Research On The Risks Evaluation Of Open-ended Fund In China

Since June 1,2013, the new fund law has been implemented in China, which means that the securities firms, insurance companies and private equity funds can issue their own fund products. And the fund company can expand the market of business for trust products and bank financial products. Along with the investment diversification and the extension of the investment scope, fund products developed rapidly in the domestic wealth management market and become an important choice of investment fund in the capital market and the mainstream of social idle capital. With its booming development, there is a widespread concern over how to evaluate and reduce systemic and non-systemic risk problem. A scientific, objective and fair risk assessment system can not only help investors to fully understand the degree of risk of open-ended fund, but also help to improve the investment of fund management company. Moreover, it provides a reference for regulators to formulate policies and regulations. Therefore, constructing a scientific and reasonable risk evaluation system of open-ended fund is of great significance for promoting the healthy development of China’s fund market and even the whole securities market.In this paper, on the basis of the domestic and foreign related theory research, the author focuses on the present situation, characteristics and the main risk faced of the domestic open-ended fund development. After concluding the commonly used risk assessment method of comparative wealth management products and taking into consideration the scientificity, systematicness and feasibility of the method, this paper constructs China’s open-ended fund risk assessment system from the quantitative and qualitative angle respectively by choosing the VaR method combination with GARCH model and fuzzy comprehensive evaluation method with the application of analytic hierarchy process. This paper selected nine open-ended fund products as the empirical research samples, including stock funds, bond funds, hybrid funds each of three. Drawing on the sample data from January 4,2005 to December 31,2013, the paper calculate its daily VaR by using the VaR-GARCH model, and compare the result with the actual loss value analysis. Furthermore, the paper calculate the model fitting by using the backtracking test. At the same time, through combing the various indicators risk of open-ended fund, using fuzzy comprehensive evaluation combined with hierarchy analysis, the author obtain the overall risk assessment results of the sample funds. Comparing two kinds of risk assessment results and using empirical, and the actual performance of the fund in the sample period as a reference, this paper further verifies the effectiveness and complementarity of the VaR-GARCH model and the fuzzy comprehensive evaluation method in risk assessment of open-ended fund in China. Finally, based on the open-ended fund risk quantitative and qualitative assessment above, this paper puts forward the relevant risk management measures and recommendations from the regulators, fund companies and investors’ angle.