h基金公司股票投资市场风险管理的研究

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1、᪎㾷仾䲙Ⲵ⺞࠷ᇊѹᱟᖃ䍴ӗԧ٬ǃ㛑⾘ԧṬ઼⳸࡙ᛵߥࠪ⧠䶎亴ᵏ㔃᷌ᰦⲴн⺞ᇊᙗDŽྲօᴹ᭸亴⍻ᒦᓖ䟿仾䲙ˈሩҾ仾䲙㇑⨶ᴹߣᇊᙗ᜿ѹDŽሩҾⴞࡽ㛑⾘Ҽ㓗ᐲ൪䟽㾱Ⲵᣅ䍴ѫփѻаส䠁ޜਨᶕ䈤ˈҏ䴰㾱ᔪ・а྇ᆼழⲴ仾䲙亴⍻઼㇑⨶ᵪࡦˈᣅ䍴㘵ᴤѪޣ⌘Ⲵᱟᣅ䍴ᐖॺ४䰤ਟ㜭ࠪ⧠Ⲵᴰབྷҿᦏˈণаᇊᾲ⦷лਟ㜭Ⲵᴰབྷᣅ䍴ᦏཡDŽ䙊䗷䈳⹄᮷ㄐਁ⧠ⴞࡽHส䠁ޜਨሩҾส䠁൘㛑⾘ᐲ൪仾䲙㇑⨶઼ᦏཡ亴⍻Ⲵ䟿ॆᯩ⌅ѫ㾱ᱟപᇊᦏཡ∄઼䘁լVaRশਢ⁑ᤏ⌅є⿽ˈᒦᐼᵋᕅޕн਼VaRᯩ⌅䘋㹼ᯩ⌅∄䖳ˈӾ㘼䘹ਆࠪᴤѪᴹ᭸Ⲵ亴⍻઼㇑⨶ᯩ⌅DŽᵜㇷ䇪᮷⭡↔

2、䘹ਆHส䠁ᰇлⲴє⿽ᴰިරส䠁㊫ර֌Ѫ⹄ウሩ䊑ˈ࠶࡛ᱟ˖ᤷᮠර㛑⾘ส䠁઼䶎ᤷᮠරᔰ᭮ᔿ㛑⾘ส䠁DŽ࣐ޕࠐ⿽н਼ⲴVaRᯩ⌅(Delta-↓ᘱVaRˈশਢ⁑ᤏVaRˈCVaRˈᯩᐞ-ॿᯩᐞVaR)઼ส䠁৏ᴹ㇑⨶ᯩ⌅䘋㹼∄䖳DŽ䙊䗷䘀⭘Eviews઼Excelᐕާᒦ⭘LRլ❦∄ਾ⍻Ự傼傼䇱਴⿽ᯩ⌅Ⲵ߶⺞〻ᓖˈӾ㘼ᗇࠪަѝ∄䖳ᴹ᭸Ⲵᯩ⌅DŽ䙊䗷ᇎ䇱⹄ウˈਟԕᗇࡠⲴ㔃䇪ᱟ˖аǃሩҾᤷᮠර㛑⾘ส䠁ˈ࠶࡛䘋㹼ҶаᒤᵏˈйᒤᵏVaR亴⍻ˈᒦ䘹ਆҶн਼Ⲵᰦ䰤४䰤ᶕቿ㭭⢋➺ᐲᑖᶕⲴ䎻࣯ᖡ૽ˈཆ࣐н਼㖞ؑ≤ᒣ(99%ǃ95%ǃ9

