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The Research On Risk Measurement And Performance Valuation Of Security Investment Fund Based On VaR

Posted on:2006-06-20Degree:MasterType:Thesis
Country:ChinaCandidate:J ZhangFull Text:PDF
GTID:2166360155461936Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
Going through seven years' fast development, security investment fund has gradually become one of the most influential institutional investors on security market of our country for its advantage of professional investment, the behavior of rational investment and large-scale production effect. The development problem of fund industry is a hot question that the theory circle of financial investment and practice circle of our country pay close attention to in recent years, and especially people have carried on extensive and deep studying to the performance evaluation problem maintaining fund industry's life among them. According to the modern performance evaluation theory of security investment fund, the collectivity performance evaluation of fund is mainly weighed by colligating the ability of making income and the ability to control risk, and how to measure the risk of fund considering the yield rationally is a difficult point question. Existing appraisal methods adopt standard deviation or β value to measure the whole risk competence of fund, but through practice it is found they have a lot of defects which need to be the improved.In recent years, VaR method has gradually become a finance risk measuring method that is always adopted by most foreign financial institution, and it has already become the sector standards of risk management. Moreover, it has the advantage that can't be compared to other measuring method. Undoubtedly, it is a question of great theory and practical value to introduce VaR into the risk measuring of security investment fund and achievement appraising. The research of this text was launched around this problem, the main contents are that with structuring reasonable index of measuring fund performance evaluation on the basis of VaR as the goal, this text adopts many analytical methods, such as theory discussing, mathematics modeling and demonstration testing. Firstly, according to the computing technology of existing VaR, combining the risk characteristic of the security investment fund of our country, the paper studies VaR calculation model which suits the security investment fund of our country. Then, according to the construction principle of index which appraising the achievement of fund, it builds a achievement evaluation index based on the foundation of combinatorial theory of mean value - VaR optimum investment. At last, it does demonstration research on the VaR calculating model of security investment fund and the performance evaluation index of fund based on VaR, which is applied to the risk measurement and achievement appraising of open fund in our country.This text has innovated in several following respects: (1) It builds two...
Keywords/Search Tags:Security investment fund, VaR, Risk measurement, Performance evaluation, GARCH model
PDF Full Text Request
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