基于流动性风险管理的基金侧袋机制及应用  

Fund Side Pocket Mechanism Based on Liquidity Risk Management and Its Application

作　　者：张爱军[1] Zhang Aijun(Business School,Shandong University of Political Science and Law,Jinan 250014,Shandong,China)

机构地区：[1]山东政法学院商学院,山东济南250014

出　　处：《金融发展研究》2021年第5期53-58,共6页Journal Of Financial Development Research

基　　金：山东省软科学项目“山东省深化科技管理体制改革与创新研究”(2019RZB01167);山东省社会科学规划项目“山东省P2P网络借贷金融风险监管与法律防控”(19CFZJ23)。

摘　　要：近年来,上市公司长期停牌以及债券违约等突发风险事件引发了相关领域对此类风险的关注。如何对缺乏流动性的风险资产进行估值管理是困扰基金公司的一大难题。为解决估值困境,2020年我国证券市场监管层引入侧袋管理机制,以规范基金公司对于流动性风险的管理。研究认为,侧袋管理能够弥补之前估值方法的缺陷,较好地解决基金风险资产流动性的问题,以保护投资者的利益。本文通过分析基金侧袋管理及其作用机制,指出该机制可以应用于长期停牌的股票、发生实质性违约的债券等风险资产的管理,探讨了基金侧袋管理的变现风险、道德风险、管理风险等潜在风险,并相应提出了风险管理的对策。In recent years,the occurrence of long-term suspensions of listed companies and unexpected risk events such as bond defaults have raised concerns about such risks in related fields.How to manage the valuation of illiquid risk assets is a major challenge for fund companies.In order to solve the valuation dilemma,the regulator of China's securities market introduced the side pocket management mechanism in 2020 to regulate fund companies'management of liquidity risk.The research shows that side pocket management can make up for the defects of previous valuation methods,better solve the liquidity problem of fund risk assets to protect the interests of investors.By analyzing fund side pocket management and its mechanism of action,this paper points out that the mechanism can be applied to the management of risky assets such as long-term suspended stocks and bonds with material defaults,discusses the potential risks of fund side-pocket management such as liquidation risk,moral hazard,and management risk.Also,some relevant countermeasures are proposed for risk management accordingly.

关 键 词：侧袋机制 基金 估值 流动性风险 

分 类 号：F830.91[经济管理—金融学]