Risk Management Research Of Money Market Fund On Basic Of VaR Model

It is a milestone during the Chinese fund industry development history that the money market fund released, and its naissance and developments pushed domestic finance reform greatly and healthy development of financial system deeply. Be a kind of investment tools, the money market fund faces certain market risks equally, therefore it is much more important to know how to distinguish, measure and control risks. In developed western countries, the literature and theory achievements concerning risk management flows out in great quantities. These theory achievements improved the risk management systems of commercial banks and fund companies in practice and had an aggressive effect on evading market risks and growing healthily for commercial banks and fund companies. Naissance of quantitative market risk management method—VaR caught everyone's eyes. VaR fetches up many limitations of other risk measurement method and becomes industry standard of international risk management. However in our country, the risk management for money market funds falls far behind not only in practice but also in theories. Commercial banks are predominated by the fund management companies in money market funds, fund management companies hold weak management levels, and the investors do not know the money market funds well and mistake the risk and rate of returns of the money market funds. Domestic scholars did much research on theoretical and qualitative analysis and less on positive analysis and practice. Therefore, it has great theoretical and realistic meanings to do research on advanced quantitative risk management method—VaR that applied in domestic risk management of money market fund.In view of the above, on bases of abundant eastern and western materials of theories and practices, this paper firstly expounds general situation and development of money market funds and risk management; expatiates on naissance and development of domestic money market funds, effects on participants of domestic financial market and financial market system, causes, management and measurement method of money market funds. Further this paper demonstrates basic principles of VaR method, especially relative factors in accounting and appliance in domestic money market fund risk management. Then Using theoretical and positive analytical methods, through analysis of different risk-revenue portfolios, this paper picks up four typical money market fund samples which are analyzed by VaR method and pass two essential proof-tests. Finally comes to results and evaluates investment funds by VaR method.Innovation of this paper lies in firstly from empirical perspective analyzing typical samples by mean-variance model of VaR method, money market fund risks combined with different risk-revenue portfolios objectively which provides great theoretical and practical reference for fund managers and investors. Finally according to restrictive factors to developing domestic money market funds, this paper brings forward policy and suggestions to domestic money market fund development and puts forward conceive of developing domestic commercial bank money market fund strongly.