【作者】 干瀚羽；

【导师】 戴志敏；

【作者基本信息】 浙江大学 ， 金融学， 2003， 硕士

【摘要】 我国开放式基金自2001年9月成立以来获得了爆发性的增长，目前开放式基金总数达到31只，发行总规模达到1039.13亿元，总份额已经超过了封闭式基金，在我国证券市场占有越来越重要的地位。然而，随着规模的扩张和投资业务的发展，开放式基金面临的风险也越来越大。 开放式基金是一种收益共享、风险共担的集合投资方式。同封闭式基金相比，它没有明确的存续期限，开放式基金的投资者在正常情况下可以随时申购或者赎回基金单位，这对投资者来说具有很高的流动性和便利性。而对于基金经理来说，开放性可以有效地吸引增量资金、扩大基金规模，但也会给他们带来更大的风险和压力。近年来，国际上有关投资基金风险管理的技术日益成熟，形成了包括风险量化评估、资产配置、管理者监控等一系列首尾相连的风险管理手段和方法。而我国风险管理技术方面的研究远远落后于欧美发达国家，对开放式基金风险管理的研究更是欠缺。 为此，本文对我国开放式基金的风险管理状况进行深入的研究，力图构建一个较为完善的风险管理体系。本文采用规范分析与实证分析相结合的方法，主要解决了三个问题：开放式基金如何建立风险管理的组织构架；开放式基金如何评估所面临的市场风险、流动性风险和操作风险；如何建立一个数量化的预警指标体系。 在组织框架设计上，本文从工作流程的角度出发，勾勒出整个基金公司风险管理的组织结构，并依据风险管理的业务流程，界定了基金公司风险管理各级部门的职责和权利，明确了风险管理报告的传递路线；在风险评估体系上，本文对开放式基金所面临的市场风险、流动性风险和操作风险的评估方法和管理技术进行了实证分析和详细探讨，构建了有实际可行性的评估管理体系；在预警指标设计方面，文章从公司和基金两个层次设计了各种风险预警指标，同时运用数量化处理方法，建立起明确的风险预警与监控体系，并对此进行了模拟运算。 本文的创新之处主要有四个方面，一是设计了针对开放式基金的风险管理的组织框架，细分了风险管理的职责与流程；二是运用最新数据对我国开放式基金的市场风险、流动性风险管理情况进行实证分析；三是对基金日收益率分布的正态性进行检验，结果显示正态分布不成立，说明目前阶段的开放式基金每日净值的VaR值计算不能使用方差—协方差法；四是设计了开放式基金风险管理的预警指标体系，针对开放式基金面临的风险情况，提出了三个级别的有效预警指标，并进行了模拟评估。 总之，本文完成了对开放式基金风险管理系统的构建，设计出适用于国内开放式基金的风险评估、管理和预警系统，满足了开放式基金快速发展和强化风险管理的需要，丰富了我国开放式基金风险管理的相关文献，具有较强的时效性和现实意义。更多还原

【Abstract】 Open-end funds of our country get a boost since the first one was founded in September,2001. Till now, the amount of Open-end funds is 31, total scale issued exceeds 1039.13yuan. Open-end funds get a more and more important status in Chinese security market as the amount of its total units is bigger than close-end funds’. But open-end funds face bigger and bigger risk with its expanding scale.Open-end fund is an investment mode which needs investors to undertake risk and get return together. It has no clear existed period when compared with close-end fund. The investors who invest open-end funds can buy or redeem them at any time , which seems great convenient and fluid. To fund managers, fluidity can absorb capital and enlarge the scale of funds. But it also brings bigger risk and press to these managers. Risk management technology of open-end funds which includes a series technologies and ways such as quantitative assessment of risk ^ asset allocation and manager over-sighting has become more and more advanced in these years. Research about risk management technology of our country is far behind developed countries. And research about risk management of open-end funds is more insufficient.This paper researches on the status of risk management of open-end funds deeply in order to design an integrated system of risk management. The paper adopts analysis methods which combined criterion analysis with demonstration analysis. And it concludes three problems : how do open-end funds found an organization frame of risk management; how to assessment the market risk, fluidity risk and operation risk which open-end funds face; how to found a quantitative early-warning system of risk indexes.hi designing organization frame, the paper founds an organization framework of risk management of fund corporations . Then we define the responsibility and right of every level of risk management department and point out the course of risk management reports ; The paper makes a deeply analysis and research of assessment ways and management technology of market risk> fluidity risk and operation risk which open-end funds face. And then we get a risk assessment and management system which is practical ; In designing risk alarm indexes, the paper designs kinds of risk alarm indexes from the aspects of the whole corporation and a single fund. At the same time, we use quantitative methods to found a risk early-warning and watch system.There are four innovative points in this article. First, we design an organization frame to risk management and crave up the responsibility and flow of risk management. Second, the paper makes a demonstration analysis to risk market and fluidity risk of open-end funds of our country with the latest data. Third, we make a normal test to net value of open-end funds of our country, the result shows that normal distributing doesn’t exist. It explains that we can’t use variance-covariance way method to calculate the VaR of daily net value of open-end funds of our country in this moment. Finally, the paper designs the early-warning indexes system of open-end funds. We bring forward early-warning indexes of three levels according to the actual status of risk management.In conclusion, the paper founds a risk management system for open-end funds which includes risk assessment risk management and risk early-warning. It suits the needs of open-end funds to make progress and strengthen risk management. The paper is in time and full of practical meaning.更多还原