应用Bayes理论预测开放式基金大额赎回量

Predicting Large Amount of Accrued Payables to Redeem Open-End Funds on Bayes Theory Basis

提出了开放式基金的大额赎回量和Bayes大额赎回量的概念,将复合泊阿松分布和极限理论运用在大额赎回量的计算之中,得到了计算公式·由于开放式基金赎回量的分布中的参数不断变化,因此用Bayes方法预测未来近期的大额赎回量更合适·推导出了正态分布下Bayes大额赎回量的计算公式·为基金管理人合理规避这种流动性风险提供了一种预测方法·

The concepts of large amounts of redemption (LAR) and Bayes large amounts of redemption (BLAR) for open-end funds are suggested. The formula to calculate LAR is obtained on the basis of the theory of compound Poisson distribution and limitation. Because the parameters of redemption amounts distribution are uninterruptedly changing in case of open-end funds, it is more appropriate to predict the large amounts of redemption by using Bayes method. The formula to calculate BLAR is thus derived in normal distribution. In conclusion, a new reasonable way to keep away from the liquidity risk is provided to the fund management.