Based On VaR Open-ended Funds In China Market Risk Analysis

In recent decades, as the economic globalization and financial integration, financial market gained unprecedented development speed. Financial market risk factors present aggravate phenomenon, in all financial institutions, such as Banks, financial institutions, financial enterprises are faced with the increasingly serious financial risks. Financial risk management is imminent, such a measure of financial risk management tools arises at the historic moment. Risk Value (Value - at - are at Risk of the Value) is the financial market Risk and measure of main tools and methods, it is to point to in normal market fluctuations, a financial asset or combination of assets under in a certain probability levels, a given asset, or some kind of negotiable securities portfolio for a period of time in the future the largest possible losses. Through will risk level accurate using digital characterization, simple, clear measurement portfolio market risk level, relying on the rigorous mathematical statistics knowledge, and overcome the last risk metric merely subjective judgment defects. In 1994 after G30 report, 43% derivatives traders claim they are using VaR measurement market risk, 37% of the dealer said end of in 1995 to use VaR. The current VaR application prospect, not including market risk, in a credit risk, cash flow risk and operational risk are gradually getting applications.Our open mode fund founded soon, because the earliest can be traced back to 2001 December 18, is China's first a open-end fund following the issuance of innovation, only ten years of history, all will VaR technology into the China open mode fund risk management, is a very important practical significance.This article through the quantitative and qualitative analysis to our country open-end fund market risk level of measurement, this paper randomly selected five open-end fund, through the fund database of data collected from fitting, respectively for model Eviews5.0 econometric analysis of the five software open-end fund time income, it is concluded that the sequence analysis, and their return distributions using the ARCH - LM test inspection time sequence has heteroscedastic, volatility gathered characterized.Which model is more suitable for our country open-end fund time income sequence of fitting, and relative market risk measurement? This paper probes into GARCH (1, 1) model, the EGARCH model in our country the role of open-end fund risk measurement, and by using the AIC, SC criterion and the model parameters minimization principle GARCH (1, 1) model found with better than EGARCH (active) model results. Using GARCH (1, 1) - N, GARCH (1, 1) - T and GARCH (1, 1) - GED distribution on Chinese growth fund market risk measurement, through the final empirical analysis, the conclusion GARCH (1, 1) - N model, and finally after using both better GARCH (1, 1) model of this article selects - N the five open mode fund risk measurement on the market.