Securities Investment Fund Dynamic Risk Management Model And Applications

A Dynamic Risk Management Model for Security Investment Foundation ?Establishment & ApplicationPresently, financial institutions attach increasing importance toward Market Risk Management. Statistics says that it is of great necessity to establish a dynamic risk management model, in line with the characteristics of security investment foundation, to realize the reasonable distribution of investment capital and risky capital and to gain the investment profit on the prerequisites of successful risk management.In view of the characteristics of security investment foundation, this essay establishes a dynamic risk management model with VaR at the core. It has three main target functions: supervising the market risk, adjusting the portfolios positions and giving optimized collocation to security investment. According to the selected statistics, the essay reviews the profit relationship between these functions and analyses their effects via an empirical test and analysis on the sample fund, benchmark and the simulated portfolios fund determined by the dynamic risk management model. Based on the above analysis, it also puts forward a suggestion on ameliorating the model.The essay indicates that the dynamic risk management can create value and its model, based on VaR, can provide an effective control upon the risk of security investment foundation. VaR reasonably calculates the future risk of portfolios under normal market conditions. Yet during market turbulence, the dynamic risk management model will give timely adjustment to the positions structure and reduce the risk of portfolios. Thus, in the lack of related deliveries hedging against risk, the dynamic risk management can still control risk and generate value for security investment foundation.