The Apply Of VaR In Open-ended Fund Risk Management Of China

Since the 20th century , some of the world's largest financial institutions, such as Bahrain Bank, the German metals futures companies, Daiwa Bank have suffered billions of dollars in the financial markets. Most of the companies that have higher level of risk management can't control risks very well. So, the financial institutions have been attractd from VaR method around the world .VaR method has become the main method in the measurement of the financial market risk.In recent years, the rapid development of financial innovation, risk management and trading patterns has provided a favorable external condition for the development of security investment fund. Therefore, more and more global investors gradually favor security investment fund. It has gradually become one of the most influential institutional investors on security market of our country. At the same time, the Fund's risk management issues are increasingly receiving attention. Measuring funds risk has many methods. Traditional risk measuring methods include variance method andβcoefficient method, determination coefficient and so on. With the appearing of VaR a growing number of fund companies and financial institutions take VaR as risk measuring method.On the base of theoretical analysis , we chose six open-ended funds of different types from different fund companies as a sample, including stocks type, mixed form and bond type. We choose the data from January 4, 2005 to December 31, 2009. And then calculated the daily VaR based on GARCH-VaR model, compared it with the lose. Finally, we introduce marginal VaR and component VaR to adjust proportion of stocks,as a result, we reduce the risk of the portfolio.