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Study On The Liquidity Risk Management Of China's Open-end Securities Investment Funds

Posted on:2005-06-19Degree:MasterType:Thesis
Country:ChinaCandidate:H P LuoFull Text:PDF
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With the deepening reform of China's Capital Market, open-end fund has become the inevitable choice of the fund industry of our country. As one of the most striking financial innovations of China, open-end fund demonstrated its outstanding survival ability and is developing faster and faster. Compared with close-end fund, open-end fund has many advantages as a new financial tool. However, it also brings the fund manager another new problem. Not only does it just concern about risk and return issue of portfolio management, but also it must manage the problem of portfolio on liquidity purpose, that is liquidity risk management.Since open-end fund has specific characteristics on the application mechanism of purchase and redemption, and it provides more convenient mechanism of entry and withdrawal. Strong liquidity is the key to management and developing healthy during the daily operation of open-end fund. Abroad experiences make clear that gigantic redemption is the direct reason of liquidity risk, and such as management risk, market risk and operation risk can break out through the accumulation of liquidity risk. So the liquidity risk has become the all kinds of risk's concentration performance of open-end fund. And it is the principal problem confronted with fund manager. This paper tries to systematically study and discuss based on these respects. In fund manager's view, this paper combines together qualitative with quantitative analysis method, and tries to expound the risk management in fund entities from the aspects of system and technique. The paper consists of four parts. The first part is summarized that briefly started with the definitions and characteristics of open-end fund and liquidity risk, and introduced the target and plan. The second part is the analysis of liquidity risk of open-end fund. In this part author analyzes the formation reason of open-end fund's liquidity risk then analyses the particularities of open-end fund's liquidity risk link with the situation of our country. The third part is the positive analysis of open-end fund's liquidity risk of China. In this part author briefly introduces VaR, then attempts to use the thought of VaR to design Liquidity-adjusted VaR, and measures the liquidity risk of open-end fund, and at last comparatively analyzes the liquidity risk of China. The fourth part is prevention and management the liquidity risk of open-end fund. In this part through the analysis of the producing and developing of China's open-end fund the studies and discussions of exterior mechanism design and interior management of risk elusion are introduced from macro and micro views, then author brings forward the corresponding advice and countermeasure.
Keywords/Search Tags:open-end fund, liquidity, liquidity risk, VaR
PDF Full Text Request
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