Analysis On The Market Risk Measure And Control Of BOCIM

The securities investment industry is a high-risk industry.In recent years,losses have occurred due to securities investment,and even bankruptcies have emerged one after another.The fund management company is basically similar to the operation mode of other financial industries,and all of them invest and finance activities with a scale of10 times or even 100 times their registered capital.Therefore,only a more rigorous risk management than the traditional manufacturing and service industries can promote the sustainable and stable development of fund management companies.This paper takes the market risk assessment and control of BOCIM as the research topic.Based on the in-depth discussion of the risk control of fund companies,it is common to domestic fund companies by combing the methods of market risk measurement of fund companies at home and abroad.For the measurable risks,such as market risk,liquidity risk and other tools and means that lack accurate assessment,the GARCH-Va R model suitable for the BOCIM is proposed from the theoretical level.After assessing and analyzing the product line of BOCIM and the risks it faces,it is concluded that the most important risk is market risk.This paper empirically analyzes the market risk of BOCIM from both the overall and individual aspects: on the one hand,19 open-end funds are selected,the index is the fund's daily rate of return,and the data time range is from December 30,2018 to December 31,2018.The GARCH-Va R model is used to measure its risk;on the other hand,select a single fund "BOC Blue Chips Selection" to measure the risk of holding stocks.The results show that the GARCH model is well adapted to the "spike and thick tail" characteristics of most financial sequences,and the fitting effect is good.When measuring the market risk,combined with the Va R model,a more accurate risk metric can be obtained.Moreover,VaR can derive indicators such as RAROC and IVAR,which can be used not only to measure market risk,but also to greatly control risk and adjust investment portfolio.This paper also makes theoretical and empirical research,which can help solve the problem.Risk management issues for fund management companies.It is expected to provide some reference for the fund company to optimize the risk management system and promote the healthy development of the fund industry.