Research On Measurement Of The Market Risk Of China's Open-End Funds

Till 2011, the open-ended fund has a history of ten years,In the course of ten years,both the number and scale of China's open-ended fund have achieved rapid development, which have been occupies an important position in the fund market.However, at the same time of booming,due to low level market system and lackingof hedging tools, the open-ended funds facing an outstanding market risk. Therefore, It is important for institutional investors and individual investors to identify and measure open-edn fund's market risk,to provide decision-making basis for managing the market risk.Due to the development of securities and constant innovation of investment products, the traditional risk-control method, such as sensitivity menthod and volatility method no longer satisfies the practical demands. under this circumstance, VaR is genered.Because its accuracy,availability and measureing the risk of financial assets with a data, VaR method wildly applicate in financial industry and become the mainstream method of measuring market risk.Firstly, the paper analyze the risks of open-end fund theoretically, explained the importance of quantifying risk and introduce the measurement approach of risk,and find out that VaR is a better measure approach of market risk. Then the paper comparatively analyze the two conditional heteroskedasticity model,GARCH model and SV model, the result shows that the two kind of model can fit the volatility characteristics of return series well,and the SVmodel is better, the VaR method based on the GARCH models and SV models can be used to measure the market risk of China's Open-end funds in real time.Subsequently, the paper selects six open-ended funds as sample, establishes GARCH models and SVmodels based on N distribution and T distribution, and uses the time-varying variance to calculate VaR values. By carring back test,we find the VaR based on sv-t model is the optimal model,then based on the empirical result, quantitatively compare the risk of equity funds and funds derivatives.Finlly, the paper analyze the application of VaR in the field of risk management of open-ended funds,construct the risk management system based on VaR Preliminary.The innovation of this paper is attempting to analyze the volatilily of open-ended funds's return series with GARCH model and SV model, and then use VaR method to measure the market risk, to find out the best measure model of the market risk.In addition,the quantitative analysis the risk of equity funds and fund derivatives is also an innovation point.