An empirical study on market risk management of open-end fund
1 Introduction
1.1 Research area and background
Open-end fund is an investment mode which needs investors to undertake risk and get return together, and it is the important part of Variety innovation for funds and important development orientation for funds of many countries. With the development of economy of every country in the world and change of economy circumstance of the global many Financial institutions, non-financial institutions and 英國dissertation網(wǎng)investors are exposed to the increasing risk(Susan 2004). Especially in our country securities market is immature and the circumstance of the capital market is complex and special comparatively, so open-end fund in our country is exposed to more and more risk factors. In the point of origin of risks, there are three categories of risks: market risk, liquidity risk and operation risk, but in fact market risk arid liquidity risks are two of the main aspects. Under China investing condition market risk is the main risk that open-end fund of our country is exposed to(The Wall Street Transcript 2005).
At Present, the risk analysis and management level of China's open-end fund is still relatively low, compared with overseas a mature stock market, China's open-end funds investment environment has its particularity. From hard environmental perspective, open-end fund required capital market has sufficient breadth, depth and level, but from the current situation of China's capital market, there are still a gap. Concrete manifestations are: first, the total market value of China's securities market is very close to GDP, 50%, far below the market value of negotiable securities market, the size of Europe and the United States and other developed countries; second, the market for trading of financial species is too little; Third, the domestic stock market investors, although many, but the proportion of institutional investors is too low; Fourth, China's bond market and money market development is immature, and with the stock market segmentation. From the soft environment, perspective, open-end fund is characterized by scattered large amount of investment transactions, but due to the lack of stock market trading and program trading system, the bulk of China's make the fund transaction costs high and limit the trading liquidity of its own species; In addition, the stock market accounted for a greater proportion of systemic risk, and this statement is now decentralized the role of investment which risk aversion is small, but it can hedge the systemic risk of short selling and stock index futures, options and other financial derivative instruments do not exist in our country.such a complex and the special circumstances of China's capital market decide the open-end fund in China face a number of risk factors, among which are crowded redemption risk, volatility risk, systemic risk, non-systematic risk and operational risks. From the sources of division, it can be reduced to three: market risk, liquidity risk and operational risk. Market risk and liquidity risk are two most important risks of an open-end fund. For #p#分頁標(biāo)題#e#http://www.400190.com/dissertation_writing/Finance/now China's investment environment, market risk is China's biggest open-end fund risk. From a certain perspective, open-end fund market risk is a manifestation of liquidity risk, and its existence is ultimately due to market risk. So far, the open-end fund in China has been running for a few years time, which risks inherent in its properties has become a major impediment to China's booming, how to effectively identify risk ,measure risk, and make decision and implement of open-ended investment funds is an important subject for risk monitoring as regulators, fund management companies and investors. In China, the open-end fund is not a long history of the development and it is at a stage of rapid development, the future open-end funds which invest in a wider range of species penetrate into people's lives play an increasingly important role. In our country's economic life, however, management of the Fund and matching system is flawed and immature, so open-end fund's risk management both for investors, fund operating institutions are essential(Sriwipa 2006).
Risk management is defined as a series of management actions taken with a change in financial institutions, including the kinds of risk faced by financial institutions to identify, assess the impact of these risks on the body to what extent; to decide which risks to be avoided, how to avoid the subject; on how to prevent risks, issues such as how to control after the election. As long as the presence of market, there is uncertainty, financial institutions have to face the risks. The basis of risk management and the core is a quantitative risk analysis and assessment, that is, in the narrow sense risk management refers to the risk measure. In recent years, international investment funds on risk analysis and risk management techniques become more sophisticated form, including asset allocation, asset manager selection and monitoring of a series of end to end connected to risk analysis and risk management tools and methods. For example, VAR models, GARCH models, Cointegration Theory, etc., are the 20th century, 90 years before the study developed the theory of financial risks(Power 2009).
In the long-term market development, international financial institutions continue to improve the risk management system, risk management theory continue to develop. At the same time, with the development of the domestic securities market, including securities companies, investment funds, trust companies, including institutional investors, faced with the policy environment and market environment are undergoing significant changes, the risks are also increased accordingly. But the domestic theoretical research on risk management and risk management system of the building are in the relatively backward state, and there is considerable gap. With the stock market to strengthen and standardize the construction of the acceleration of the pace of internationalization of domestic institutional investors and international financial institutions to compete on the same platform, risk management, the importance and urgency is growing(Greatrex 2009). Thus, both in theory and practical application, we need to make active efforts in risk management to explore. Despite the advanced risk management methods and experience is worth studying and drawing, but we should first start with the #p#分頁標(biāo)題#e#英國留學(xué)生金融學(xué)dissertation范文actual situation of our country, analyze what we have there are still gaps in our open-end fund which the risk characteristics, risk management what problems still exist in the process, investment strategy and objectives should be how to identify, in the measure of market risk measurement tool which should be selected, etc., these are also the significance of this research(Wang and Hsu 2009).
