Research On Management Of Liquidity Risk Of Open-end Funds In China

Since the establishment of the first open-end funds in 2001,the open-end funds has faced share of redemption in large scale.The liquidity risk is the concentrated expression of other risks in the process of operation.The market risk and operational risk may explore by the way of the accumulated liquidity risk.Today,the open-end funds have become important investment tools in the security market.As for fund manager,how to prevent and control the liquidity risk resulting from the redemption has become an urgent and practical problem.This paper analyzed the theory of open-end funds first at the background of open-end funds present situation in China,explained the formation mechanism and influencing factors of open-end funds,and summarized the specificity of open-end funds in China.Then this paper proposed new indicators on the basis of model VaR which was different from traditional indicators and structured a new risk measure model R-VaR.Finally this paper attempted to measure the liquidity risk in China by R-VaR,and make correlation analysis between liquidity risk and other factors.The conclusion showed that the traditional model was not appropriate;the liquidity risk of open-end funds had different correlation with other factors.The conclusion could help investors and fund managers pay attention to the liquidity risk of open-end funds,and analyze the investment strategy.