China Open-end Fund Risk Management Studies

Since China's first open-end fund Hua'an created in 2001, the funds management industry has obtained the huge development. With the development of the funds management industry, many problems bring to people's attention and are being studied, such as how to build the investment portfolio to make the fund holders benefit the most at the same market risk; how to process the relation of liquidity and benefit to prevent the large redemption of open-end funds; how to conduct the operation risk management.The paper uses the risk management theory, the investment portfolio theory, the mathematical statistic, the econometrics, the microeconomics theory to study how to conduct the market management, the liquidity risk management, the operation risk management in order to meet the development of the open-end funds, and builds the risk warning system, at the end some valuable suggestions are provided in order to develop the risk management of open-end funds.The paper divides into seven chapters. The main content contains the introduction of the related literature about the risk management, the risk management technology development history and the VaR risk management method. Regarding the open-end funds market risk management, the paper elaborates the modern investment portfolio theory in order to dodge the non-systematic risk and stock index futures to hedge the systematic risk, at the same time the method of calculating the best hedge ratio is presented, finally an empirical study about the VaR is conducted. Regarding the open-end funds liquidity risk management, the author analyzes the relation between the sole factor and redemption, the author also analyzes the factors which influence redemption of open-end funds according to the principal components analytic method, then simply introduces the application of the stock index future, and put forward some effective risk management measures. Regarding the open-end funds operation risk management, the simple introduction about the operational risk management flow is...