【作者】 贾县民；

【导师】 余国新；

【作者基本信息】 新疆农业大学 ， 农业经济管理， 2004， 硕士

【摘要】 金融市场风险是证券投资基金面临的最大风险，加强市场风险的管理日益成为投资基金的核心竞争力。风险价值（Value-at-Risk）是近年来发展起来的用于测量和控制金融风险的量化模型，是一种利用统计思想对金融风险进行估值的方法。相对于传统的风险管理工具，VaR方法具有无可比拟的优点：它可以把各种金融工具、资产组合以及金融机构总体的市场风险具体化为一个简单的数值，使管理者能十分清楚地了解他所持有的资产在某段时间所面临的最大风险。研究VaR模型在我国投资基金风险管理中的应用具有重要的现实意义。本论文首先立足于我国证券市场实际，指出我国投资基金风险管理的现状与不足；然后系统介绍了VaR方法的思想实质、技术中存在的难点以及它的几种传统计算方法。通过运用改进后的Risk Metrics模型对我国证券投资基金单位资产净值的风险测量、基金投资组合的风险测量进行了实证分析，研究表明，VaR对于测算、控制基金及其投资组合的市场风险是积极有效的。论文探讨了VaR模型在我国证券投资基金市场风险测量、风险控制、风险预算和资金配置、信息披露和绩效评估等方面的全面应用。基于以上理论和实证分析，论文最后尝试构建了我国证券投资基金的VaR风险管理支持系统。更多还原

【Abstract】 The greatest risk is faced to securities investment funds is financial market risk. Value-at-Risk model developed recently is a mathematical model to measure and monitor market risk, and is a method that measure financial risk with statistical principle. Comparing with the traditional risk management technique, Value at Risk has inconvenience merits: It can show a simple numbers that indicate different financial assets, portfolios and financial institute’s all risks, which makes manager comprehend his assets’ greatest risk in a time. Studying on the VaR’ application in risk management of investment funds is realistic.Based on truth of securities business, this paper above all points out the weakness and problems in risk management of securities funds at present, and introduces the essence of VaR, difficult of technique, advantages and weaknesses of its three basic calculation methods and application. Through taking advantage of improved J.P.Morgan’s Risk Metrics model, this article makes a case analysis on the measurement of the net value and portfolio. The study shows VaR method is effective actively and feasible to forecasting, controlling and supervising market of funds and its portfolio. The thesis studies the application on VaR model in the measurement of market, control of market, market budgeting and funds match, disclosing information and Performance evaluation, etc. On the grounds of theory and empirical analysis, at last, the paper tries to establish a support system of VaR risk management, which is used by securities funds.更多还原