基于VAR-GARCH模型的我國(guó)開(kāi)放式基金市場(chǎng)風(fēng)險(xiǎn)度量研究.pdf

1、武漢理工大學(xué)碩士學(xué)位論文基于VARGARCH模型的我國(guó)開(kāi)放式基金市場(chǎng)風(fēng)險(xiǎn)度量研究姓名：蘆攀申請(qǐng)學(xué)位級(jí)別：碩士專(zhuān)業(yè)：應(yīng)用數(shù)學(xué)指導(dǎo)教師：曾祥金20081101武漢理r大學(xué)碩士學(xué)位論文AbstractWiththerapidlydevelopmentofthewholemoneymarket，howtomangefinancialriskefficientlyhasbeenpaidattentionnotonlybyinvestorsbuta

2、lsobygovernmentsupervisionsRiskmanagementbecomesthemanagementfocusofmodemfinancialinstitutionSince2001firstopen—endedm11dhadbeenestablishedinourcountry’Sfinancialmarket，Aftermorethansenenyears’development，asthemexplodein

3、numberandsize，thembecamethemainstreamininvestmentfundmarketButopen—endedfundisofmuchvirtueandisfavoredbythegeneralinvestorsSoitiscrucialhowtobuildasystemofscientificmodemriskmanagement，tokeepawayandcontrolriskofopen—ende

4、dfundformanyinvestorfundmanagerandChinasecuritiesregulatorydepartmentAstoopen—endedfund，therearethreecategoriesofrisks：marketrisk，liquidityriskandoperationriskThereintomarketriskandLiquidityriskarethemainaspectsButinfact

5、liquidityriskonlyisaformofmarketriskandmarketriskisfinalfactorunderChinainvestingconditionTherefore，itisimportanttoreflectventurelevelclearlybyusinghistoricaldataTllispaperquantitativelyanalyzesriskdegreeofopen—endedfund

6、inChinaItstartswiththebasictheoriesonriskmanagementandopenendedfund，introducesthepopularmethodsofriskevaluation，forinstance，GARCHmodel，VaRmodel，etcthemajorcontentsasfollows：underthehypothesisofnormaldistribution，studentt

7、distributionandGED，basedontheGARCHmodel，describefluctuateoftheretumrateofopen—endfundandestimateVaRvalueofthesamplefunds，thenusingmodelappraisevaluetheaccuracyverifiedofVaRmodelsItalsosolvesthechoosingproblemofthe眩次calcu

8、latingmodeloftheopen—endedfundandfindasuitablemodelforopen—endedfundinChina。Finalyitdoesdemonstrationresearchonthe壇次calculatingmodelof10open—endedfundofourcountrybycombiningtheriskcharacteristicofthefundofourcountrywhich