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

【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我國基金市場對外開放后在全球范圍內(nèi)有效地實現(xiàn)基金資產(chǎn)的保值增值，如何進行基金的風險防范和管理。在我國基金誕生之時國外全新的風險管理工具在險價值（VaR）不斷發(fā)展壯大起來，現(xiàn)已經(jīng)成為金融資產(chǎn)的風險管理的主流工具，可以說它的確立是風險管理領域的一次革命，開創(chuàng)了全面風險管理的新時代。 文章利用VaR度量當前我國開放式證券投資基金風險值水平，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個月作為檢驗考察每個模型的有效性；另外以GARCH模型計算某一只基金組合的VaR并模型的有效性。最終發(fā)現(xiàn)：1、樣本基金存在嚴重的尖峰厚尾性；大部分樣本基金不存在ARCH效應。2、基金光大保德信量化核心（360001）等多只基金的風險價值在整個樣本基金中相對較大；不能從投資類型來判斷基金風險值大小。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計算出組合在置信度95%和99%的風險價值分別為3.111%和4.400%，該模型在95%置信度下檢驗結(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)�；谏鲜鼋Y(jié)論，投資者或基金公司在使用分析法預測基金的VaR值時要假設與經(jīng)驗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險值計算最優(yōu)模型，，增強風險預測的可靠性，加強對旗下各基金組合風險度量與監(jiān)測，做好風險防范與管理。
[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.

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

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