| In recent years, with the rapid development of China's securities investment funds, the fund has reached a historical high either from its size or varieties. However, we must recognize that, due to China's immature financial market, there is little investment products, speculative thick atmosphere, the market risk by the impact of various factors etc. Especially China's accession to WTO, with the opening of China's financial market, market risk will also be gradually increased. In this case, in order to occupy a place in the financial markets for China's Securities Investment Fund, we must make efforts in risk management, the control of risks for investors on the basis of the creation of interests, so as not to be out of the market. Financial market risk is the biggest risk for securities investment funds, while value at risk (Value at Risk, VaR) is currently the world's most sophisticated financial market risk management. It is a use of statistical thinking to the financial risks valuation method. Compared with traditional risk management tools, VaR method has unparalleled advantages:it can be a variety of financial instruments, asset portfolio, as well as the overall market risk of financial institutions into a single specific value, so that managers can have a very clear understanding of the risks he face at a certain time.In recent years, VaR method has become widely used abroad, the majority of financial institutions, financial risk measurement methods and to become an international industry standard for risk management, this approach to a certain extent, compensate for the other risk measurement method had many shortcomings. Undoubtedly, the introduction of the VaR methodology to measure the risk of securities investment funds in the past is a major theoretical and practical issues. VaR as an advanced risk measurement methods, but also the international financial regulatory tools that will VaR into China's financial institutions is imperative move. applying the VaR Risk Management of Securities Investment Fund will not only help to improve China's securities investment fund risk management capabilities, but also plays the role of a certain reference for other banks and non-bank financial institutions, with a very large practical significance.Tthis paper use VaR technology and securities investment, risk management as relevant theory, combined with the characteristics of China's Securities Investment Fund, apply theoretical research-based, combined with empirical research and theoretical studies; quantitative analysis-based, combined qualitative analysis and quantitative analysis to discuss the topic. Theoretical research is mainly on the VaR method in the current domestic and international financial risk management theory applied research summary, comparison and analysis,simplify the basic principles of VaR methods and applications; empirical study refers to the sample we selected the Fund's investment risks empirical analysis, shows that VaR technology can help fund managers manage asset risk more effective. On basis of theoretical and empirical study, we can see that VaR technology for risk management of securities investment funds has a positive side, of course, there are also some discrepancies with our portfolio investment market, and therefore the application of VaR to take the process of its essence, make it suit for our securities investment funds and other financial institutions to provide a reference for risk management role.This article first describe the research background and the significance, noting that along with the strengthening of the building standardized securities market and the pace of financial internationalization accelerated,China's securities investment funds in the financial markets want to be competitive,it must strengthen their risk management.Then we talk about the necessity and importance that put forward theVaR method in the Risk Management of Securities Investment Fund.Then we summarize the research that domestic and foreign scholars did on the issue,at the same time put forward th the status and trends of this issue. Then we made a brief overview on China's Securities Investment Fund's risk management, pointing out the problem the current risk management of securities investment funds in China were facing,the necessity and the significance risk management use on China's securities investment funds. The next step is we made a comprehensive introduction on VaR methodology,mainly including the development of VaR methods and research background of the status quo, VaR calculation method, compare the advantages and disadvantages of various calculation methods on the VaR in financial risk management application. Then, we make the empirical researchon the application of VaR in Risk Management of Securities Investment Fund, first of all we explain why we apply the GARCH-VaR model to the Risk Management of Securities Investment Fund, and then we make a brief introduction on the GARCH (p, q) model, and next we analysis risk management of securities investment funds in different VaR measurement model (GARCH-normal, GARCH-t, GARCH-GED), concluded that GARCH-GED model is more suitable for China's Securities Investment Fund's risk management Finally,for some of the issues presented in this paper we make some conclusions and recommendations, and put forward for further research development.The innovation of this paper are:(1) using thick-tailed distribution (t distribution and the generalized error distribution) and generalized autoregressive conditional heteroscedasticity (GARCH) model to characterize the sequence of open-end fund returns volatility and calculate the VaR values of the sample funds, and apply the accuracy of the VaR model evaluation and testing methods for the preliminary settlement of the choice of VaR calculation model; (2) we make a empirical analysis on China's 15 open-end funds between 2005 and 2009, empirical tests based on the evaluation of VaR indicators in practice application,and find a more suitable approach for China's securities investment fund risk management. |
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