Market Risk of China's Open-end Funds: An Empirical Research Based on VaR

摘要

Studies have suggested that VaR has a wide application in market risk management of open-ended funds. This paper first gives a brief introduction to the application of VaR in China, and then uses VaR to measure market risk of open-end funds on a basis of sample analysis. The paper further explores why there are more observations that net asset value per share of the sample funds fell below expected lower limits. Finally, some proposals about market risk management of open-end funds are made for fund management companies in China.