Securities Investment Fund Market Risk Measurement And Empirical Research

Market risk is the most important risk for securities investment fund management. Risk measurement is the key to securities investment fund risk management, therefore, securities investment fund risk analysis and empirical research has very important meaning to the valid management of securities investment fund and the health development of the fund industry.Based on this train of thoughts, this paper devotes four chapters to study the related issues respectively. Among them chapter 1-2 are introduction and theories analysis of securities investment fund risk measurement. Chapters 3-4 are the empirical study on the securities investment fund market fluctuation and market risk. Chapter 5 is the summary and forecasting.Chapter 3 is devoted to the empirical study on the interactive relationship of China securities investment fund market fluctuation. First of all, it selects the research sample and methods. Then, it conducts the stationary test and studies the interactive relationship of China securities investment fund market fluctuation by means of co integration analysis. According to the co integration analysis results, the fund index has not long-term stability relation with stock index. Furthermore, There is not long-term stability relation between Shfund index and Szfund index.Chapter 4 is devoted to the empirical study on the market risk of China securities investment fund. First of all, this chapter analyzes the statistical characteristics of return fluctuation of China securities investment fund. Then, based on all kinds of characteristics of China securities investment fund fluctuation, this chapter calculates the value at risk of the two kinds of fund index and analyzes the position of China securities investment fund market risk. According to the empirical study results, the skew of all the three kinds of fund index is over 0, and their kurtosis is over 3. The return time series of the two kinds of fund index are stationary and their autocorrelation are very small. The return time series of the two kinds of fund index are not normal distribution. According to the empirical study results, In sample period, the date of the max VaR of the two fund index is the same. The date of the biggest VaR is December 31, 2002. It is 0.028346 and 0.031321 at 95% confidence intervals respectively. Seeing from testing result, the ARCH model of Shfund is not acceptable at 95% confidence intervals. Fortunately, the ARCH model of Szfund is appropriate at 95% confidence intervals.