中国开放式基金流动性风险研究

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1、厦门大学博士学位论文中国开放式基金流动性风险研究姓名：虞红霞申请学位级别：博士专业：投资学指导教师：何孝星20090401提供依据。第四，为了实现基金资产流动性风险的最优控制，根据Hamilton函数方程和常微分方程求解最小执行成本的变现策略，并加以实证检验。第五，对开放式基金流动性风险对金融市场稳定的影响进行研究，在分析开放式基金流动性危机形成机制的基础上，分析我国开放式基金存在的潜在流动性问题和危机传导机制，并提出防范流动性危机的政策措施。第六，根据研究结论从基金管理公司和政府监管部门两个层面，提出开放式基金流动性风险管理的对策措施。关键

2、词：开放式基金；流动性风险；赎回AbstractWitlltherapiddevelopmentofChina'ssecuritiesmarket,open-endfundassetsaccountforanincreasingproportionofstockmarketvalue，andopen—endfundliquidityriskmanagementhasalsobecomethetopicthatfundmanagementinstitutionsandexpelsandscholarscontinuetoexplore．Open

3、-endfund’Sliquidityriskisasystemicrisk，theperformanceofvariousforms，theimpactofmanyfactors，howtoidentify，distinguishandaccuratelymeasure，howtheprocessofassetallocationandfundday．-to··daymanagementoftheprocesscontrolandmanagementofliquidityriskhasbeenopen—endfundsareriskmana

4、gementandimprovementofurgentproblems．Inthispaper,onthebasisoftheearlyresearchresultsofdomesticscholarsandforeignscholars，throughsystematicallystudingChina'sopen—endfundliquidityriskandtheimpactofriskfactors，combinedwiththerealityofChina’Ssecuritiesmarket，fromtheliquidityris

5、kidentificationandclassification，assetliquidityriskandredemptionRisk，theimpactofliquidityrisktothestabilityoffinancialmarkets，WecarriedouttheoreticalresearchandempiricalresearchonChina'sopen-endfundliquidityriskinordertoprovidesometheoreticalandappliedsuggestionsforliquidit

6、yriskmanagementofopen-endfunds．IIlthepaper，wesortedouttheoryandliteratureaboutopen-endfundliquidityrisk,andfollowlogicalthinkingof”RiskIdentification-砒skClassification一砌SkAnalysis．Riskcontrol—preventionofcrisis，¨firstofall，definetheopen-endfundliquidityriskofthedefinitionan

7、dclassification,andthenstudiedontheopen。endfundassetsandredemptionofliquidityriskrespectivelyandanalyzethereasonwhytheopen-endfundliquidityriskmayleadtoliquiditycrisisandtheformationmechanismofthedevelopmentofChina'sopen-endfundpotentialmobilityissues，withaviewtoprovidesugg

8、estionsforliquidityriskmanagementoffundmanagementcompaniesandfundsupervisionagency