The Var Model Is Applied Research In The Risk Management Of Securities Investment Funds In China

Recently the security investment fund (SIF) has become a very important part of China's stock market due to its very rapid development which contributes greatly to its growth of scale and quantity. However, the stock market is still an immature one because of its short history that has such flaws as limited categories, heavy speculative atmosphere and high market risks. Under this complicated market SIF needs strong capacity of risk management to response to all kinds of risks readily as it strive for its survival and prosperity and eliminate failures. Value at Risk (VaR) is one of the most advance techniques for financial risk management and prevailing new benchmark in the world. Today the research of the application of VaR in the risk management of SIFs is of great significance which contributes much to the sound and healthy development of SIF industry and the strength of the international competence of China's SIF. Firstly, this paper introduces the theory of VaR systematically including the computation techniques, the back test and three tools employed to analyze the risks of investment portfolio.Secondly, this paper analyzes the characteristics facing investment portfolio and generalizes several theories of risk management .The application of VaR is analyzed qualifiedly from such aspects as the risk forecasting and controlling, strategic distribution of assets, decision-making and the assessment of performance.Lastly, empirical study of the use in China's SIF including the risk forecasting, the adjustment and decision-making, performance assessment of stock investment fund is conducted based on different samples.