基于VaR的开放式股票型基金市场风险的测量与评价

Measuring and Appraising the Market Risk of Stock Open-end Fund Based on VaR

通过采用半参数法计算投资组合VaR,得到相应VaR的近似置信区间,并结合成分VaR、边际VaR对投资组合VaR进行分解,结果发现,VaR作为风险管理工具同样可以有效应用于开放式股票型基金市场风险的测量与评价。

In this paper, we applied a new semi- parametric approach to obtain an approximate VaR confidence interval. In terms of portfolio, we also made use of C - VaR and M- VaR to analyze the total risk of it. The result is that VaR can be effectively used in measuring and appraising market risk of stock open- end fund as a popular technique. These can give useful information for fund managers and investors on how to calculate VaR accurately and describe the risk composing of portfolio.