Research On The Liquidity Risk Management Of Open-end Fund

The operational mechanism of free purchases application and the redemption is the most remarkable market operational characteristic of the open-end fund. Such institutional design on the one hand increased the flexibility of investors to act according to their own fund conditions as well as the market quotation carry on the investment, was advantageous to attracts the more investors participation; On the other hand, when the fund management achievement is good, the fund supervisor may distribute the more fund shares to increase the scale of the fund, and such system is advantageous to realizes the scale benefit which the experts manages finances. But such institutional arrangement inevitably produced the liquidity need, namely the fund supervisor has had to maintain certain proportion the cash and other high liquidity properties to manipulate the redemption request of the investors.This article study as follows: embarked on the definition of liquidity as well as the liquidity risk, consulted the present research results, and analyzed the different mechanism which the liquidity risk forms, established the mathematical model to analyzed the forming process of the liquidity risk and the primary influence factors, finally took this as theoretic convection of liquidity risk early warning, the guard, the control conducts, thorough this research provided the academic guidance for the open-end fund liquidity risk management.This article altogether is divided five chapters, the structure arrangement as follows: First chapter is the introductory remarks, begin with the operational mechanism of free purchases application and the redemption, thoroughly analyzed such system arrangement how to cause the fund supervisor to be dilemmatic, namely the fund supervisor have to guarantee certain income level which can attract investor's participation, which request fund supervisor to invest as far as possible (hypothesis fund income level and fund investment ratio is positive relevance), in order to guarantee gains income level which the investors satisfied; On the other hand, in order to pay the investor's request, supervisor have to reduce the investment ratio, which can reduce the total property income rate. The income rate drop can cause investor's disaffection and"vote with their feet", such fund supervisors must retain a greater proportion cash to pay large-scale redemption request, the total property income rate can further drop, so can form one kind of oneself-strengthening circulation, if cannot control actively may be cause the fund liquidation.Second chapter has carried on the thorough analysis to the open-end fund liquidity risk. This article thought liquidity itself is a relative concept, is the one kind of inherent attribute of financial asset or the financial market, considered this article studies the actual need, made the following definition from the property angle: The open-end fund liquidity means in order to pay the request of the investors and guarantee the fund normal management, the fund supervisor can rapidly changes the property into cash by the effective price as well as the short-term financing ability or the attribute. Then define the risk, which refers to determine probability of the loss to occur, therefore the risk size is refers to the probability size. Finally define the open-end fund liquidity risk, namely determine the probability of the fund property to lack or to lose the liquidity to cause the fund supervisor not to be able promptly to pay the investors.Third chapter has established the open-end fund liquidity risk management system from the fund supervisor angle of view, including the risk early warning, the risk guard, and the risk controls. First has produced the fluid risk early warning definition, namely the fund supervisor determine the liquidity risk warning rank and send out the alarm through comparing the size between observation value and target value, this process is the dynamic feedback system for the fund supervisor. Considering the open-end fund liquidity risk early warning characteristics: (1) The multitudinous influence factor brings the difficulty for the early warning target determination, (2) Dispersive fund possessors can weaken the early warning the reliability and timeliness, (3) fund dispersive investment has increased the early warning difficulty, with risk warning system construct principle such as comprehensive, feasible, the dynamic, established the liquidity risk early warning system from microscopic, center view, the macroscopic stratifications.Fourth chapter proposed the liquidity risk management procedure and organization frame. The liquidity risk management system should contain the internal environment, goal formulation, item recognition, risk assessment, risk response, control, information and communication, the monitoring and so on eight interdependences essential factors, various essential factors impenetrate in the liquidity risk management process, which also is the liquidity risk management operation program. The fund management company liquidity risk management organization frame including Board of directors risk policy committee, risk management committee, liquidity risk management committee, single fund liquidity risk control group and liquidity risk early warning systemFifth chapter is full text summary.