Study On Syetem In Risk Management Of Investment Funds

The greatest risk is faced to securities investment funds is financial market risk.Value-at-risk model developed recently is a mathematical model to measure andmonitor market risk, and is a method that measure financial risk with statisticalprinciple. Comparing with the traditional risk technique, Value at Risk hasinconvenience merits: It can show a simple numbers that indicate different financialassets, portfolios and financial institute's all risks, which makes manager comprehendhis assets' greatest risk in a time. Studying on the VaR' application in riskmanagement of investment funds is realistic.Based on truth of securities business, this paper above all points out theweakness and problems in risk management of securities funds at present, andintroduces the essence of VaR, difficult of technique, advantages and weaknesses ofits three basic calculation methods and application. Through taking advantage ofimproved J.P.Morgan' Risk Metrics model, this article makes a case analysis on themeasurement of the net value and portfolio. The study shows VaR method is effectiveactively and feasible to forecasting, controlling and supervising market of funds andits portfolio. The thesis studies the application on VaR model in the measurement ofmarket, control of market, market budgeting and funds match, disclosing informationand Performance evaluation, etc. On the grounds of theory and empirical analysis, atlast, the paper tries to establish a comprehensive system of VaR risk management,which is used by securities funds.