Predicting Large Amounts of Accrued Payables to Redeem Open-End Funds
The predicting model of great amounts of redemption (GAR) and large amounts of redemption (LAR) for open-end funds are proposed. According to real situation, the probability calculation formulas of large amounts of redemption (LAR) are deduced with normal distribution and T distribution. We also provide the analysis about relations on probability of large amounts of redemption (LAR) and great amounts of redemption (GAR) to the mean and variance of redemption and mean of purchasing. It is shown that the probability of large amounts redemption would increase with the fluctuation increasing of redemption and the probability of large amounts redemption occurring would decrease with the average amount of purchase in the fund increasing. On the basis of the model, the paper puts forward the relevant method of risk management and some relevant advice for Fund Company avoiding liquidity risk combining the china current market environment, which manages open-end fund liquidity risk faced with.
Compound Poisson distribution Bayes statistics Liquidity risk Large amounts of redemption(LAR)
Jinyu Wang Dan Bi
Management department, Shenyang Institute of Aeronautical Engineering Shenyang P.R.China 110136 School of Business Administration Northeastern University, Shenyang P.R.China 110004
国际会议
2007 Conference on Systems Science, Management Science and System Dynamics(第二届系统科学、管理科学与系统动力学国际会议)
上海
英文
2095-2102
2007-10-19（万方平台首次上网日期，不代表论文的发表时间）