The Research Of The Liquidity Risk Of China Open-End Fund

The "open operation way" of the open-ended fund, make it face the investors' applying of purchasing and redeeming at any time, this make its liquidity risk cant be ignored. In chapter one, the text research the relevant theory of financial risks and its management and the current studying situation both at home and abroad of open-ended fund liquidity risk systematically, pointed out the deficiency among them. In chapter two, this text compared the relevant liquidity index, and then according to the operation characteristic of the open-ended fund, Combining probability with the redeeming rate of the open-ended fund, on the basis of drawing lessons from the famous model" VaR ", put forward "R_VaR",the liquidity index of the open-ended fund ,And it has done the positive research. Chapter three , with the change measurement as the liquidity risk of NAV around cashing of open-ended fund, And according to losing minimum and income most heavy principle, set up open-ended fund liquidity the model of estimating s of risks on the basis of ones that cash optimally, And then chapter four, it take domestic two open-ended funds as an example, whose name is by model go on and calculate to liquidity risk, Estimate model carry on sensitivity analysis, combine instance analysis open-ended fund liquidity the influence factories to liquidity risks, And incorporate the result of the income in the formulation of the management policy of the risk. In chapter five, combine international experience and domestic reality, To making and at macroscopic and microcosmic two angles been made and probe into tactics open-ended the liquidity risk management policies of funds. At last, this text is summarized, proposed looking into the distance.