Research On QDⅡ Investment Risk

With the development of QDII, overseas investment is gradually becoming the dedicated channels for domestic residents. However, investment institutions with QDII qualification suffer great losses. So studying on the risk of QDII investment is conducive to preventing risk for investment institutions while there is little literature on the risk of QDII investment. All above is the background of this paper.First of all, this paper specifies the research object from three aspects. For one. according to the scale of the investment institutions with QDII qualification,choosing the fund management corporations with QDII qualification as the research object because their scale is the 61 percentage of the whole scale. For another, by study of the kinds of the securities and the markets, this paper chooses stock market of Hong Kong, America, Emerging markets and Developed markets as the object for Risk studies. Thirdly, this paper makes a study on risk identification and classification and gets a conclusion that market risk is the principal risk by AHP theory.Moreover, this paper sets MSCI Hong Kong index, MSCI America index, MSCI Emerging markets index and Developed markets for sample and the time interval is from January 1,2007 to December 31,2010 and the data frequency is a day. This paper adopts Copula GARCH model established the joint distribution of the four series and uses simulation methods calculate the VaR to represent the QDII investment risk. Meanwhile, This paper calculates the optimal VaR to prove that current investment exist severe risks.Finally, this paper analyzes the reasons of the risk of QDII investment and introduces how to control risks by use of the Copula-GARCH model of calculating VaR to represent investment risk in this paper. In the end, this paper support suggestions for preventing the risk of the QDII investment.