【作者】 陈浩；

【导师】 袁先智；

【作者基本信息】 苏州大学 ， 金融工程， 2016， 硕士

【摘要】 伴随着金融市场的高速发展的同时,金融市场的波动性也变得极其重要。20世纪70年代以前,金融市场的波动性较弱,其金融产品的市场价格变化较为平稳,金融风险突出地表现为信用风险。然而进入20世纪70年代后,由于金融衍生品的急剧膨胀及资产的证券化趋势,全球金融市场产生了根本性的变化,市场风险取代了信用风险的地位,成为金融机构面临的最重要风险。在国内的基金市场中,对于使用Monte Carlo Simulation方法计算Va R来评价市场风险的研究较为稀缺。本文旨在以国内的分级基金A份额指数为数据样本,对分级A的市场风险管理进行理论分析和实证研究,以期能对分级A的投资者提供些许建设性意见。更多还原

【Abstract】 Along with the rapid development of financial markets, the Volatility of financial markets has also become extremely important at the same time. Before the 1970 s, the Volatility of financial markets was weak, change of the financial products prices were more smooth, the credit risk was highlighted as the main financial risk. However, after the 1970 s, due to the rapid expansion of financial derivatives and the trend of assets securitization, radical changes had been made in the global financial market, market risk replaced credit risk, became the most important risk faced by financial institutions.In the domestic fund market, using Monte Carlo Simulation method to calculate VaR to evaluate market risk is rare. By using the domestic Structured Fund A share index as sample, this thesis outlined a theoretical analysis and empirical research of the market risk management of Structured Fund A, in order to provide the Structured Fund A investors some constructive suggestions.更多还原