基于Var模型的开放式基金风险计量研究

开放式基金在世界范围内发展迅猛 ,已成为世界投资基金的主流。中国内陆也在 2 0 0 1年 9月推出了第一只开放式基金。开放式基金在我国的进一步发展需要对其风险进行识别和管理。目前在我国 ,对开放式基金风险的研究主要以定性研究为主 ,定量研究较少。Var模型是国际上流行的并且是非常有效的风险计量和管理工具。在var模型的计算方法中 ,方差与协方差法 (Variance-covariancemethod)是一种简便易行的计算方法。运用Var模型中方差与协方差法计量开放式基金的风险可以从定量角度提供精确的风险值 ,对开放式基金风险的管理具有重要意义

Calculate the Risk of Var-model Open-end Funds

With the rapid development in the world, the open end funds come to be the mainstream of world investment funds. In September 2002, Chinese mainland launched the first open end fund. In its development, we should recognize and control its risks. At present, its research mainly focuses on qualitative study rather than quantitative one. In the world, Var model is a popular, effective risk measurement and management tool of which variance covariance method is a simple calculating method. From the angle of quantity, Var model provides an exact value of risk, by means of variance covariance method, to calculate the risk of open end funds. These have a vital impact on the risk management of open end funds.