Research On The Liquidity Risk Management Of Open-end Fund

It is one of the most important functions of market to make investors transact rapidly and efficiently at the less cost, which means that market must be enough liquid. The liquidity of market can offer investors chances to transact. If market is short of liquidity, transactions are difficult to be finished and market does not need to exist. So we can make this conclusion that liquidity is the all of market. The character of open-end fund is open which makes more sense the necessity of liquidity. The liquidity directly makes effect on the development and existence of fund. The liquidity risk of open-end fund means that the uncertainty of redemption time and redemption amount can cause the uncertain loss due to convert fund capital to cash. The risk even can be the same as bank run.This dissertation consists of four chapters. In Chapter 1, the paper presents some management theories about open-end fund liquidity risk, analyzes the meaning of liquidity and liquidity risk, gives some causes of liquidity risk, and shows characters of open-end fund liquidity risk in our country. Based on Chapter 1, the following three chapters study open-end fund liquidity risk management in terms of assets, liabilities and policy separately. In Chapter 2, in terms of assets the paper studies open-end fund liquidity risk management and liquidity measurement indexes such as trading volume, turnover rate, scale, price variance, flexibility and quantitative index L_VaR so on. The novelty point of this chapter is where the part gives quantitative measurement, and shows the real meanings of liquidity, which makes the ground to build module of liquidity risk quantitative measurement. Furthermore, Based on the classification of open-end fund assets in our country, the part discusses assets clear-out strategy of open-end fund liquidity risk management. In Chapter 3, open-end fund liquidity risk management is analyzed in terms of endogenous liabilities and exogenous liabilities separately. By the discussion of endogenous liabilities and the contrast of common fundmanagement between in our country and in America, we analyze the relations between the class of open-end fund, structure of investors, structure design of rate and liquidity risk management. By the discussion of exogenous liabilities, we do more deeply research on finance policy of open-end fund, and design open-end fund finance policy due to reality of our country. This chapter is instructive to real operation of open-end fund liquidity management in our country. In Chapter 4, the paper brings forward some policy advice about regulations of existing capital market. And by analysis of market microstructure and derivatives, the paper gives direction of open-end fund liquidity risk management in our country.By the above four part, the author makes the conclusions as following. Firstly, fund firms should classify their assets, and should construct the open-end fund on the whole. Secondly, fund firms should definitude the classification of fund and the reception of investors, and the balance between the both. Finally, to strengthen the management of open-end fund liquidity risk, firms need much help from the government.