1.2 Research objectives
This thesis is focused on empirical study of market risk management of China’s rapidly open-end fund. It starts with the basic theories on risk management and open-end fund, introduces the risk our country's open-end fund is exposed to and actuality of risk management, and then the popular methods of risk measurement, for instance, GARCH model, VaR model, etc. Basing on the theory of VaR it applies GARCH-VaR model and the skewness & kurtorsis method to the market risk management of China's open-end fund. Meantime for empirical study, the thesis also makes co-integration analysis on relationship between open-end fund and stock market.
2 Literature Review
1.1 Introduction
In other countries, on the Securities Investment Fund's risk management researches has been quite a long time, in theory and practice are more mature, and based on financial engineering and modern financial theory, financial risk management research has become a hot issue. Because, securities investment funds in the financial well-developed countries has been running for a long time, a relatively sound laws and regulations are generally in a strictly regulated under the supervision of securities investment funds formed a set of standardized business processes, improve the corporate governance structure. Therefore, his research focused on the risk of the portfolio risk and return relationship, pricing of risky assets, market effectiveness and quantitative measurement of the level of risk research.
1.2 The definition of open-end funds
Open-end fund is an investment vehicles of revenue-sharing, risk-sharing pooled. Closed-end fund with an investment fund is composed of two kinds of works. Funds from the rest of the world development trends, open-end fund has become the world's most popular and acceptable to the majority of investors in the fund mainstream forms. This is mainly because, compared with the closed-end funds, open-end fund has a better investment advantages. Closed-end fund is to establish the total issued share of a certain time, within a specified number of years to the fund management companies and investors, which can not purchase or redemption of the investment funds. In contrast, open-end fund trading to give investors more freedom when setting up the fund and the total amount of shares issued is no clear limit, fund managers can operate under the Fund's situation and market demand to decide whether to increase or decrease in fund units the same time, investors can always buy or redeem fund units. as a relatively new financial products, open-end funds has excellent features to make it more attractive to investors.#p#分頁標(biāo)題#e#
1.3 risk management of open-end funds
Aside from the structural differences in an ETF compared to an actively managed open-end fund, the question "to ETF or not to ETF" boils down to a key philosophical issue. ETFs are designed to mimic the performance of a specific market benchmark. If an advisor opts to construct a diversified portfolio of ETFs for clients, it is likely that he or she is voting against active management. In year one, the ETF portfolio would cost 63 basis points compared to the 105 basis points for the actively managed fund portfolio. This means that from the start, the portfolio of actively managed funds would have to achieve at least 42 basis points of returns over the ETF portfolio for the incremental cost of the active portfolio to be worth it. And on an ongoing basis, the active portfolio would have to achieve 55 basis points of extra return to break even. That said, the question of whether to use an ETF or not to use an ETF is still a difficult one. Advisors who believe their active managers-as per the aforementioned example of a moderate growth portfolio-can produce portfolio returns exceeding up to 71 basis points per year may still find the active portfolios a good value. But in practice, particularly with larger diversified portfolios holding substantial bond positions, this view requires a large philosophical leap of faith, as the cost differences represent a great hurdle for the actively managed portfolio. Still, for the active-management faithful, it might be comforting to know that equity-oriented portfolios may still give ETF portfolios a run for the money(Art 2007). Investors seeking broad diversification at low cost are taking a closer look at ETFs. So, too, are their advisors, who are finding that exchange-traded funds can be a great addition to fee-based accounts. Why have brokers, who did not warm to ETFs at first, changed their thinking? For one thing, ETFs are free of the late- trading and market-timing problems that have beset some traditional open-end funds. Because they are exchange-listed and traded, ETFs can be bought and sold throughout the day, are marginable and can be sold short. Those attributes, in a transactional world, have their plusses and minuses. For commission-based brokers, ETFs are less remunerative than conventional funds, yet too costly for clients when used as part of a trading program. [Jim Pupillo] says ETFs can give clients exposure to an asset class they wouldn't ordinarily get if their account fell below certain minimums. He calls the use of ETFs for that purpose "portfolio completion." But he uses ETFs even more for active risk management. "But before using an ETF," he warns, "it's important to look closely at the breakdown in each sector. That's why I'm hesitant to use them for smaller accounts. You may be giving someone a lot of concentration in one sector or stock, without even knowing it. For example, I've found that various biotech and energy index funds have nearly half their investments in one or two stocks. The utility ETFs seem to be more evenly distributed; one I use often is Utilities Holders Trust. While it holds only 20 names, no single holding accounts for more than 11 percent of the ETF."