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  本文關(guān)鍵詞：基于流動性風(fēng)險調(diào)整的我國開放式基金績效評價　出處：《上海師范大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 開放式股票基金 流動性風(fēng)險 分位數(shù)S回歸 歷史模擬VaR 績效評價

【摘要】：起源于美國的次貸危機(jī)于2007年8月開始席卷全球，流動性風(fēng)險在這次金融危機(jī)中扮演了非常重要的角色，成為危機(jī)爆發(fā)和迅速蔓延的重要推手之一，近年來非�；钴S的開放式基金也受到了影響。普通投資者對于基金的認(rèn)識也在市場的大幅波動中不斷深化，風(fēng)險意識不斷增強(qiáng)，在考慮基金收益同時對于投資風(fēng)險，尤其流動性風(fēng)險也越來越關(guān)注。 傳統(tǒng)績效評價指標(biāo)雖然在業(yè)界得到廣泛地應(yīng)用，，但存在著缺陷與不足。夏普、特雷諾指數(shù)和詹森指數(shù)所依據(jù)的理論基礎(chǔ)假設(shè)條件過多，特別是有效市場假設(shè)和收益率正態(tài)分布假設(shè)與實(shí)際相差過大，使得績效評價結(jié)果的有效性受到一定影響。其次，標(biāo)準(zhǔn)差和Beta系數(shù)作為風(fēng)險描述反應(yīng)的都是全局風(fēng)險(即與均值相偏離的風(fēng)險)，這與投資者所關(guān)注的下方風(fēng)險(即帶來損失的風(fēng)險)并不一致。 風(fēng)險價值VaR作為一種絕對風(fēng)險度量方式，區(qū)別于傳統(tǒng)相對風(fēng)險的描述方式，而且不需要對收益率分布做嚴(yán)格限制，在現(xiàn)代的風(fēng)險管理領(lǐng)域受到廣泛推崇。本文針對傳統(tǒng)基金評級指標(biāo)的不足，在前人的理論研究基礎(chǔ)上把流動性風(fēng)險代入CAViaR模型得出基金風(fēng)險價值，并將其作為風(fēng)險因子引入風(fēng)險調(diào)整資本回報率(RAROC，Risk-Adjusted Return Of Capital)來評價基金業(yè)績。然后將RAR0C指標(biāo)和傳統(tǒng)基金業(yè)績評價指標(biāo)進(jìn)行Kendall r相關(guān)性分析，得出RAROC指標(biāo)與風(fēng)險描述指標(biāo)的相關(guān)性if高，可以更好地反映基金業(yè)績中的潛在風(fēng)險，而且RAROC指標(biāo)與其他指標(biāo)的相關(guān)性最低，說明RAR0C指標(biāo)并(、是傳統(tǒng)指標(biāo)的簡卑變形，對基金的業(yè)績評價有一定的參考意義。
[Abstract]:The subprime mortgage crisis which originated in the United States began to sweep the world in August 2007. Liquidity risk has played a very important role in the financial crisis and has become one of the important drivers of the outbreak and rapid spread of the crisis. In recent years, open-end funds, which are very active, have also been affected. At the same time, the investment risk, especially liquidity risk, is more and more concerned. Although the traditional performance evaluation indicators have been widely used in the industry, but there are defects and deficiencies. Sharp, Traineau index and Jensen index are based on a lot of theoretical assumptions. In particular, the efficiency market hypothesis and the normal distribution of return assumption and the actual difference is too large, so that the effectiveness of the performance evaluation results are affected to some extent. Secondly. Both the standard deviation and the Beta coefficient reflect the global risk (that is, the risk that deviates from the mean value) as a risk description, which is inconsistent with the underlying risk (that is, the risk of loss) that investors are concerned about. As a measure of absolute risk, VaR is different from the traditional description of relative risk, and there is no need to restrict the distribution of return rate. In the field of modern risk management is widely praised. In view of the shortcomings of traditional fund rating indicators, this paper puts liquidity risk into the CAViaR model to get the value of fund risk on the basis of previous theoretical research. As a risk factor, it is introduced into RRR RAROC. Risk-Adjusted Return of Capital. Then the RAR0C index and the traditional fund performance evaluation index are analyzed by Kendall r correlation analysis. It is concluded that the correlation between the RAROC index and the risk description index is high, which can better reflect the potential risk in the performance of the fund, and the correlation between the RAROC index and other indicators is the lowest. It shows that the RAR0C index is the simple and inferior deformation of the traditional index, which has certain reference significance for the performance evaluation of the fund.
【學(xué)位授予單位】：上海師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

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