本文選題：開放式基金 + 風(fēng)險預(yù)警��； 參考：《浙江財經(jīng)大學(xué)》2014年碩士論文

【摘要】：近年來，隨著國民經(jīng)濟的快速增長，作為金融業(yè)重要組成部分的證券投資基金得到了蓬勃發(fā)展，反過來又對國民經(jīng)濟的發(fā)展起到一定的積極作用。但是與此同時，基金業(yè)內(nèi)在的風(fēng)險性也開始逐步暴露出來。作為金融風(fēng)險監(jiān)管的一個重要組成部分，對基金業(yè)的風(fēng)險進行合理識別、測度、控制并建立預(yù)警模型是有其理論意義與實踐意義的。然而，目前理論界對于基金風(fēng)險管理的研究主要集中于風(fēng)險的評價與測度；在估算出基金風(fēng)險之后如何建立有效的預(yù)警機制來防范并控制風(fēng)險還有待進一步的研究。另外，2008年國際金融危機暴露出金融體系的非穩(wěn)定性以及順周期性，需要將傳統(tǒng)的微觀審慎監(jiān)管理念轉(zhuǎn)向宏觀審慎監(jiān)管理念，從金融系統(tǒng)的順周期性和逆周期性來研究其對于整個經(jīng)濟體的分散風(fēng)險或積聚風(fēng)險的作用。但遺憾的是，大多數(shù)學(xué)者還是關(guān)注金融業(yè)的傳統(tǒng)行業(yè)——銀行業(yè)，從巴塞爾協(xié)議對銀行業(yè)的資本約束的順逆周期性來研究金融風(fēng)險的穩(wěn)定性，很少有學(xué)者涉及證券業(yè)，而從基金業(yè)順逆周期性來研究基金風(fēng)險監(jiān)管方法的更是少之又少。因此，本文試圖從基金業(yè)順逆周期性的角度出發(fā)，建立逆周期風(fēng)險預(yù)警模型。 本文首先對現(xiàn)階段已有的國內(nèi)外研究成果進行一個回顧，總結(jié)關(guān)于逆周期監(jiān)管理論和風(fēng)險預(yù)警模型建立的研究成果；其次驗證我國開放式基金的順逆周期性；再次用CHAID決策樹和貝葉斯網(wǎng)絡(luò)來構(gòu)建我國開放式基金風(fēng)險預(yù)警模型，最后得出結(jié)論并給出政策建議。因此，本文的結(jié)構(gòu)安排如下：第一章是緒論，主要介紹本文的研究背景和研究意義，設(shè)計研究思路并提出研究創(chuàng)新點；第二章是國內(nèi)外文獻綜述，綜合討論目前開放式基金風(fēng)險研究的不足之處，以及逆周期理論和風(fēng)險預(yù)警模型對其可借鑒之處；第三章介紹開放式基金特征及來源，并將基于中證基金指數(shù)的在險值（VaR）與國內(nèi)生產(chǎn)總值（GDP）、上證綜合指數(shù)等建立回歸模型，檢驗開放式基金風(fēng)險的順逆周期性；第四章建立開放式基金風(fēng)險預(yù)警指標(biāo)體系，構(gòu)建基于CHAID決策樹算法和貝葉斯網(wǎng)絡(luò)的風(fēng)險預(yù)警模型并進行實證研究；第五章對全文進行總結(jié)與展望，并在逆周期監(jiān)管理論視角下提出政策建議。 實證研究結(jié)果表明，我國開放式基金風(fēng)險與國內(nèi)生產(chǎn)總值增長率、上證綜合指數(shù)增長率都存在順周期性效應(yīng)，因此建立開放式基金風(fēng)險的逆周期監(jiān)管制度非常必要。另外，本文建立了包括16個指標(biāo)在內(nèi)的風(fēng)險預(yù)警指標(biāo)體系，以開放式基金外部機構(gòu)評級為風(fēng)險衡量指標(biāo)，利用CHAID決策樹算法和貝葉斯網(wǎng)絡(luò)構(gòu)建的開放式基金風(fēng)險預(yù)警模型的檢出準(zhǔn)確率達到75%~85%，總體預(yù)警效果比較不錯，基本能夠?qū)﹂_放式基金進行準(zhǔn)確分類；而且貝葉斯網(wǎng)絡(luò)模型同時給出各個節(jié)點的條件概率，據(jù)此可以計算單個個案被分類為某一類的條件概率。 本文的創(chuàng)新點有從逆周期監(jiān)管角度切入來思考開放式基金的風(fēng)險管理；不僅考慮開放式基金風(fēng)險測度問題，并驗證其順周期性，為證券業(yè)順周期行為做了一個實證補充，同時考慮了開放式基金的風(fēng)險預(yù)警模型建立問題；在預(yù)警模型建立中，，運用數(shù)據(jù)挖掘中的CHAID決策樹算法和貝葉斯網(wǎng)絡(luò)方法，較以往常用的判別分析法和回歸分析法是一個較大的突破。
[Abstract]:In recent years, with the rapid growth of the national economy, the securities investment fund as an important part of the financial industry has been booming, which in turn to the development of the national economy play a positive role. But at the same time, the risk of internal fund industry began to gradually exposed. As an important part of financial risk supervision reasonable, identification, risk of fund industry measure, control and early-warning model has its theoretical significance and practical significance. However, the evaluation and measurement of the present theory for the study of fund risk management mainly focus on the risk; the estimate of fund risk how to establish an effective early-warning mechanism to prevent and control the risks need to be further studied. In addition, the 2008 international financial crisis exposed the stability of the financial system and non cyclical, the traditional micro Prudential supervision concept to the idea of macroprudential supervision, from the pro cyclical and counter cyclical financial system to study the entire economy risk or risk accumulation effect. Unfortunately, most scholars still pay close attention to the financial industry's traditional industries: banking, from Basel Shun protocol to study the stability of financial risk inverse periodic capital constraints on the banking industry, there are few scholars involved in the securities industry, from the fund industry to study the fund risk supervision method of reverse cycle is even less. Therefore, this paper attempts to reverse the cycle of the fund industry's point of view, the establishment of a counter cyclical risk early warning model.
