Studies On The Market Risk Management Of Chinese Open-ended Fund

The emergence of open - ended fund is a milestone in the history of the development of Chinese fund industry. Its birth and development has greatly promoted the steady development of the financial system. As a portfolio, the open-ended fund firstly faces the market risk, which is caused by the fluctuations of the prices of assets during the investment processes. Therefore, the effective management of market risk will promote the steady development of fund companies, even Chinese finance industry. But the market risk management of Chinese open-ended fund falls behind the developed country both in theory and practice. It is important to study the application of advanced market risk management method-VaR in the market risk management of Chinese open-ended fund, because this study has the theoretical and practical significance.Because of this, this thesis studies the application of VaR in ourcountry, and it measures the risk according to the two samples of the funds. First it calculates the market risk VaR of two domestic open-ended funds. According to the testing of effect, the fitting effect can be judged, and it can be proved that, VaR has the actual applications in the market risk management of Chinese open-ended fund. In addition, according to the analysis, it estimates the investment objective of the funds. Further more, it reveals the main reason why there are so many days in which the funds' real unit net property value is less than the VaR forecasted, and from that, we can find out the specific characteristics of our country's investment environment. Second, from the viewpoint of measurement,.in order to measure risk correctly and use VaR efficiently, the thesis proposes that fund companies should also use stress testing and the beta coefficient, in "Collaboration with the VaR, to estimate the market risk. At last, from the perspective of management further, this thesis designs the risk management organization and VaR risk management information system roughly. So it can integrate all functions of VaR to ensure its effective use.There are five parts, as following:Chapter 1 explains the goal and significance of the topic. Then it outlines the present related research in China and foreign countries. Further more it describes the research content.Chapter 2 mainly discusses the development of open-ended fund inthe world as well as in China at present. In addition, it analyzes the risks of the open-ended fund and points out that the market risk is one of the main risks of Chinese open-ended fund.Chapter 3 analyzes the concept, main characteristics, and calculation methods of VaR in detail. In addition, according to the application of VaR in the foreign financial organization, it proposes that our fund companies should not only regard VaR as a measurement tool, but also raise it up to the management level. We should integrate all functions, thus VaR can actually display the positive risk management function. Meanwhile the chapter further analyzes the necessity of using VaR from ..the. view of specific characteristics of Chinese stock market, high density of investment structure, and the risk management situation of Chinese fond companies.Chapter 4 is about the quantitative research, which is based on the VaR calculation of two domestic open-ended funds, "Guo Tai Jin Ying Growth and Baokang Flexibility. According to the calculation result and the testing of effect, it can initially be proved that the VaR has the actual applications in the market risk management of Chinese open-ended fond. It will provide the idea of solution according to the question, Which was discovered in the research.Chapter 5 will discuss how the fond companies can use VaR to manage the market risk efficiently through two different ways. First, fromthe viewpoint of risk measurement, according to the question that was discovered in the computation, it proposes that the fund companies need use stress testing and the beta coefficient together with VaR to measure the market risk comprehensively. After that, according to the application of VaR in the overseas financial organizations, this thesis tries to design the risk management organization and the VaR risk management information system roughly, and thus it can ensure the VaR's efficient applications.