3、0%)ޡ12⿽ᛵߥDŽ⭘լ❦∄ਾ⍻Ự傼㺘᰾ˈশਢ⁑ᤏVaR઼Delta-↓ᘱVaR࠶࡛䙊䗷ҶⲴ11⅑(91.7%)઼10⅑(83.3%)ˈՈҾަԆ⁑රDŽCVaRᯩ⌅൘㖞ؑ≤ᒣ∄䖳վᰦ䈟ᐞ䖳བྷˈᙫޡ䙊䗷4⅑(33.3%)Ự傼ˈ㘼പᇊᦏཡ∄ᯩ⌅൘བྷ䜘࠶Ự傼ѝ䜭ᰐ⌅䙊䗷ˈӵ䙊䗷3⅑(25%)DŽᴰਾ⭘Jarque-BeraỰ傼傼䇱Ҷ⁑ර䘹ਆⲴᤷᮠᱟ䎻ੁҾ↓ᘱ࠶ᐳⲴˈᒦ⭘ARCHỰ傼傼䇱ᤷᮠнᆈ൘ᶑԦᔲᯩᐞᛵߥˈ䈤᰾ԕкVaRⲴ䇑㇇䜭ᱟᴹ᭸ⲴDŽҼǃሩҾ䶎ᤷᮠරᔰ᭮ᔿ㛑⾘ส䠁ˈᯩᐞ-ॿᯩᐞVaR઼শਢ⁑ᤏVaR亴⍻Ո

4、ҾަԆ⁑රˈє⿽ᯩ⌅䙊䗷Ҷᡰᴹլ❦∄ਾ⍻Ự傼ˈնশਢ⁑ᤏᯩ⌅Ⲵ㋮⺞ᓖᴤ儈ˈỰ傼㔃᷌ᴤ᧕䘁Ҿ਴њ㖞ؑ≤ᒣⲴ⨶䇪᧘㦀٬DŽ਼ᰦਁ⧠പᇊᦏཡ∄亴⍻൘བྷ䜘࠶Ự傼ѝᰐ⌅䙊䗷DŽᴰਾ᮷ㄐᔪ䇞Hส䠁㇑⨶ޜਨ൘ӺਾⲴᣅ䍴ᐕ֌ѝ࣐ޕDelta-↓ᘱ⁑ර઼ᯩᐞ-ॿᯩᐞ⁑රє⿽VaRᯩ⌅ᒦ؍⮉শਢ⁑ᤏVaRᯩ⌅ᶕሩᰇлส䠁䘋㹼仾䲙ᓖ䟿઼㇑⨶DŽ㘼പᇊᦏཡ∄Ⲵᯩ⌅઼CVaR⭡Ҿнཏ㋮⺞઼ᴹ᭸ᔪ䇞н޽⭘DŽީ䭤䈃φ䠁㶽仾䲙ˈ൘䲙ԧ٬ˈ↓ᘱ࠶ᐳˈส䠁ˈᣅ䍴㓴ਸABSTRACTTheexactdefinitionofriskistheunc

5、ertaintywhenweforecasttheassetvalue,stockpriceorprofitofcompanies.Howtoquantifyandforecasttheriskisimportantforriskmanagement.Asstockinvestmentfundisoneofthemostimportantpartsofthestockmarket,systemofriskmanagementhastobesetup.Investoersaremorecareaboutt

6、helargestlossundercertainpossiblility.WehavestudiedtheHfundmanagementcompany.Indexfundandnon-indexopen-endstockfundwillbediscussedinthepaper.ThemethodwhichnowbeusedinHfundincludesfixedpercentagelossandhistoricalsimulationmethod.Exceptcontextabovewillbein

7、troduced,othermethodlikedelta-normalmethod,historicalsimulationmethodandCVaRwillalsobediscussed.AllthecalculationwillbefinishedbyEviewsandExceltools.AtlastLRbackingtestwillbeusedtoidentifytheeffectivenessofdifferentmethods.Finallywecanconcludebasicconclu

8、sion.First,forIndexfund,12kindsofsituationhasbeentestedbasedonLRbackingtestunderdifferenttimeperiodsandconfidentlevels.HistoricalsimulationVaRmethodhaspassed11times(91.7%)andDelta-normalmethodpassed10times(83.3%).Thesetwom