This paper is a review of the existing research results at home and abroad, summarizes the research results based on inverse cycle regulation theory and risk early-warning model; secondly, reverse the periodic verification of China's open-end fund; again with CHAID decision tree and Bayesian network to build China's open-end fund risk early warning model. The final conclusion and gives policy suggestions. Therefore, this paper is organized as follows: the first chapter is the introduction, mainly introduces the research background and significance, research ideas and put forward the design of research and innovation; the second chapter is the literature review at home and abroad, a comprehensive discussion of the current shortcomings of open-end fund risk research, and the inverse cycle theory and the risk early-warning model can be used for reference to it; the third chapter introduces the type and characteristics of open fund sources, and based on the SSE fund index value at risk (VaR) and domestic Gross domestic product (GDP), the Shanghai composite index regression model, reverse the periodic inspection of the open-end fund risk; the fourth chapter establish open-end fund risk early-warning index system, based on the risk early-warning model of CHAID decision tree algorithm and Bayesian network and empirical research; the fifth chapter summary of the article. And put forward the policy recommendations in view of inverse cycle regulatory theory.
The empirical results show that China's open-end fund risk and the GDP growth rate, growth rate of Shanghai Composite Index has pro cyclical effect, it is necessary therefore to establish the inverse cycle regulatory system of open-end fund risk. In addition, this paper establishes the risk early-warning index system including 16 indexes, the open-end fund the external rating agencies for risk measure, using the detection of open-end fund risk early warning model and algorithm of Bayesian networks, decision tree CHAID accuracy rate reached 75%~85%, the overall effect of the early warning is good, can the accurate classification of open-end funds; and the Bayesian network model is given to each node of the conditional probability, which can calculate the individual case is classified as a class of conditional probability.
The innovation of this paper is to consider the risk management of open-end funds from counter cyclical regulatory perspective; not only consider the open-end fund risk measure, and verify its procyclicality, securities industry cyclical behavior adds an empirical, and considers the establishment of risk early-warning model of open-end fund in the early warning; in the modeling, using CHAID decision tree algorithm and Bias network method in data mining is commonly used in the past, discriminant analysis method and regression analysis method is a breakthrough.

【學(xué)位授予單位】：浙江財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F832.51

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