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A Research On Risk Management Of Open-end Funds

Posted on:2004-05-30Degree:MasterType:Thesis
Country:ChinaCandidate:H Y GanFull Text:PDF
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Open-end funds of our country get a boost since the first one was founded in September,2001. Till now, the amount of Open-end funds is 31, total scale issued exceeds 1039.13yuan. Open-end funds get a more and more important status in Chinese security market as the amount of its total units is bigger than close-end funds'. But open-end funds face bigger and bigger risk with its expanding scale.Open-end fund is an investment mode which needs investors to undertake risk and get return together. It has no clear existed period when compared with close-end fund. The investors who invest open-end funds can buy or redeem them at any time , which seems great convenient and fluid. To fund managers, fluidity can absorb capital and enlarge the scale of funds. But it also brings bigger risk and press to these managers. Risk management technology of open-end funds which includes a series technologies and ways such as quantitative assessment of risk ^ asset allocation and manager over-sighting has become more and more advanced in these years. Research about risk management technology of our country is far behind developed countries. And research about risk management of open-end funds is more insufficient.This paper researches on the status of risk management of open-end funds deeply in order to design an integrated system of risk management. The paper adopts analysis methods which combined criterion analysis with demonstration analysis. And it concludes three problems : how do open-end funds found an organization frame of risk management; how to assessment the market risk, fluidity risk and operation risk which open-end funds face; how to found a quantitative early-warning system of risk indexes.hi designing organization frame, the paper founds an organization framework of risk management of fund corporations . Then we define the responsibility and right of every level of risk management department and point out the course of risk management reports ; The paper makes a deeply analysis and research of assessment ways and management technology of market risk> fluidity risk and operation risk which open-end funds face. And then we get a risk assessment and management system which is practical ; In designing risk alarm indexes, the paper designs kinds of risk alarm indexes from the aspects of the whole corporation and a single fund. At the same time, we use quantitative methods to found a risk early-warning and watch system.There are four innovative points in this article. First, we design an organization frame to risk management and crave up the responsibility and flow of risk management. Second, the paper makes a demonstration analysis to risk market and fluidity risk of open-end funds of our country with the latest data. Third, we make a normal test to net value of open-end funds of our country, the result shows that normal distributing doesn't exist. It explains that we can't use variance-covariance way method to calculate the VaR of daily net value of open-end funds of our country in this moment. Finally, the paper designs the early-warning indexes system of open-end funds. We bring forward early-warning indexes of three levels according to the actual status of risk management.In conclusion, the paper founds a risk management system for open-end funds which includes risk assessment risk management and risk early-warning. It suits the needs of open-end funds to make progress and strengthen risk management. The paper is in time and full of practical meaning.
Keywords/Search Tags:Open-end Fund, Organization Design, Risk Assessment, Risk Early-warning, VaR Model
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