Empirical Research On Measurement And Control Of The Risk Of The Stock Open Fund

With the development of society and technology, the world finance marketshows the trend of liberalization. The increase of the finance market pushes thevirtual economy to have a huge improvement，and equity product and derivationbecome an important part when people managing their wealth. The words of financialrisk measurement and management become the hottest ones in economics after thefinancial crisis and European debt crisis. Since there are many cases about hugeinvestment losses during to the oversight in financial risk management, risk measureand management has an increasing important role. In western countries, the financialorganizations, such as the commercial banks, securities corporations, investmentcorporations, have used VaR system to deal with financial risk already for a long time.The biggest advantage of VaR system is that a practical amount of financial risk canbe calculated, which means that many hedge methods to management the financialrisk can be implemented. With the hard work of Basel Committee, VaR system hasalready become the standard tool of financial management. But the theoreticalstructure of VaR determines that VaR will not working in the face of extreme marketcondition. To solve this problem, CVaR as a tool to manage the risk develops veryquickly and accelerate the development of financial risk management. In Chinesebank system, VaR has been introduced to manage the risk in banks. Unfortunately,there are a lot of problems in the management of risk about fund in China.This essay aims at researching the measurement and control of stock open fundin Chinese. Because of the characteristic in statistic of the return, this essay plan tocalculate the fund risk with VaR-GARCH model. When it comes the asymmetricdistribution of the return, this essay will use VaR-TARCH model and VaR-EGARCHmodel. Besides that, Monte Carlo method will also be used to estimate VaR. Finally, a judgment about the effectiveness among these models will be made, and the basicmethod used is Kupiec Test, which is written down in1995. Think about the extremesituation in financial market, such as the unexpected decrease, CVaR is going to beintroduced to measure the risk in this kind of situation.The data used in this essay is the fund daily of34stock open funds in Chinafrom2009to2010, and the work of test and calculation will be done by Eviews andMatlab professional software. The purpose of this essay is going to prove using VaRand CVaR as the tools of financial risk measurement can efficiently measure andcontrol the risk of stock open funds.