VaR Measurements On The Market Risk Of Structured Fund A

Along with the rapid development of financial markets, the Volatility of financial markets has also become extremely important at the same time. Before the 1970 s, the Volatility of financial markets was weak, change of the financial products prices were more smooth, the credit risk was highlighted as the main financial risk. However, after the 1970 s, due to the rapid expansion of financial derivatives and the trend of assets securitization, radical changes had been made in the global financial market, market risk replaced credit risk, became the most important risk faced by financial institutions.In the domestic fund market, using Monte Carlo Simulation method to calculate VaR to evaluate market risk is rare. By using the domestic Structured Fund A share index as sample, this thesis outlined a theoretical analysis and empirical research of the market risk management of Structured Fund A, in order to provide the Structured Fund A investors some constructive suggestions.