Research On The Quality Of Fund-Rating Based On The Conditional Value At Risk Model

With the development of funds, investors turn to depend on the third party rating agencies. Fund-rating is an important part of credit rating. It evaluates the fund objectively and then publishes the results to the public briefly by symbols. Fund-rating shows information of the funds to the investors and reflect the performance of the funds to the issuers. However, the rating doesn’t always reflect the real performance of the funds,and even can’t keep pace with the subsequent performance according to numerous researches.This paper tries to test the quality of the rating of the funds using the CVaR Model which is usually used in portfolio. This paper establishes the single objective CVaR Model and the multiobjective CVaR Model to evaluate the funds. It also defines rating indicator of measuring,the accurancy﹑the relative total error and the composite indicator.Then it selects80open-ended funds to measure the quality of the fund-rating comprehensively.It calculates the CVaR by mathematical software.It ranks and rates the funds according to the results with which comparing to the four rating agencies in the empirical analysis. And verifly the measuring ability of the evaluating model by the following two months’average yield.The purpose of this paper is the consequence can give the investors some reference when they refer to the rating of the rating companies.