(Susan 2004). Kevin L. Cronk is a Senior Vice President and Portfolio #p#分頁標(biāo)題#e#英國dissertation網(wǎng)Manager at Columbia Management Group and co-manages the high yield group in Boston. Thomas A. LaPointe is Senior Vice President and Portfolio Manager at Columbia Management Group and co-manages the high yield group in Boston. In an interview they discusses various aspects of the business. According to Cronk, Columbia Management Group is Bank of America's asset management division. Columbia has over $330 billion in assets under management, of which nearly $50 billion is in fixed income products. The Boston high yield team, which Cronk and LaPointe oversee, has $3.5 billion in assets. These assets are comprised of mutual funds as well as institutional accounts. Their flagship high yield fund is the Columbia High Yield Opportunity Fund. Founded in 1971, it is one of the oldest high yield mutual funds in the industry. It is an open- end fund with assets of about $500 million(The Wall Street Transcript 2005). Closed-end fund audit committees have been hit with more regulatory requirements now that the New York Stock Exchange has come out with its final governance rules for listed companies. Additional risk management responsibilities and specific self-evaluation processes have been added. The rules are likely to affect open-end funds as well, attorneys said. The Investment Company Institute has recommended that open-end funds adopt listing rules for closed-end funds as a matter of best practice, attorneys noted(2003). SF and provides Equity Investment Portfolios on a separate accounts basis under the Stifel Core Portfolios Program as well as investment strategies for customized Investment Products like Equity-Linked Notes, Open-end funds, Equity Certificates, UITs etc.\n(Anonymous 2009). Mutual Fund PCL received approval from the Securities and Exchange Commission to convert its closed-end mutual funds to open-ended funds, the company said. The big fear among mutual-fund companies is that foreign investors, who make up some 75% of mutual-fund investors, will shy away from reinvesting their money in the Thai bourse. The Stock Exchange of Thailand index has underperformed even that of war-torn Sri Lanka, and is 26% lower than 1995's year-end close of 1280.81 points. MFC itself has seven closed-end funds due to expire next year: Adksinson Growth Fund; United Fund; Sinpinyo 4 Fund; Sinpattana Fund; Wall Street Thaimex Fund; Sinchada Fund; and Sinpinyo 5 Fund(1996). There can be no doubt that all regulators are placing increased emphasis on risk management. The regulators clearly want to see a committee of the board tasked with overseeing the risk management function. Whether the board committee is called a risk committee or not, the key is that it must consider the firm's risks and, with the full board, set the firm's risk appetite. Just how effective this board oversight is or can be depends on the sophistication of the board members, not only in their sector of expertise but also in the wisdom they bring to the oversight function. For the author, there is a connection between risk and consumer protection. If a new regulator for consumer protection is created, there will be a risk of a regulatory disconnect between the two issues. Financial institutions should guard against a similar disconnect between risk and consumer protection within their organizations(Ludwig 2009). A relentless drive for efficiency and a proactive approach to risk are among the keys to improving a credit union's net worth. That's the advice of two experts who discussed the subject at CUNA's America's Credit Union Conference & Expo. At the same session, Dan Leclerc, the CFO of Lacamas Community Credit Union in Washington State, said executives should focus on five kinds of risks: interest rate, liquidity, credit, operational and regulatory(Marx 2009). In January 2003, five regional healthcare systems -- Unity Health System, Rochester, NY; Moses Cone Health System, Greensboro, NC; Health First, Inc, Rockledge, FL; Tallahassee Memorial HealthCare, Tallahassee, FL; and Touro Infirmary, New Orleans -- formed Health Care Casualty Insurance Ltd (HCCI), a group-owned professional liability insurance company. HCCI reflects an interesting and effective risk management model, with each owner taking a big risk in linking its potential liability exposure to that of other organizations. One of the strengths of HCCI's event reporting and data management tool is its ability to quickly inform the right people about priority safety initiatives in a hospital at the right time. HCCI's systemwide event reporting and data management tool also supports a clear commitment to enhancing quality through customized reporting tools that enable organizations to access and analyze information to spot trends and patterns that could lead to adverse events. There are four key components to the success of HCCI, a captive insurance company formed by five healthcare systems: Common and aligned goals. A commitment to ongoing education. Open and honest dialogue among member-owners. Easy-to-use technology to support information flow and decision making(McCormick and Hern 2009). All banks on some level are raising their emphasis and awareness of risk management," said W. Kendall Chalk, the interim chief executive of the Risk Management Association and former chief risk officer of BB&T Corp. "Clearly there is a higher degree of emphasis on the practice than there was just two years ago. Ed Grau, a senior executive and financial services risk expert at Accenture Ltd., said severe reputational risk is linked to liquidity(Paul 2009).#p#分頁標(biāo)題#e#
1.4 Risk Management Theory and Development
