The Research On Measurement Of Market Risk Based On Open-end Funds

With the rapidly development of the whole money market, how to mange financial risk efficiently has been paid attention not only by investors but also by government supervisions. Risk management becomes the management focus of modern financial institution.Since 2001 first open-ended fund had been established in our country, the open-ended fund is central product in actual portfolio fund market while it is growing in China. Now it becomes one of important investment organizations in our country financial organ. Open-ended fund is of much virtue and is favored by the general investors. So it is crucial how to build a system of scientific modern risk management, to keep away and control risk of open-ended fund for many investor, fund manager and China securities regulatory department. As an important step of risk management, risk measurement relates right decision-making by fund manager and investors. As to open-ended fund, there are all kinds of risks. However market risk and liquidity risk are the main aspects. But in factor liquidity risk only is a form of market risk, and market risk is final factor under China investing condition. Therefore, it is important to reflect market venture level clearly by using historical data. In this paper, we research on measurement of market risk of open-ended fund with qualitative analysis method.When we analyzed the open-ended fund the return rate characteristic, we discover that this time series has peak thick tail characteristics and conditional heteroskedasticity problem, and discover that GARCH model can describe the return rate of open-end fund fluctuate. In empirical analysis, we compare VaR-GARCH model under normal distribute, t distribute and GDE distribute, we reveal that all the model can exactly estimate VaR value, and under normal distribute VaR-GARCH model is best. At last, we calculate market risk of ten stocks style open-ended funds with under normal distribute the VaR-GARCH model.