【作者】 罗后平；

【导师】 刘保珺；

【作者基本信息】 天津财经学院 ， 统计学， 2004， 硕士

【摘要】 随着我国资本市场与国际接轨步伐的不断加快，开放式基金已成为我国基金业的必然选择。开放式基金作为我国金融领域的创新之一，已经显示出强大的生命力，并越来越呈现出加速发展的态势。开放式基金作为一种新的金融工具，与封闭式基金相比，真可谓优点多多，然而开放式基金也为基金管理人带来了新的难题，那就是除了进行资产组合的风险收益管理之外，开放式基金还必须进行流动性风险管理。开放式基金在申购和赎回机制上的特征，为持有者提供了更为便利的进入与退出机制，从而流动性强的问题成为开放式基金经营管理和健康发展的关键。国外的经验表明，巨额赎回行为是导致流动性风险的直接原因，而经营风险、市场风险、操作风险等，也都会通过流动性风险的积聚而爆发，因此，流动性风险已成为开放式基金运作中所有风险的集中表现，是基金管理者所面临的首要问题。本文即对该问题进行粗浅的探讨与研究。本文从基金管理人的角度，运用定性与定量相结合的方法，从制度和技术两个角度分别对开放式基金的流动性风险管理加以论述。文章分为四个部分，第一部分是概述，该部分简单阐述了开放式基金和流动性风险的涵义和特征，并提出开放式基金流动性风险管理的目标与计划。第二部分是开放式基金流动性风险分析。该部分主要分析了流动性风险的形成机理，并结合国情阐述了我国开放式基金流动性风险的特殊性。第三部分是对我国开放式基金流动性风险的实证分析。首先通过对VaR的简单介绍，运用VaR的思想构建了流动性调整的VaR模型，进而对我国开放式基金的流动性风险进行了测度与实证，最后还对我国开放式基金流动性风险进行了比较分析。第四部分是对我国开放式基金流动性风险的防范与管理。该部分通过对我国开放式基金产生及发展的制度性分析，从宏观和微观两个层面展开，对流动性风险规避的外在机制设计和内部防范管理作一些分析和探讨，从而提出相应的建议和对策。更多还原

【Abstract】 With the deepening reform of China’s Capital Market, open-end fund has become the inevitable choice of the fund industry of our country. As one of the most striking financial innovations of China, open-end fund demonstrated its outstanding survival ability and is developing faster and faster. Compared with close-end fund, open-end fund has many advantages as a new financial tool. However, it also brings the fund manager another new problem. Not only does it just concern about risk and return issue of portfolio management, but also it must manage the problem of portfolio on liquidity purpose, that is liquidity risk management.Since open-end fund has specific characteristics on the application mechanism of purchase and redemption, and it provides more convenient mechanism of entry and withdrawal. Strong liquidity is the key to management and developing healthy during the daily operation of open-end fund. Abroad experiences make clear that gigantic redemption is the direct reason of liquidity risk, and such as management risk, market risk and operation risk can break out through the accumulation of liquidity risk. So the liquidity risk has become the all kinds of risk’s concentration performance of open-end fund. And it is the principal problem confronted with fund manager. This paper tries to systematically study and discuss based on these respects. <WP=5>In fund manager’s view, this paper combines together qualitative with quantitative analysis method, and tries to expound the risk management in fund entities from the aspects of system and technique. The paper consists of four parts. The first part is summarized that briefly started with the definitions and characteristics of open-end fund and liquidity risk, and introduced the target and plan. The second part is the analysis of liquidity risk of open-end fund. In this part author analyzes the formation reason of open-end fund’s liquidity risk then analyses the particularities of open-end fund’s liquidity risk link with the situation of our country. The third part is the positive analysis of open-end fund’s liquidity risk of China. In this part author briefly introduces VaR, then attempts to use the thought of VaR to design Liquidity-adjusted VaR, and measures the liquidity risk of open-end fund, and at last comparatively analyzes the liquidity risk of China. The fourth part is prevention and management the liquidity risk of open-end fund. In this part through the analysis of the producing and developing of China’s open-end fund the studies and discussions of exterior mechanism design and interior management of risk elusion are introduced from macro and micro views, then author brings forward the corresponding advice and countermeasure.更多还原