The development of risk management theory and practice of the international community includes two aspects: First, financial risk management theory and techniques obtain a major development; two financial institutions, risk management has undergone a marked improvement. These developments make the international financial institutions risk management capability has been greatly improved, in the ever-changing international market, which is able to calmly deal with. Risk management techniques and methods of development have been largely based on the theory of risk management foundation. In recent decades, risk management theory continues to increase in the whole financial theory position. Merton. Miller ,who Won the 1997 Nobel Prize in Economics ,believes that the three pillars of modern financial theory is the time value of money, asset pricing and risk management, risk management can be seen in modern financial theory plays a pivotal role. Markowitz's portfolio theory, William. Sharp's capital asset pricing model and Black-Scholes model for the three received the Nobel Prize in Economics for the modern financial theory of financial risk management has laid a solid theoretical basis. In addition, a large number of mathematics, statistics, engineering, and even physics theories and methods have been applied to asset pricing and risk management research, has greatly enriched the theory of modern financial risk management, research content, the promotion of risk management theory in depth both breadth and continue to develop. Practical point of view, the 20th century, 80 years ago, the risks faced by financial institutions, mainly credit risk. In 1988 the Basel Committee on Banking Supervision of the proposed control measures the risks of banks is mainly devoted to bank's credit risk and design. However, nearly 20 years significant changes have taken place in the financial markets, the globalization of securities markets, asset securitization, foreign exchange and financial derivatives markets have gained tremendous development, the importance of market risk is higher than ever before. Conform to this trend on the current international risk management has been entered a new stage. After continuous efforts and exploration, financial risk management technology continues to develop, has been up to take the initiative to identify, early warning, measure and control risk levels. The study is currently focused on risk management techniques have been amendments, additions and improvements as well as the risk measurement methods and gradually extended to other than market risk (including credit risk, liquidity risk, settlement risk and operational risk), and other risk areas. Despite the financial risks and financial products is diverse, but its risk management process is the same, including risk identification, measurement, evaluation and preparedness. Risk identification is the basis of risk management, which requires right environment in which the potential risks that have occurred, or the properties, type and description to be judged; risk measure is based on the identification, using probability theory, mathematical statistics and econometrics quantitative analysis of a variety of ways and means of qualitative analysis of the combination of a large number of historical data and related information to do processing, to predict the risk of visual estimates of relevant content; risk assessment refers to the risk control subjects according to a certain degree of risk the safety standards, and with the main objective of risk management to determine whether the need for risk management and treatment; risk prevention is based on historical status, the establishment of a certain model to simulate possible future risks, and thus the establishment of appropriate countermeasures to reduce risks that may bring years of losses, and actively derive some benefits.#p#分頁標(biāo)題#e#
Public companies may soon have to disclose more information about their board's risk management role and how compensation practices affect the company's overall risk profile, potentially broadening the role of risk managers. Under a proposed Securities and Exchange Commission (SEC) rule, in proxy statements and other communications to investors, corporations would have to disclose the board's role in overseeing measures to manage company risks that include operational, credit and liquidity exposures. The SEC plan is among various regulatory and legislative mandates expected to emerge as governmental entities look to shape corporate governance and risk management practices in hopes of preventing recurrence of the credit problems and other issues that led to the financial crisis, several observers agree(Ceniceros 2009). We consider a new time-series model that describes long memory and asymmetries simultaneously under the dynamic conditional correlation specification, and that can be used to assess an extensive evaluation of out-of-sample hedging performances using aluminum and fuel oil futures markets traded on the Shanghai Futures Exchange. Upon fitting it to the spot and futures returns of aluminum and fuel oil markets, it is found that a parsimonious version of the model captures the salient features of the data rather well. The empirical results suggest that separating the effects of positive and negative basis on the market volatility, and the correlation between two markets as well as jointly incorporating the long memory effect of the basis on market returns not only provides better descriptions of the dynamic behaviors of commodity prices, but also plays a statistically significant role in determining dynamic hedging strategies(Chung 2009). In a free white paper promulgated in May, Bruce McCuaig, chief risk officer at Paisley Consulting in the USA, outlined seven key questions managers need to ask about enterprise risk management. These questions are: 1. Is your process really assessing risk? 2. Is your risk assessment context-driven? 3. Does your process address root cause of failure? 4. What does your business performance tell you about risk? 5. What do risks tell you about your controls? 6. What do controls tell you about your risks? 7. Are you up for the task?