Market Risk of Chinas Open-end Funds: An Empirical Research Based on VaR

摘要：

Studies have suggested that VaR has a wide application in market risk management of open-ended funds. This paper first gives a brief introduction to the application of VaR in China, and then uses VaR to measure market risk of open-end funds on a basis of sample analysis. The paper further explores why there are more observations that net asset value per share of the sample funds fell below expected lower limits. Finally, some proposals about market risk management of open-end funds are made for fund management companies in China.

关键词： Open-end fund market risk VaR

作者: Shuzhen Zhu Xiaotao Wu

作者单位: Business and Management Department Donghua University Shanghai, China

会议类型: 国际会议

会议名称: 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)

会议地点: 上海

会议语种:英文

页码: 3227-3234

在线出版日期: 2007-10-19（万方平台首次上网日期，不代表论文的发表时间）