摘要
VaR(Value at Risk)--风险价值,是一种以规范的统计技术综合衡量市场风险的方法。这一国际上通行的风险计量技术开始引人我国,被广泛运用于股票、债券、商业银行等金融行业,而在开放式基金这一领域至今缺乏相关的研究。本文首先在正态分布的假设下对开放式基金的VaR值进行了计算,通过回测发现,计算结果与现实情况有较大出入。为此,将正态分布假设修正为对数正态分布假设后重新计算VaR,并在此基础上对比分析了各种类型开放式基金的风险。结果发现,股票型开放式基金的VaR值的确远远高于债券型,但股票型开放式基金中,所谓的成长型和价值型基金之间的VaR值并无实质差异。
VaR（Value at Risk）, is a method to weigh synthetically the market risk by a standard statistical technology. This international general risk measurement technology is introduced to our country and is utilized in the field of the stock, the bond, the commercial bank management, and many other financial markets. However, until now, the correlative research lacks in opened funds field. First, this paper carries on the computation under the normal distribution supposition to the VaR of opened fund, and the reverse running discovers that the computed result is inconsistent with the realistic situation greatly. Hereafter we calculate VaR again under the lognormal distribution, and then contrast each kind of opened fund＇s risk. It shows that the VaR of stock style is really larger than those of bond style, but the VaRs of both growth style and value style are not different distinctly.
出处
《华东理工大学学报（社会科学版）》
2006年第2期34-39,共6页
Journal of East China University of Science and Technology：Social Science Edition