(Cotton 2009). Risk management is now present in many economic sectors. However, none of existing studies consider risk management as a potential determinant of firm performance. In this paper, we investigate the role of risk management and financial intermediation in creating value for financial institutions by analyzing U.S. property-liability insurers. Our main goal is to test how risk management and financial intermediation activities create value for insurers by enhancing economic efficiency through cost reductions. We consider these two activities as intermediate outputs and estimate their shadow prices. Insurer cost efficiency is measured using an econometric cost function. The econometric results show that both activities significantly increase the efficiency of the property-liability insurance industry(Cummins, Dionne et al. 2009). A contractor's workers' compensation insurance may also be looked to, [Greg Stefan] suggested, in instances where a hauler who is killed is a sole proprietor without coverage. The contractor's workers' compensation policy may be required to cover the claim. The surviving spouse may also sue the contractor for failing to maintain a safe workplace, and the contractor's general liability insurance will need to respond to the claim(Dillenberger 2009). Heather say that the best charters would clearly define a board's risk management duties, articulate the board's appetite for risk and its tolerance for risk-related losses, set guidelines for discussions of risk between board members and senior executives and specify procedures for monitoring risk. though board charters rarely attract much attention outside of proxy season - and even then their potency as headline grabbers is suspect - the Deloitte report says a well-defined charter is important for specifying a board's risk management roles; creating a sense of accountability; and communicating the commitment to risk management to regulators, investors and the general public(Heather 2009). The VPIC makes investment decisions for the Vermont State Employees', State Teachers' and Municipal Employees' systems, in addition to a Vermont municipal portfolio. It oversees roughly $2.2 billion in assets(Jakema 2009). Recruiters say obtaining financial risk manager or professional risk manager certifications is an option for those looking for broad risk management knowledge, while the credit risk certification is an option for professionals with backgrounds in credit and lending(Jennifer Saranow 2009). Firms attempting to prepare and strengthen their risk management systems in this rapidly changing regulatory landscape are finding it's a bit like trying to hit a moving target. Flexibility will be the key to adapting to a new financial regulatory authority and new risk oversight rules that have yet to be formally established. We are seeing regulatory updates almost day to day, said Elizabeth Krentzman, a principal at Deloitte & Touche. To prepare for the unknown, firms like Deloitte are trying to stay abreast of all the proposals floating around. The Obama Administration's new proposal, A New Foundation: Rebuilding Financial Supervision and Regulation, calls for the Federal Reserve to serve as a systemic risk regulator, supported by the creation of a new Financial Services Oversight Council, as well as the creation of a new Consumer Financial Protection Agency. There are growing concerns among industry leaders that making the publicity-shy Federal Reserve serve as the systemic risk regulator would give too much power to the Fed and fall short of providing the regulatory transparency such a move requires(John 2009). A formidable risk management challenge facing many institutions today is how to effectively leverage and comply with the Internal Capital Adequacy Assessment Process (ICAAP), a core component of the Basel II Accord, US Treasury Secretary Timothy Geithner's recent call for new stress tests for some of the nation's largest banks has added new uncertainty while ratcheting up the focus on identifying and quantifying risk to a new level. To ensure compliance with ICAAP and leverage it as an effective tool for managing risk, stress testing must move center stage and undergo a complete transformation. The bottom line moving forward is that stress testing must be holistic and directly integrated with the bank's capital planning and management functions(Ramakrishnan 2009). IT'S ALL WELL and good that everyone seems to understand that investing has become an essential activity in life. By investing, we mean an `accumulation of some form of wealth today, with a deferred focus of profiting in some future time; the use of one's assets to earn income or profit.' But how often do we ponder on considering the relevance of financial risk management, even if it is on a personal level? While we do know that with investments come risks, many often prefer to leave risk management to the `professionals'. Let me bring us back to a simple principle - `my money, my responsibility'. The very fundamental definition of risk is, `the possibility that you might lose something'. Here in investing, we are dealing with money and the possibility that you might lose your money. The higher the probability to make bigger profits, the bigger the prospect of losses will continue to loom above. So, it is extremely important to carefully think about your risk tolerance when investing or developing an investing strategy. Academic and professional financial planning literature recognizes two risk-related constructs - `Risk Capacity', which is a financial attribute, and `Risk Tolerance', which is more an emotional and psychological attribute of your circumstances. Both of these elements have important, but distinct, roles to play in your investment decisions(Robbin 2009). Consider, for example, the independent con- tractor-outfitter you use for white water rafting, the indoor climbing gym, or any other activity you outsource to an independent contractor. What are the risks to your business if these business owners reduce the limit of liability insurance they carry or have key insurance policies terminated because they were late paying their premiums?