Research On Measurement And Influencing Factors Of Open-end Fund Risk

With the development of the financial market, financial market risk management is a part of the financial institutions which we cannot ignore. Various funding agencies also set up a special research and development department to conduct a scientific analysis of the portfolio, to manage the risk of open-end funds, to ensure the income of the Fund. Beginning in the1960s, VaR risk measurement method is the most widely used. Starting from the late1990s, VaR (Value-at-Risk) has become the most commonly used measure of risk model in the field of financial risk management. Its biggest advantage is that you can use a value indicates the potential loss of a certain period in the future, such a difference in the market, traders and financial instruments risk comparison. Thus, VaR occupies a very prominent position in the Financial Risk Measurement.With this paper introducing the fund categories and a variety of risks, we propose the measurement method leads to the risk of the Fund, through the analysis of the shortcomings of various risk measurement methods, stressed VaR advantage of this risk measurement methods and the use of the universality. Many VaR estimation methods are enumerated. Fund return series by statistical analysis, that the volatility of the Fund’s distribution is different from a normal distribution with a fat tail characteristics, and therefore GARCH model risk measurement models, which solve the volatility characteristics of the fund yield good results, and then through the expansion of the EGARCH model found that fund risk "leverage effect", this feature is well reflected in the EGARCH model.And different distributional assumptions VaR results also show that the risk values under the GED distribution fit best. On the analysis of influencing factors, macroeconomic factor is primary one that affects the risk of open-end funds.Firstly, introduce the theoretical analysis research.In this section, focuses on the main types of fund risk and its detailed analysis.At the same time recommends general risk measure, including the variance, β coefficient, and tells the story of several estimation methods of VaR risk measurement methods, and analyze the strengths and weaknesses and the scope of the VaR measurement method. VaR is the most appropriate measure of fund risk. Then on the point of view of the theoretical model, analyze the risk measure. First propose the VaR estimation method based on the ARCH model. But this model has the defects that cannot fully describe the risk characteristics of the fund. And therefore analyse the GARCH model and its extended model detailed. After using GARCH model and the extended model analyses to determine the most appropriate method of risk measurement empirically during the model. In the article, through qualitative and quantitative analysis, data, results, and test descry be fund riskin all aspects.