论金融危机背景下中国开放式基金流动性风险管理  

Under Financial Crisis Background the Management of Liquidity Risk for Open-endFund in China

作　　者：郝鹏[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《现代财经（天津财经大学学报）》2009年第3期8-13,共6页Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

摘　　要：美国的次贷危机引发了全世界范围的金融海啸,使各国的机构投资者对风险的防范意识有所加强。为了完善我国开放式基金流动性风险管理体系,文章首先在总结VaR基本方法的基础上,构建风险调整的L-VaR模型测度我国开放式基金的流动性风险,对我国开放式基金的重仓股个股和基金组合的流动性风险进行实证研究;其次,根据赎回量与赎回次数的概率分布提出开放式基金最优预留现金比例模型,并且给出基金最优减持比例确定以及基金最优变现策略的思路。由此,形成一套比较系统的开放式基金流动性风险管理技术。Subprime crisis triggered a worldwide financial tsunami, so that the awareness against the risk of the institutional investors from all countries has been enhanced. In order to complement the management system of liquidity risk for China＇s open--end fund, first of all, based on the VaR method, the article concluded the risk--adjusted VaR model, L--VaR model, and do some empirical research on measuring the liquidity risk of China＇s open--end fund; Secondly, suggested an optimal model for cash reserve ratio of open--end fund based on the probability distri-bution of redemption and the number of redemption, and gives the ideas concluding the optimal strategy for the liqui-dation of the fund and the optimal reduction proportion determining. Therefore, it forms a more systematic management technique for the liquidity risk of open--end fund.

关 键 词：开放式基金 流动性风险 L—VaR 风险管理 

分 类 号：F830.9[经济管理—金融学]