证券投资基金动态风险管理模型的建立及应用

【作者】 唐平海；

【导师】 张根明；

【作者基本信息】 中南大学 ， 技术经济及管理， 2003， 硕士

【摘要】 市场风险管理日益受到金融机构的重视。研究表明，证券投资基金有必要根据自身业务的特点，建立一个动态的风险管理模型，以实现其投资资本和风险资本准备的合理分配，在控制其所面临的市场风险的前提下实现投资收益。 本文针对证券投资基金的业务特点，以VaR风险测量模型为核心构建了动态风险管理模型，该模型的主要目标功能有三个：市场风险的监测、投资组合头寸的调整和证券投资基金的资本优化配置。并在选定的时间段内，通过对样本基金、基准指数和根据动态风险管理模型确定的投资组合模拟基金的实证检验及分析，考察了它们在观察期间的收益关系，分析了动态风险管理模型三个目标功能的实现效果。以此为基础，结合我国证券市场的特点，对该模型提出了改进建议。 本文研究表明：基于VaR的动态风险管理模型能有效地监控证券投资基金所面临的市场风险，动态风险管理能够创造价值。在市场正常情况下，VaR对投资组合的未来风险能做出了合理预测；而当市场极端情况出现时，动态风险管理模型能够及时提供调整持有头寸结构的信息，降低投资组合的市场风险；这样，在当前缺乏相关的金融衍生品作为避险手段的情况下，动态风险管理同样能够为证券投资基金控制风险并创造价值。更多还原

【Abstract】 A Dynamic Risk Management Model for Security Investment Foundation ?Establishment & ApplicationPresently, financial institutions attach increasing importance toward Market Risk Management. Statistics says that it is of great necessity to establish a dynamic risk management model, in line with the characteristics of security investment foundation, to realize the reasonable distribution of investment capital and risky capital and to gain the investment profit on the prerequisites of successful risk management.In view of the characteristics of security investment foundation, this essay establishes a dynamic risk management model with VaR at the core. It has three main target functions: supervising the market risk, adjusting the portfolios positions and giving optimized collocation to security investment. According to the selected statistics, the essay reviews the profit relationship between these functions and analyses their effects via an empirical test and analysis on the sample fund, benchmark and the simulated portfolios fund determined by the dynamic risk management model. Based on the above analysis, it also puts forward a suggestion on ameliorating the model.The essay indicates that the dynamic risk management can create value and its model, based on VaR, can provide an effective control upon the risk of security investment foundation. VaR reasonably calculates the future risk of portfolios under normal market conditions. Yet during market turbulence, the dynamic risk management model will give timely adjustment to the positions structure and reduce the risk of portfolios. Thus, in the lack of related deliveries hedging against risk, the dynamic risk management can still control risk and generate value for security investment foundation.更多还原