【摘要】 针对开放式基金面临的赎回压力问题,提出了一个确定开放式证券投资基金预留现金比例的模型·该模型采用跳跃 扩散过程来描述各期到来的申购和赎回金额,利用极大似然估计给出跳跃 扩散过程的未知参数,进而将确定开放式基金预留现金比例的问题化为一个简单的一维搜索优化问题·最后利用实际数据进行了验证·计算结果表明,利用跳跃部分来描述可能到来的较大金额的申购和赎回是比较合适的,较大金额的赎回金额到来的频率对预留现金的最优比例具有明显的影响·用这种方法确定预留现金比例,对开放式基金资产流动性风险管理具有积极意义·更多还原

【Abstract】 A model is developed to determine properly the obligated cash proportion which is such a problem that all the open-end securities investment funds have to face for redemption based on jump-diffusion process to describe the expiring amount of subscription and redemption in each and every period. The maximum likelihood estimation is carried out to give unknown parameters in the process, then the model can be simplified to be an optimization of one-dimension search. An empirical study shows that it is appropriate to describe the probably relatively large amount of subscription and redemption with jump processes, and the frequency of such redemption amount can affect the obligated cash proportion significantly. The approach proposed will benefit the risk management of assets flows of open-end funds.更多还原