The Research On Market Risk Of Securities Investment Fund

In the background of the financial globalization and liberalization, with thedevelopment of market of securities investment funds, Market risks management is ahot topic in financial institutions, academia, and financial supervisors. As the coreand Foundation of the modern theory of risk management, theory of VaR and itsformation based on CVaR method has become the current topics of research on riskmeasurement. This essay is discussions focus on the Fund market risk measures,research areas related to yield time-series model, the varios aspects of the Fund. Inparticular, against the income of the Fund rate time series of Spike characteristics ofheavy-tailed and heteroscedasticity, VaR and CVaR study, has introduced the GARCHmodel to explore connected with the Copula function. Attempting to predecessors onthe basis of the work to their own research, and expand theoretical analysis andempirical methods.The first chapter is the introduction of this article. It mainly elaborates theresearch on the research topic selection of backgrounds and significance of this article,basic ideas and main contents of the study, a summary of the domestic value of VaRrisk and CVaR research status of conditional value at risk connected with the Copulafunction. And it outlines the basic framework of this article.Chapter II of this article is about the traditional market risk measurement methodof securities investment funds. Systems in this chapter on the Fund’s traditionalmarket risk measurement methods, mainly by including name, mean-VaRianceanalysis, sensitivity, volatility methods. To fund development of market riskmeasurement method for a brief review, the traditions of the various comments on therisk measurement methods. Analysis of the advantages and disadvantages of eachmethod.This third chapter is about risk measurement method of VaR and itsimprovement on the basis of CVaR method.The fourth chapter discussed and established a fund yield fluctuation model,details the funds rate fluctuation model--GARCH model and GARCH model modeling programs, and combined with yield on the index of empirical analyses.Fifth is based on calculation of VaR method and its application of GARCHmodel, discusses the calculation of VaR models, VaR calculation of basic modules,traditional methods of calculation of VaR, VaR calculation method and algorithmbased on GARCH models, respectively, the construction of GARCH-N distributionmodel, GARCH-t model and GARCH-GED model, sample VaR value calculationand analysis of the Fund;Chapter VI is on CVaR risk measurement based on GARCH models, introducedthe CVaR calculation method, based on the model of CVaR computational design of aGARCH model and the empirical study based on CVaR risk measurement. Thischapter fund market volatility with GARCH model simulation, respectively, in thetraditional normal distribution assumptions, depicting spike characteristics ofheavy-tailed Student’s t distribution and distribution assumptions of GED, with9different fund companies to conduct empirical research on three types of open-endfunds.Chapter VII is about Copula methods of empirical research on investmentportfolio risk measurement. This chapter at Southern high growth Fund’s top holdingsconstitutes the investment portfolio as a sample, using the Copula function to studythe risks of the investment portfolio, calculate the VaR of the portfolio and CVaR.The last chapte is the full-text summary and the research direction in the futureprospects.