Market Risk Management Study On Principal Guaranteed Fund

Principal guaranteed fund (PGF) is a kind of fund which guarantees the primitive investment capital, and may obtain certain extra investment income (according to the increase and participation rate of underlying assets). Principal guaranteed fund originated in United States in 1980s. The first guaranteed fund appeared in Hong Kong. The first principal guaranteed fund of China was born in may,2003, which is named Nanfang Bixian guaranteed fund. China PGF experienced several stock markets'volatilities though it just exists for 8 years. In the first several years of guaranteed funds in China were popular, but after that guaranteed funds were forgotten by investors until 2010. There have been 9 guaranteed funds in China totally, but three of them had already changed to other kinds of funds. Guaranteed fund can guarantee the principal in the bear market and also obtain investment income in the bull market because of their special Investment Portfolio Insurance strategy. So it should be a kind of ideal investment tools. But in China, the guaranteed fund falls in awkward situation. The asset scale of the six guaranteed funds is between 0.2—0.3 billion, net sales of guaranteed fund is always minus value, some of them changed to other types of funds. Meanwhile, there are 123 guaranteed funds in Hong Kong. Why, guaranteed fund don't develop very well? First of this thesis will talk about the meaning of guaranteed fund, analyze and contrast the six guaranteed funds. Then try to answer why they don't develop very well. The second, this thesis measures the market risk though VaR based on GARCH model, then suggests how to develop the guaranteed funds in China.At first, the thesis introduce the meaning of market risk management study, study background, the researches which had already done in the guaranteed fund field, and what is the thesis's innovation. Chapter 2, the chapter introduces the product theory and the status quo of guaranteed in the different area, then analyze why it is like this? Chapter 3, the chapter analyzes the risk that guaranteed fund faces and the operating mechanism. Chapter 4, empirical analysis, this chapter measures the market risk of guaranteed fund though VaR based on GARCH model. It builds the VaR equation for 4 guaranteed funds and verification. The last chapter summarizes the whole thesis'content and point out the shortcomings and study direction in the future.