| In this thesis methods of risk measures of the open-end fund in China are mainly investigated in terms of the market risks and liquidity risks.At first, a theoretical background related to risk measures and a survey of researches are presented, with current researches on the market risk theory and liquidity risk theory focused on. Then, with fundamental concepts and classification of open-end fund in China presented, sources and characteristics of different riks are analysed in detail.Secondly, the econometric methods for the market risks and the distribution models for the rate of return of the open-ended fund are handled. With stock market in China influenced easily by policies and other factors, the Regime-Switching GARCH model is also used for the research.Thirdly, in a case study of 16 open-end funds established early the Value-at-Risk method is employed and the daily return series of the funds is modeled with VaR method based on different models and distributions. The results illustrate that, the model is able not only to judge the return series' lever effect but also to describe its fat tail. In addition, the model performs well when it is used to estimate the VaR value.Then, based on traditional GARCH model and MRS-GARCH model the VaR values are calculated, respectively, using the daily return data of fund index of Shanghai stock market, with a conclusion that MRS-GARCH model performs better than the traditional GARCH model.Further, the meaning and type of liquidity risks in connection with the open-ended funds are presented. Based on the existing BDSS model, three kinds of liquidity indices are introduced to build liquidity risks-measuring model in accordance with the securities market in China. A case study of open-ended funds is carried out and a comparison of VaR values calaculated using different models is made.Finally, to complete this thesis, some other risk-measuring methods for the open-ended funds, such as operation risk and credit risk, are also briefed. |
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