Research On Market Risk Management Of The FOF Portfolio

With the first public offering of FOF in September 2017 and the approval of FOF for the elderly in 2018,the FOF practice has further developed.In view of the divergence in investment risk management of the first batch of FOFs and the lower-than-expected results of the practical operation,the research on risk management of FOFs has become an important topic.This paper gives a unique interpretation and viewpoint on FOF risk management,especially market risk management,from a practical point of view,and puts forward a future-oriented risk management strategy and practical scheme.The full text is divided into five parts.The first part mainly introduces the background of FOF development,industry value and long-term wealth management value.Based on this background,specific research objects are put forward and the scope of research is locked.The second part mainly introduces the main types of FOF and its risk constraints in current practice.The difference of risk management constraints determines the problem of wind control to be solved.In the third part,based on the investment objectives of FOF under strict wind control,the main market risks of FOF are identified and subdivided,and the scheme to manage downward fluctuations and extreme risks is put forward.The fourth part is the empirical analysis of the third part,including the measurement of volatility clustering and extreme volatility characteristics of market risk,the empirical comparison between CVaR model and traditional asset allocation model,and the empirical analysis of the modified Merrill Lynch clock risk environment and risk event model.Innovation puts forward dynamic extreme risk monitoring and early warning,and emphasizes tactical allocation assistance through warehouse management and dynamic rebalancing.The fifth part summarizes and supplements that more attempts can be made to apply the modeling technology of extreme risk in order to explore the most effective way of risk management.