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

摘要：

　　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.

关键词： mutual funds risk management Semi-Parameter VaR model GARCH-VaR

作者: Yang Ju Wilfred V.Huang

作者单位: School of Finance, Shanghai Institute of Foreign Trade College of Business, Alfred University

会议类型: 国际会议

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

会议地点: 上海

会议语种:英文

页码: 203-209

在线出版日期: 2010-10-14（万方平台首次上网日期，不代表论文的发表时间）