Empirical Analysis Of VaR Model In China’s Open-listed Fund Market

In recent years, frequent international financial crisis, caused widespread concern in the industry and attaches great importance to academics and risk management of financial institutions. Market volatility is increasing, prompting researchers, financial market participants and financial regulators to seek more intricate risk management tools.This article will focus on listed on China’s open-market funds, looking for open-end funds listed on the measure of risk quantification models. Risk management is now widely accepted and adopted international standard, was developed after 90 years of the last century, new risk management tools-Va R(Value-at-Riks, under certain confidence level, under normal circumstances, held the value of assets or a combination of the maximum loss in the future of a particular holding period). Although the concept is simple Va R model, but to be an accurate measure of the risk value is not an easy thing. Beder(1995) did apply empirical Va R model, with eight different Va R models to measure the three assumed portfolio risk, the results indicate that these models metric R value results vary widely. Thus, in the course of the practical application of technology to measure risk Va R, the VAR model for the selection and evaluation is very important. One focus of this study therefore was to investigate the applicability of the latest developments and model of Va R models. This paper first discusses the focus of Risk Metrics Va R model and quantile regression model; Empirical applied to five listed funds 95% Va R; at the same time using the loss function and symbolic test method for the selection of these Va R models evaluated. Using the results of the assessment methods used to analyze the advantages and disadvantages of various types of Va R model, and determine the applicability of such models in China’s fund market.