基于条件风险值模型的基金评级质量检验  

Assessment on the quality of fund-rating based on the conditional value at risk model

作　　者：孟志青[1] 徐巧英[1] 蒋敏[1] 

机构地区：[1]浙江工业大学经贸管理学院,浙江杭州310023

出　　处：《浙江工业大学学报》2013年第5期567-573,共7页Journal of Zhejiang University of Technology

基　　金：国家自然科学基金资助项目(71001089)

摘　　要：伴随着基金数量的增多,投资者越来越依赖于第三方评级机构,但基金评级不一定能反映基金真实的业绩,且和后续业绩也不一定能保持一致.尝试用投资组合常用工具条件风险值(CVaR)来检验基金的评级质量,用风险指标来衡量检验基金.首先建立了质量检验的风险模型,定义了准确率和相对总误差这两个检验质量的评价指标,然后选取80只开放式基金,通过数学软件计算出所选基金的条件风险值,并按照其大小进行了排名并对其进行了五个星级的评定,最后对比四个评级公司的评级结果进行了实证分析.希望分析结果能为投资者在参考评级公司评级结果时作一个参考.With the increasing in the number of the funds, more and more investors turn to depend on the third-party rating agencies. However, the fund rating doesn＇t always reflect the real outstanding achievement of the fund, and even can＇t keep pace with the subsequent outstanding achievement. This paper tries to test the quality of the fund-rating using the CVaR Model which is usually used in portfolio. First, the risk model of measuring is established in this paper, and the accuracy rate and the relative total error are defined. Then, the 80 open-ended funds are selected and the conditional values at risk are calculated by mathematical software. They are ranked according to their sizes and rated by the five-star rating. Finally, the results are verified by the four rating agencies in the empirical analysis. The purpose of this paper is to give the investors some reference to the rating results from rating agencies.

关 键 词：基金评级 评级质量检验 条件风险值 

分 类 号：F832[经济管理—金融学]