(Schirick 2009). More elaborate REMS programs require a communication plan for conveying safety information to prescribers, pharmacists, and patients through "Dear Doctor" letters and notices to medical societies, state licensing boards, and medical journals. Drugs with notable safety concerns also have to establish "Elements to Assure Safe Use," which can include special training or certification of healthcare providers and pharmacists; limited distribution programs that dispense only to patients who meet certain criteria; patient monitoring to identify adverse reactions; and enrollment of patients in registries for long-term oversight(Wechsler 2009). The abuse and misuse of opioid painkillers is out of control, and the US Food and Drug Administration (FDA) wants to defuse this serious public-health crisis. Previous risk-mitigation programs have failed to halt the inappropriate use of these drugs, prompting FDA to put more teeth into oversight through the Risk Evaluation and Mitigation Strategies (REMS) program established by the FDA Amendments Act of 2007. The proposal covers 24 brand and generic opioid products including fentanyl patches and oral drugs formulated with oxycodone, hydromorphone, methadone, morphine, and oxymorphone. An Industry Working Group of 25 companies is hashing out the details of a class REMS program. The class REMS is unique in that it requires brand and generic manufacturers to jointly devise a single, shared system to monitor safety and the risks of dozens of products. Once FDA issues a REMS proposal for opioid drugs it will be up to each manufacturer to file and carry out an implementation plan(Wechsler 2009).#p#分頁標(biāo)題#e#
1.5 Financial Market Risk Measurement
An innovative approach is taken to study how the objective and subjective natures of human decision making can affect security prices. This approach differs from the traditional equilibrium analysis in the way that the influence of human subjectivity on stock price behavior is examined from a macroscopic perspective which involves no explicit assumptions on individuals' behavior or information structure. Two salient features distinguish our model from other existing models of stock prices: the nonlinear structure and the incorporation of trading volume. This model can explain a number of stylized facts of stock prices which no previous models can jointly account for. Results of empirical estimation using daily returns and turnovers of the NYSE composite index and the NASDAQ composite index are also satisfactory. Based on our more precise characterization of the stock price process, we develop an option pricing model which is more robust in showing various pricing biases of the Black-Scholes model. From the results of both Monte Carlo simulation and verification using actual prices, we find that the Black-Scholes model works well when the influence of human subjectivity on stock prices is weak, but exhibits significant biases when the influence is strong. Whereas our model performs satisfactorily in general and gives more accurate values than the Black-Scholes formula. We also argue that the trading volume in our model can be considered to play the same role as the variance rate in the stochastic volatility model. Since trading volume is observable while the variance rate is not, our model encounters no empirical difficulty suffered by the stochastic volatility model, and is more insightful in capturing the volatility smile. Given a more precise characterization of both the stock price and the option price, the formation of stock prices and the causes of stock volatility can be better understood, which is helpful to risk management and volatility forecasting. More importantly, this model provides a quantitative framework for systematic analysis of the relations between trading volume and stock returns. From a fundamental point of view, this macroscopic approach makes an important first step towards establishing an alternative methodology in financial economics(Cheung 1997). Tarek describe the application of the Islamic financing method based on direct musharakah to the conventional capital asset pricing model yielding several interesting hypotheses. Theoretical methodology, with maximin criteria, and rational economic optimization. There are four major findings. First, an Islamic financing partnership based on complementary capital is proven to necessarily yield a lower beta-risk of investments than that compared to the market. Second, in order for the above conclusion to hold, capital lenders (such as banks) must abide by a maximum partnership share inversely proportional to project risk and increasing with opportunity cost of capital. Third, the sum of lender's share and relative risk level balances to unity at equilibrium. Hence, tradeoffs exist in risk-shares and not in risk-returns. Fourth, without accounting for inflation, and in contrast to predetermined fixed interest, a maximin strategy of financing partnerships (maximum return with minimum risk) imply an existence of an optimum zero risk-free rate. Tarek 's findings are limited to a Direct Musharakah Partnership. A comparison between Islamic risks and returns to conventional risk management is deduced. Several implications on the conduct of Islamic financing are discussed(Tarek 2008). The end result of the analysis showed that PGW's distribution system, particularly the cast iron network, performed at or better than its peers. Two key statistical parameters, breaks per mile and PGW's cast iron replacement rate, were in line with industry standards. The study also affirmed PGW's focus on preventing cast iron breaks, since its peers agreed that these mains pose the highest risk to distribution systems(Jones, Meyers et al. 2009). The first decade of the 21st century is not over yet, but already the noughty years will be dubbed 'the naughty years'. Risk Management experts will probably describe these as the 'tolerate' years, when significant risks were tolerated rather than treated. Despite the warning signs of the Enron, Andersen and Tyco scandals, the dot com bust, the nonsense continued. With all the attention given to risk management since September 2001 one would think that this would have been a decade of risk management prowess. The truth is that risk management is only now coming of age. Changes are already afoot to prevent a re-occurrence. Risk management has taken on a new significance, the emphasis will be on 'effective risk management'. Greater transparency must be achieved. Good risk taking must be rewarded and reckless behavior must be punished(Joyce 2009). Institutions such as Lehman Brothers and AIG implemented enterprise risk management (ERM) programs to protect their assets and prevent their organizations from collapsing. Yet