The Applied Reasearch About Risk Of Open-end Fund Based On VaR Theory

Our open-end fund established to development so far, from the history of more than ten years. Although the development of a shorter time , but with the globalization of financial markets and and the opening of asset markets, open-end fund risk has become a furthy study for fund managers, investors and regulators. In this background, based on the theory VaR of risk measuring,we make applied research about risk of open-end funds by empirical analysis and theoretical analysis. This paper elaborates the definition of open-end fund and classification of funds based on investment style,then analyzed the particularity of open-end funds on the basis of the comparison of close-end funds. From our open-end fund development course of our country, we analyzed in detail the risk of open-end funds, and point out thar the market risk species is the main risk which the open-end funds in China face. Then, we make a comprehensive analytical risk measurement method for VaR, from the definition and principle of the VaR, we simply introduces several common calculation method of the VaR and give the accuracy method of the VaR model, furtherly,show the te methods for VaR decomposition tools, all of which formed a relatively complete system.In this paper ,we make the two empirical researchs for risk of open-ended funds in China using GARCH model based on the theory of the VaR .The first part of empirical study for: an statistics characteristics description and hypothesis with ten sample fund, we choose the appropriate model on the example with single fund and then use this model computing value at risk down the three different distribution,then make accurate inspection for empirical results and give a summary of this chapter. The second part of the empirical study for: we use decomposition of the tools to make empirical study and calculated the combination VaR,marginal VaR,composition VaR and incremental VaR based on the description of statistical characteristics and hypothesis inspection for single fund and ten stocks,then we made the summary of this chapter.In combination with reality of the open-end fund, this paper gives some enlightenment based on empirical research, and puts forward some suggestions in the light of the present situation of open-end fund risk management.Finally Finally, we sort out and summarized this study.