Risk Analysis Of Convertible Bond Fund Based On GARCH-VaR Model

Since the issuance of the first convertible bond fund in China,the convertible bond fund market has developed rapidly.With professional research and excellent investment team,the fund company will raise funds to invest in the convertible bond market,which can greatly reduce the information search cost,research cost and transaction cost,thus obtain scale benefits.Since 2019,due to the recovery of the equity market,the average yield of convertible bond funds has exceeded 10%.Convertible bond funds are increasingly sought after by investors,but we cannot ignore the possibility of risk loss when we pay attention to its investment value.The VaR model measures the maximum loss of a financial asset at a given holding period and confidence level.This paper selects the daily net-value logarithmic rate of return series of three different convertible bond funds,predicts the conditional heteroscedastic sequence through the GARCH model,then brings the VaR calculation formula.The VaR values of the normal distribution,the t distribution,and the GED distribution under the GARCH model are predicted.Through comparative analysis,the predicted VaR value is finally tested by the failure rate testThis paper finds that the VaR value predicted by the GARCH model under the t distribution is more accurate.Investors can use this model to conduct risk assessments on other convertible bond funds and accurately predict the fund’s investment income changes.According to their risk tolerance,they can choose the convertible bond fund that matches their own risk.In addition,the fund company can also effectively control the existing risks according to this model.