The Research Of Index Fund's Market Risk Measurement And Management In China

This paper mainly illustrates the risk measurement and risk management of Chinese index fund through Guangfa CSI 300 index Fund. The basic operation situation of index funds in China is introduced in the beginning. The special nature of the risk of index funds and the source of market risk are analyzed. By selecting six index funds, and analyzing the basic statistics of their logarithmic return sequence and the change of the sequence, the risk characteristic of the index fund in China is obtained, which the distribution is a spike and partial tail, and the fluctuation is time varying and clustering. Based on the results of the above analysis, the dynamic VaR is suitable for the risk measurement of index funds in China. In the analysis of the features about the risk management of the index fund in China, the VaR is feasible, and it may be more significant. The quantile of empirical distribution is the use of the quantile of the normalization sequence based on the optimal hedging portfolio volatility constraint model corresponding to the probability level for substitution, while the latter quantile is solved by the sample order statistics. Since the characteristics of Guangfa CSI 300 Index Fund is very similar with the index fund in China, so it's made as a representative of Chinese index funds to do the empirical analysis, the process is based on the unit ARMA structure to obtain the no autocorrelation residuals sequence, and then use them to carry out the two step estimation of the DCC-GARCH-MVT model, finally put the relevant variables' results into the VaR metric model and the risk management strategy based on VaR. These results show that the dynamic VaR model can well grasp the risk characteristics of the index fund,and the constraint of the dynamic group' VaR can well avoid the risk, also indicating that the lag structure of the each volatility and the correlation between the two sequences play a major influence in the follow change.