changing business conditions and misguided moves by internal players created risks that neither organization anticipated. Their ERM programs failed to protect them from risks that led to disaster. Despite the experiences of Lehman Brothers and AIG, ERM can be a valuable tool in protecting your organization. The key is to align your ERM program and your corporate strategy to give your organization a complete and comprehensive approach to managing all types of risk. Once it is integrated into strategy, ERM can spread throughout the entire organization. This integration requires cooperation among executives, managers, and employees. It also requires an organizational commitment to identify risk across business units and to thoroughly assess and measure risk. With the help of the Balanced Scorecard, an organization can articulate its strategy and ERM programs while alleviating the challenges of executing the strategy(Killackey 2009). The current financial turmoil has revealed an absence of the sensible and fundamental application of risk management practices. Sensible risk management practices can help resolve the current financial crisis. Sustainable business in the current environment requires corporate management to be street-smart by using practical wisdom above and beyond theoretical knowledge to identify, measure, monitor and control risk. Street-smart risk management emphasizes a more balanced approach between realistic assessment of uncertainty and the alignment of interests. In the property/casualty insurance industry, interests of managing general agents and third party claims administrators can be aligned with interests of insurers through loss-sensitive commission structures or risk retention via captive insurance vehicles(Koegel 2009). Industry pundits believe that the current financial crisis might have been avoided if risk management worked effectively. For many years to come, economists will argue about the root causes of this crisis: failed housing policies, lax regulatory oversight, complex structured products, inaccurate debt ratings, and undisciplined lenders and borrowers. To be sure, at the core of the financial crisis there has been a failure in risk management. Accordingly, it is critical to examine the fundamental issues of risk management that may have led to this failure. There are seven common issues in risk management, and each one must be addressed for it to be truly effective. These common issues are: 1. compliance-driven risk management, 2. lack of active participation by the board, 3. lack of risk management independence, 4. ineffective enterprise risk management, 5. ineffective board and management reporting, 6. lack of an objective feedback loop, and 7. ineffective incentive compensation systems(Lam 2009). At the 2009 World Economic Forum in Davos, Switzerland, it was reported that the global financial crisis has destroyed 40%-45% of world wealth. While there have been other severe recessions, this one stands out in an important way: Its impact is felt not only by every country and industry, but also by every company and individual. Many failures contributed to this once-in-a-lifetime event, or "black swan." At the core of the financial crisis, however, was a failure in risk management. Corporate failures in risk management fall into two groups: the "risk ignorant" and the "risk incompetent" companies. The global financial crisis has highlighted the need for all companies to adapt in a new age of uncertainty. An effective ERM program is essential for companies to manage complex and interdependent risks. To be effective, such a program must address four basic and fundamental issues: governance, risk analysis, risk management, and reporting and monitoring(Lam 2009). The magnitude of the current financial crisis reflects the failure of an economic and regulatory philosophy that had proved increasingly influential in policy circles over the past three decades. This paper suggests (1) that contrary to the prevailing wisdom, New Deal policies (including federal deposit insurance and bank supervision) worked to stabilize the financial system; (2) that the financial catastrophe of 2007-2009 was not an accident, but rather a mistake, driven by a deregulatory mindset that took 50 years of post-New Deal financial stability for granted; and (3) that the dramatic federal response to the current financial crisis has created a new reality, in which virtually all systemically significant financial institutions now enjoy an implicit guarantee from the federal government that will continue to exist (and continue to generate moral hazard) long after the immediate crisis passes. Based on this analysis, one major step that is necessary now to help ensure financial stability in the future is to <i>identify</i> and <i>regulate</i> systemically significant institutions on an ongoing basis, rather than simply in the heat of a crisis. To guard against moral hazard (in the face of large implicit guarantees) and to ensure the safety of the broader financial system, these institutions must face significant prudential regulation, they should be required to pay premiums for the federal insurance they already enjoy, and they should be subject to an FDIC-style receivership process in the event of failure(Moss 2009). Everyone manages risk, whether they know it or not. It could be done through a formal program, with structured identification, assessment, probability analysis, and mitigation actions all supported with a technology-based risk framework. Or it could be a simple mental check to evaluate risks based on a gut feeling before completing a business transaction. Today's turbulent times have trebled risk management awareness as a formal discipline. But most companies are still at the early stages, simply attempting to frame risk as it relates to their business operations and strategy. They look for education and guidance on how to turn risk theory into defendable, ongoing risk management practice. In fact, they're already spending billions of dollars in pursuit of this goal. Supply chain risk mitigation requires a healthy mix of business practice change