The Risk Estimation And Risk Management Analysis Of Chinese Money Market Funds

With the development of the Internet Finance, the money market funds began a new round of innovation in the second half of 2013. The most important characteristic of this innovation is the development of the marketing channels. The presentation of the “ yu e bao ” lead to the popularity of the money market funds. However, as a kind of the open-ended fund, the money market fund also has the risk which includes the systematic risks and the unsystematic risks. Among the methods to estimate the risk, the Va R method is the most popular. It is a statistic of the dispersion of a distribution and, for a given portfolio, refers to the worst outcome likely to occur over a predetermined period and a given confidence level. The money market funds are also the portfolios, so we use the Va R not only to provide the investors and the managers an indicator to measure the risk but also inspect the funds use both Va R and the yield. All above, Va R can estimate the risk of the money market funds well.In this paper,we contain the three parts, the theory and the model of the risk of the money market funds, the empirical analysis and the risk management analysis.In the first part, we describe the theory and the model of the risk of the money market funds.This paper indicates that the risk of the money market funds contains the systematic risks and the unsystematic risks. In the model, we use the GARCH-Va R model which can describe the risk dynamically.In the second part is the empirical analysis of the risk. Firstly, we review the three periods of the development of our national money market funds and specially describe the characteristic and the current situation of the funds. Above all, we choose the funds with the biggest asset size as the sample and find their best result of the estimation.In the last part, we analysis the management of the risk. In this part, we separate the sample into the good-job group and the bad-job group, and then, we compare the two group and try to find the more successful operating model. At last, we will provide some advice to both the investors and the managers of the money market funds.