本文選題：證券投資基金　切入點(diǎn)：VaR　出處：《上海師范大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：我國基金尤其是開放式證券投資基金近年來發(fā)展迅速，投資群體、投資規(guī)模不斷擴(kuò)大，市場影響力逐步加深。這些迅速壯大的基金尤其是開放式基金不得不面臨的問題是如何當(dāng)我國基金市場對外開放后在全球范圍內(nèi)有效地實(shí)現(xiàn)基金資產(chǎn)的保值增值，如何進(jìn)行基金的風(fēng)險(xiǎn)防范和管理。在我國基金誕生之時(shí)國外全新的風(fēng)險(xiǎn)管理工具在險(xiǎn)價(jià)值（VaR）不斷發(fā)展壯大起來，現(xiàn)已經(jīng)成為金融資產(chǎn)的風(fēng)險(xiǎn)管理的主流工具，可以說它的確立是風(fēng)險(xiǎn)管理領(lǐng)域的一次革命，開創(chuàng)了全面風(fēng)險(xiǎn)管理的新時(shí)代。 文章利用VaR度量當(dāng)前我國開放式證券投資基金風(fēng)險(xiǎn)值水平，具體使用指數(shù)移動平均法、歷史模擬法和蒙特卡羅法分別以20天、250天和20天作為時(shí)間窗口度量未來一天每支樣本基金的潛在損失值，并以2011年1月至2012年9月共21個(gè)月作為檢驗(yàn)考察每個(gè)模型的有效性；另外以GARCH模型計(jì)算某一只基金組合的VaR并模型的有效性。最終發(fā)現(xiàn)：1、樣本基金存在嚴(yán)重的尖峰厚尾性；大部分樣本基金不存在ARCH效應(yīng)。2、基金光大保德信量化核心（360001）等多只基金的風(fēng)險(xiǎn)價(jià)值在整個(gè)樣本基金中相對較大；不能從投資類型來判斷基金風(fēng)險(xiǎn)值大小。3、置信水平的選擇對模型的有效性有一定的影響。4、使用GARCH-VaR計(jì)算出組合在置信度95%和99%的風(fēng)險(xiǎn)價(jià)值分別為3.111%和4.400%，該模型在95%置信度下檢驗(yàn)結(jié)果不顯著；5、從模型在樣本基金的優(yōu)劣性看蒙特卡羅模擬法較其他兩種方法更優(yōu)。基于上述結(jié)論，投資者或基金公司在使用分析法預(yù)測基金的VaR值時(shí)要假設(shè)與經(jīng)驗(yàn)分布趨勢較一致的分布，對GARCH模型也不能盲目使用；基金公司要考慮選擇基金的風(fēng)險(xiǎn)值計(jì)算最優(yōu)模型，，增強(qiáng)風(fēng)險(xiǎn)預(yù)測的可靠性，加強(qiáng)對旗下各基金組合風(fēng)險(xiǎn)度量與監(jiān)測，做好風(fēng)險(xiǎn)防范與管理。
[Abstract]:China's fund especially the open-end securities investment fund has developed rapidly in recent years, the investment group, expanding the scale of investment, market influence gradually deepened. The rapid growth of the fund especially the open-end funds have to face the problem of how to when the fund market in China after the opening in the global scope effectively and increase the value of fund assets and how to conduct risk prevention and management of funds in our country. The birth of the new foreign fund risk management tool value at risk (VaR) of growing up, now has become a main tool of risk management of financial assets, it can be said that the establishment of a revolution in the field of risk management, ushered in a new era comprehensive risk management.
By using the VaR measure the current level of China's open-end securities investment funds risk value, the specific use of exponential moving average method, historical simulation method and Monte Carlo method respectively in 20 days, 250 days and 20 days as a time window measure next day each sample fund the potential loss of value, and from January 2011 to September 2012 a total of 21 months as the effectiveness of the inspection of each model; in addition to effectiveness of GARCH model and VaR model of a fund portfolio. Finally found that: 1, the sample fund has peak thick tail serious; most of the sample funds does not exist in the ARCH effect.2, Baode Everbright fund letter quantify core (360001) value of risk a number of funds in the fund in the whole sample is relatively large; not from the type of investment fund risk value to determine the size of.3, the validity of the confidence level selection for model has certain effect on.4, GARC H-VaR calculates the portfolio value at risk confidence 95% and 99% were 3.111% and 4.400%, the model at the 95% confidence level test results was not significant; 5, from the quality of the model in the sample funds at the Monte Carlo simulation method is better than the other two kinds of methods. Based on the above conclusions, the investment fund or fund company forecast the VaR value distribution hypothesis and empirical distribution trend is consistent in using the analysis method, the GARCH model can not blindly use; fund companies to consider fund risk value calculation of optimal model, enhance the reliability of risk prediction, to strengthen the fund's portfolio risk measurement and monitoring, the risk prevention and management.

【學(xué)位授予單位】：上海師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.51

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