Open-end Fund Risk Management: Empirical Analysis And Policy Recommendations

In recent years, fluctuations in international financial markets increasingly severe, none of the financial crisis after another, these are all risk management challenges, our open-end funds as a development in emerging markets, the risk with the financial markets will development gradually increased, while the increase in risk for risk management of the new requirements. China in modern risk management ideas and techniques used on the late start, compared with developed countries, there is a gap. Quantitative risk management, we now generally remains at the balance sheet indicators management and position indicators of the level of match management, and applications for value at risk VAR is also not familiar with.Under the new situation, China's open-end fund market, the introduction of VAR to risk management techniques to create a comprehensive risk management system. Vigorous development and application of VAR, on our open-end fund risk management techniques from qualitative analysis to quantify changes in the management of great significance. First, China's financial institutions are facing increasingly complex risks, considering, the growing need to measure the risk for the VAR application provides a broad space for development; Then, use the VAR approach is conducive to financial institutions on risk identification and control also facilitates a unified regulatory supervision; Finally help our financial institutions and external supervision of internal risk management techniques to keep up with the trend of the world's financial development.The innovation of this paper is that:①This sample selection on Jan.2,2004 established open-end funds. Including equity, hybrid,, all three bond funds of different investment styles in the January 2,2004-December 31,2008 the use of interval VAR method for quantitative analysis.②The empirical results clearly show that the open-end funds of different styles of different types of risk are different, the same type of risk between different investment style is relatively large.③the same fund in different years, only VAR values are different, but in 2007 the risk measure is expected to significantly greater. This is due to open-ended fund launched in China is not a long time, development is very fast. Open-end fund investor behavior for the massive short-term to provide a platform for frequent trading, from some aspects of that so does not fully play the role expected to stabilize the stock market, but a period of time increased the volatility of the stock market, intensified the stock market risk. This is the initial launch of the original purpose of the Fund is the contrary. In response, respectively, regulators, investors and fund managers with alternative proposals.