Empirical Study On Market Risk Management Of Open-End Fund

Open-end fund is an investment mode which needs investors to undertake risk and get return together, and it is the important part of VaRiety innovation for funds and important development orientation for funds of many countries. With the development of economy of every country in the world and change of economy circumstance of the global many Financial institutions, non-financial institutions and investors are exposed to the increasing risk. Especially in our country securities market is immature and the circumstance of the capital market is complex and special comparatively, so open-end fund in our country is exposed to more and more risk factors. In the point of origin of risks, there are three categories of risks: market risk, liquidity risk and operation risk, but in fact market risk and liquidity risk are two of the main aspects. Under China investing condition market risk is the main risk that open-end fund of our country is exposed to.Facing the increasing risk, it is crucial how to build a system of scientific modern risk management, to keep away and control risk of open-end fund for many investors and China securities regulatory departments under our country's immature market circumstance of funds. Market risk is an important part ofthe financial risks. Hence risk measurement is the core of market risk management just as financial management. A widely accepted market risk-measuring model was accordingly in great demand, and VaR(Value at Risk) then came into being.This thesis is focused on empirical study of market risk management of China's rapidly open-end fund. It starts with the basic theories on risk management and open-end fund, introduces the risk our country's open-end fund is exposed to and actuality of risk management, and then the popular methods of risk measurement, for instance, GARCH model, VaR model, etc. Basing onthe theory of VaR it applies GARCH-VaR model and the skewness&krurtorsis method to the market risk management of China's open-end fund. Meantime for empirical study, the thesis also makes co-integration analysis on relationship between open-end fund and stock market. In the end, conclusions correlating with market risk, investment and risk management of open-end fund are drawn as follows:1,Open-end fund in China is facing the risk of a VaRiety of types, but the main risk is market risk, liquidity risk actually a form of expression of market risk.2,From the risk management of our open-end fund, the management level of the fund management company is not high, and the level of understanding and attention to the risks of the fund is insufficient, in the application of risk measurement tools they are relatively backward and have to raise the level of risk awareness and management.3,Results from the positive study, open-end fund in China is exposed to higher risks, and relatively concentrated. It is the main reason for this situation that stock holdings of the fund is too concentrated, thus investment not properly diversified.4,As different investment objectives, investment styles of VaRious funds are quite different, thus there are differences of the fund's investment risk. "high-yield high-risk" the law applies equally to the open-end fund market of China.5,From the co-integration relationship between net price and the stock market index, price change of open-end fund is basically consistent with price change in stock market, seen that secur, ities market environment hasa greater impact on the fund's risk.