The Research On VAR Measurement Of Market Risk Of Stock Open-end Funds Based On Hurst Exponent

Along with the prosperous development of China's mutual fund industry, mutual funds have become an important investing channel for common people. Especially open-end funds have become a mainstream product in the international fund market, for higher liquidity, better management and operation of the market mechanism compared to closed-open funds. For stock open-end funds, which invest mainly in the stock market, market risk is the largest risk which fund management companies in the face of. Also market risk is the most basic, common and the hardest risk to keep away. Its deterioration leads to other risks (such as liquidity risk) and it is vital to our open-end funds, as well as the stabilization and healthy development of the entire securities business. So this thesis researches on measuring the market risk of stock open-end funds, which is of theoretical and practical signification. Research on market risk can help not only fund managers more effectively and scientifically manage the fund, but also investors rationally choose their own investment requirement of the fund, the portfolio so as to diversification of investment and improvement of returns. Based on the theory of modern financial risk, this thesis uses methods of qualitative and quantitative, especially quantitative method to measure the market risk of stock open-end funds. We make use of Value-at-risk and nonlinear fractal theory to lucubrate. Finally we do a demonstrative study.On the demonstrative study, we choose Hua'an Innovation fund (040001)as the object of study, which is China's first open-end fund. Through R/S analysis, we compute Hurst exponent of portfolio is greater than 0.5, following biased random walk process, and average cycle length of it is 16 business days. We induct fractal distribution to fit returns which have fat tails and excess kurtosis, and give the equation of VaR based on fractal distribution. Using a new semi-parametric approach, we obtain an approximate VaR confidence interval and make use of M-VaR and C-VaR to analyze the total risk of portfolio.This thesis uses the result of risk measurement research for reference, in order to achieve a breakthrough about it. These are some innovations: 1) Give the Hurst exponent to measure the market risk of stock open-end funds based on fractal theory. 2) Introduce fractal distribution in the calculation of VaR and estimate four parameters of the fractal distribution. Decompose portfolio VaR by condition mean eatimation.