Research On VaR Based On Liquidity Risk Of Open-end Funds

The paper discusses the liquidity risk of open-end funds, It improves VaR model. Then make empirical research on liquidity risk of open-end funds by using data of 30 open-end funds from January,2008 to March,2009.Firstly, the paper outlines the liquidity risk of open-end funds on background, goals, domestic and foreign related fundamental research.The paper analyzes these theories in detail of liquidity risk of open-end funds.Secondly, It introduces definition and index of liquidity risk of open-end funds and introduces the history of open-end funds. In the part of methods of open-end funds researching, it elects some theories of liquidity risk which is representational and correlative, including Historical Simulation, Variance-Covariance Method and Monte-Carlo Method.It also introduces EVT.Then it estimates all above them.Thirdly, It makes an emoirical research on liquidity risk of domestic open-end funds. It elects 30 mutual funds and computes the turnover ratio of them. All of their kurtosis index and skewness index differ with the normal distribution. Based on the distribution of data,It can not use the classic parametric method-the model of variance and coefficient variance.So it choses POT model based on the extreme theory.As the classic model of historical has some defaults,there add exponentially weight to revise it. Then it compares the results of Historical Simulation with the results extreme theory. It gets the conclusion that VaR model based on the extreme theory is valid in high confidence levels. And invalid in low confidence levels,the model of revised historical is on the contrary.In the end, it is the ending.Point out the conclusion,the shortages and the further research. Considering the situation of china liquidity risk of open-end funds, the paper makes some pieces of advice at last.