Study On VaR Model Applied In Risk Management Of Securities Investment Funds In China

From “Interim Measures for Administration of Securities Investment Funds” promulgated in November1997on, it has been more than ten years old and securities investment funds has become a particularly important force in our stock market. It met the needs of the majority of investors with its characteristics of finance setting, professional management, portfolio investment and risk dispersing. At present, securities investment funds played a huge role in broadening investment channels for small investors, optimizing our financial structure, promoting the stability and healthy development of securities markets, and improving the social security system. However, we also must realized clearly that the starting of securities market in China was late and the development time was short. It was still an immature market, which the Fund was facing a strong climate of speculation and a huge market etc. In this case, in order to occupy a place in the stock market in China, securities investment funds must improve risk management capability. Value at Risk (VaR) is the most advanced financial risk management technology in the world, and is also a new popular standards on the international risk management. In the current case, studying the application of VaR in risk management of securities investment funds in China has a great practical significance in promoting the healthy development of securities investment funds and increasing the international competitiveness of our securities investment funds.Firstly, the author classifies the financial market risk and states the changes of risk management techniques systematically, introduces the basic ideas and calculation methods of VaR. The paper also describes the application of VaR on risk management and control, performance evaluation, asset allocation and risk regulatory.Then the author analyzes the development status and the main risk of securities investment funds, besides in-depth studied of risk management of securities investment funds. This study points that the external risks is difficult to balance, internal risk control is not perfect, moral risks and opportunities serious with a higher tendency of agents human costs are problems to be solved. All of these problems lead to the necessity use of VaR in risk management models.The last part is empirical analysis. We select SZ50ETF、Huaxia Large-cap Select Fund、Huaxia Bonds C Fund、Zhongyin Monetary Fund、Jintai Fund and Yifangda Stable Fund from classified fund as the six represent the research object. First, the traditional parameters method is used to calculate VaR value of the fund. In order to better describe the funds the distribution of return series, this paper also introduces t-distribution and the generalized error distribution (GED). ARCH Models were established in the three distribution form in order to analyze autoregressive conditional heteroskedasticity of return volatility of each funds and predicted VaR value every day. And we compare the results with the actual loss. The empirical results show that, ARCH type model is better than parameters method in disposing fund return volatility series. The ARCH type model based on the generalized error distribution (GED) of the ARCH has a better risk estimation and prediction to class the value of income of the fund.