课题研究单位财富证券有限责任公司

课题研究人员王国海吴晓佳

丁传明陈平

课题研究执笔陈平

课题研究期限2003.82003.12`

课题提交日期2004.1.10

摘要

收益与风险并存且息息相关高收益总是伴随着高风险基金管理公司同其他金融机构所面对的风险有相似也有区别作为投资于风险市场的投资者基金管理公司首先要面对来自投资组合的市场风险尽管这种风险最终是由基金收益人承担但是作为基金管理者的首要任务就是有效地管理这种风险并根据基金的投资策略将其降低到可控制的范围因此对这种风险的管理是基金风险管理的核心为了实现基金保值增值有必要设计一套完善的基金投资组合的风险管理系统以最终实现基金有效运作迄今为止国内外有关机构和专家对这个问

题已做过大量的富有成效的工作129但是还未能满足国内基金管理公司实际操作的需要为此本课题通过研究国外成熟风险管理系统针对国内证券市场的特点以最新的金融工程理论为基础以风险控制的实际需求为依托建立了一套高水平高质量的以VaR为主要风险测量指标的投资组合风险管理系统该风险度量与管理系统在对投资组合的市场风险测量的理论基础上用协方差法Delta-正态模型和历史模拟法计算基金投资组合的VaR的值并进行的事后检验和风险评估能够准确定量地分析基金投资组合的市场风险并管理和预测投资风险在基金投资组合的优化方面利用该系统提供的风险调整和评估模型通过对基金组合的具体投资品种进行分析评估剔除应淘汰组合并增持优选组合从而达到投资组合优化的目的此外还可以利用该风险管理系统对备选投资品种进行风险分析和评估从风险角度提出投资建议从而与研究部门从收益角度提出投资建议相配合共同辅助基金经理从风险收益两方面对备选品种进行综合考察和评估并进行相应的组合构建和调整从而一方面使投资决策部门能够从总体上把握基金资产的风险暴露相应调整风险资产的配置另一方面透过将风险细分至具体证券品种又能够充分了解和掌握基金资产风险的来源和分布透过风险预警体系及时提示和控制风险通过实证分析该系统可以在投资组合风险的揭示和控制方面发挥了重要的作用为金融机构和投资人提供一种行之有效的市场风险管理工具并且为基金投资决策和风险管理提供了多种风险信息较准确测量有不同的风险来源及其相互作用而产生的潜在损失这种系统能够较好适应了金融市场发展的动态性复杂性和全球整合性趋势因此在风险测量监管等领域获得广泛应用有效辅助了基金在投资决策中对市场风险的把握和控制

本课题研究第一章是引言第二章阐述了基金公司风险管理的重要性并在第三章对目前国内外优秀的基金公司的风险管理系统做了简要的介绍由于每个基金公司的风险管理系统都有各自优势和特点我们研究小组在经过深入的探讨之后结合中国国内开放式基金管理公司的特点和国外优秀基金公司的经验选取适合国内基金公司投资组合风险管理的方法并在文中的第四章作了详细的实证研究这也是本课题的重点所在文章的最后部分是对课题的小结

Abstract

Return and risk are highly correlated to each other. Higher return always accompanies by higher risk. Fund management companies face the same risk as other financial institutions. However, there are also lots of differences between them. As an investor investing in financial markets, fund management companies must managetheir portfolio’s market risk firstly. Although this type of risk is taken by the fund’s holders finally, as the fund manager, the most important job for him is to manage the market risk efficiently, and according to the fund investment strategy, to reduce the portfolio’s risk to a controllable range. Therefore, the market risk management is the core portion of fund risk management.

For the purpose of funds’ performance, it is necessary to design a suitable risk management system for the portfolio. Till now, some domestic and international institutions and experts have contributed a lot of valuable achievements in this area. However, for domestic fund management companies, it still can not satisfy some practical demand in Chinese financial markets. Hence, we use some high quality international experience for the reference; aim at the characteristics of Chinese domestic financial market to do the research. In this project, we base on the latest financial engineering theories, supported by the practical demand of risk management, to build a high standard and high quality risk management system. VaR is the main criterion of the guide line.

Our risk management system uses the Variance-covariance Matrices method (Delta-Normal distribution Model) and Historical Stimulation method to compute the VaR of the portfolio and according to its value to determine the risk. Then we testify and evaluate the performance of this system. Through this procedure, we can precisely analyze the market risk of the portfolio and manage the portfolio’s risk. For the aspect of portfolio optimization, the evaluation and readjustment models in the system can help us establish better assets allocation for the portfolio construction. In addition, the risk management system can analyze the elective financial instruments and give the suggestion from the point view of risk management. Therefore, the fund manager can combine both the return and risk characteristics to manage the portfolio. Through this integrated process, the investment decision-maker departments not only are capable of grasp the risk of their assets and make some adjustment, but also are capable of realize the source and the distribution of the risk, then set up the alarm system to notify and control risk.

After the practical research, the risk management system provides an efficient technique in risk alarm and risk control for the financial institutions and investors. Moreover, it detects the source of the risk and the potential loss of the portfolio, gives different kinds of risk information to the investment decision-maker department and risk management department. This system preferably adapts the trend of dynamics,complexity and globe conformity of the financial markets. Therefore, this system can be widely used in risk measurement and supervision to assist the risk management in investment decision process.

The first chapter is the introduction of this article. The second chapter interprets the importance of risk management for fund management companies. We briefly introduce some domestic and international excellent risk management system in the third chapter. Due to each fund management company has their own advantage and characteristic in risk management; our research group selects a suitable risk management system for domestic fund management companies according to their characteristics and some international fund management companies’ experience in risk management. The practical research is presented in the fourth chapter, and this chapter is also the key portion of our project. The last part is the conclusion of the project.下载本文