得出RAROC指標與風險描述指標的相關性if高，可以更好地反映基金業(yè)績中的潛在風險，而且RAROC指標與其他指標的相關性最低，說明RAR0C指標并(、是傳統(tǒng)指標的簡卑變形，對基金的業(yè)績評價有一定的參考意義。
[Abstract]:The subprime mortgage crisis which originated in the United States began to sweep the world in August 2007. Liquidity risk has played a very important role in the financial crisis and has become one of the important drivers of the outbreak and rapid spread of the crisis. In recent years, open-end funds, which are very active, have also been affected. At the same time, the investment risk, especially liquidity risk, is more and more concerned. Although the traditional performance evaluation indicators have been widely used in the industry, but there are defects and deficiencies. Sharp, Traineau index and Jensen index are based on a lot of theoretical assumptions. In particular, the efficiency market hypothesis and the normal distribution of return assumption and the actual difference is too large, so that the effectiveness of the performance evaluation results are affected to some extent. Secondly. Both the standard deviation and the Beta coefficient reflect the global risk (that is, the risk that deviates from the mean value) as a risk description, which is inconsistent with the underlying risk (that is, the risk of loss) that investors are concerned about. As a measure of absolute risk, VaR is different from the traditional description of relative risk, and there is no need to restrict the distribution of return rate. In the field of modern risk management is widely praised. In view of the shortcomings of traditional fund rating indicators, this paper puts liquidity risk into the CAViaR model to get the value of fund risk on the basis of previous theoretical research. As a risk factor, it is introduced into RRR RAROC. Risk-Adjusted Return of Capital. Then the RAR0C index and the traditional fund performance evaluation index are analyzed by Kendall r correlation analysis. It is concluded that the correlation between the RAROC index and the risk description index is high, which can better reflect the potential risk in the performance of the fund, and the correlation between the RAROC index and other indicators is the lowest. It shows that the RAR0C index is the simple and inferior deformation of the traditional index, which has certain reference significance for the performance evaluation of the fund.
【學位授予單位】：上海師范大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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