会议专题

Research on Risk Management of Chinese Mutual Funds Based on Semi-parameter VaR and GARCH-VaR -Empirical Analysis of Chinese Mutual Funds after Reform of Non-tradable Shares in 2005

  The paper reports on risk management methods of Chinese mutual security investment fund.An empirical study of the selected 15 mutual funds in China is performed with testing models of Semi-Parameter VaR and GARCH-VaR.It is found that the GARCH-VaR method has better precision than conventional performance index, and Semi-Parameter VaR is relatively simple in calculation but the resulting confidence interval is too wide for practical application.Comparatively GARCH-VaR is found to be more rational and precise.

mutual funds risk management Semi-Parameter VaR model GARCH-VaR

Yang Ju Wilfred V.Huang

School of Finance, Shanghai Institute of Foreign Trade College of Business, Alfred University

国际会议

The 4th Conference on Chinas Economic Operation Risk Management(2010·Shanghai)(第四届中国立信风险管理论坛)

上海

英文

203-209

2010-10-14(万方平台首次上网日期,不代表论文的发表时间)