Market Risk Measurement And Empirical Analysis Of Chinese Open - End Funds

Open-ended or open mutual fund is central product in actual portfolio fund market while it is growing in china. So it is crucial how to upbuild a system of scientific modern risk management, to keep away and control risk of open-ended fund for many investors and China securities regulatory department. As an important step of risk management, risk measurement relates right decision-making by investors. As to open-ended fund, there are three categories of risks: market risk, liquidity risk and operation risk. Thereinto, market risk and liquidity risk are the main aspects. But in fact liquidity risk only is a form of market risk and market risk is final factor under China investing condition. Therefore, it is important to reflect market venture level clearly by using historical data. This paper quantitatively analyzes risk degree of open-ended fund in China. It starts with the basic theories on risk management and open ended fund, introduces the popular methods of risk evaluation, for instance, GARCH model, VaR model, etc. Basing on Riskmetrics model and the skewness & kurtorsis method, this paper makes case analysis within the risk level of open-ended fund in Chinese fund market. Meantime, the paper also makes case analysis on relationship between open-ended fund and stock market in order to show whether there are unreasonable risk factors in open-ended funds.The paper has three chapters:The first chapter generally introduces the basic theories and development on risk management and open-ended fund, and research status on risk evaluation in detail.The second chapter amply presents several risk measurement methods, including GARCH model and VaR model. In this part, the author makes two cases respectively on open-ended fund's risk level and relationship between its price volatility and stock market flow in china.The last chapter sums up foreparts and points out some bugs in the cases.