and IT systems to support that practice. No longer can risks be managed on the back of an envelope. They must be identified, assessed, and appropriately mitigated. And to do that well, you must also employ business systems and IT support to make it happen in a repeatable, sustainable, and cost-effective manner(Noha and John 2009). Over the past decade, project risk management has emerged as a key project management #p#分頁標(biāo)題#e#英國留學(xué)生dissertationprocess and has been widely embraced by a variety of major corporations. With renewed emphasis on capital stewardship and transparent fiscal reporting, the effective deployment of risk management processes has proven to be crucial for the economic viability of companies. Despite the growing acceptance of project risk management, there remain a number of common pitfalls that project managers should avoid. Among these pitfalls is the misuse of contingency funds for purposes other than the mitigation of potential risks. If ignored, these pitfalls could tarnish the image of project risk management and rescind some of the gains that have been made in recent years. This article will highlight some common risk management pitfalls by drawing on real examples and present steps that could be taken to avoid them(Noor and Tichacek 2009). Amongst other things, this paper aims to address complexities and challenges faced by regulators in identifying and assessing risk, problems arising from different perceptions of risk, and solutions aimed at countering problems of risk regulation. It will approach these issues through an assessment of explanations put forward to justify the growing importance of risks, well known risk theories such as cultural theory, risk society theory and governmentality theory. In addressing the problems posed as a result of the difficulty in quantifying risks, it will consider a means whereby risks can be quantified reasonably without the consequential effects which result from the dual nature of risk that is, risks emanating from the management of institutional risks. Current attempts by the European Union to regulate risks will also be discussed. This discussion will be facilitated through a consideration of recent developments in the EU which are aimed at addressing risks posed by hedge funds. The results obtained from a consultation process on hedge funds, and which will be discussed in the concluding section of this paper, reveal whether the systemic relevance of hedge funds and prime brokerage regulation need to be reviewed. Questions also addressed during the consultation process, which include whether indirect prudential regulation is inadequate to shield the financial system from hedge funds' failure and whether prudential authorities have necessary tools to monitor exposures of the core financial system to hedge funds, will also be discussed(Ojo 2009). Rebuilding faith and confidence in the financial services industry will take a longtime, but the best place to start is with financial risk management. This cannot be mere window dressing; the end product has to be a risk management system that engages every financial institution employee from the CEO down. Given all the factors opposing a proper risk management culture, attempting to overcome them all can seem daunting. But by following four concrete steps, any risk manager can begin to win the fight. These steps are: 1. senior management emphasis, 2. training at all levels, 3. monitoring, and 4. corrective action(O'Neil 2009). In its January proposal on enhancements to the Basel II framework, the Basel Committee clearly stated that bank boards of directors and managements must address the flaws in risk-management practices revealed by the financial crisis. Improving firm-wide governance will be necessary to satisfy regulatory supervision. Corporate governance has been called the strategic response to risk, and the changes mandated by events are not simply tactical. Risk management practices must be assimilated into strategic objectives in new and better ways. Through strategies of literacy and engagement, a shared vision of strong corporate governance can be built that places explicit accountability for execution and disclosure where risk is taken and for understanding and acceptance with the board(Schild 2009). The financial meltdown in the mortgage-backed securities industry has organizations across all sectors bracing for tighter regulations and increased compliance demands. Smart decision-maker across all industries are now seeking technology investments to help establish good governance models that will in turn help with regulatory compliance and lower their operational risk. Master data management (MDM) is exactly this kind of investment. MDM ensures that critical enterprise data is validated as correct, consistent, and complete when it is circulated for consumption by internal or external business processes, applications, or users. Compliance is a challenge for companies, largely because each industry has unique regulatory requirements. To support regulatory compliance monitoring and reporting, companies need a strong combination of people, processes, and technology to properly manage the data. The pharmaceutical industry is one of the most highly regulated industries, with strict federal and state government oversight in R&D, manufacturing, sales and marketing, and drug-recall activities(Shankar 2009). SIX Telekurs is enhancing its reference data products to help clients comply with regulatory initiatives and meet new demands for faster data delivery to facilitate efficient risk management, officials tell Inside Reference Data. Following the increased market focus on timely reference data, SIX Telekurs is planning to increase the frequency of its reference data feed VDF, providing data every 15 minutes. SIX Telekurs is also changing the reference data feed to help improve STP rates. Meanwhile, in March, Cetrel Securities launched a pre-trade UCITS III check system, using SIX Telekurs VDF data with its own system(Thoresen 2009). In recent years, the emphasis in corporate governance has shifted from board composition, independent directors, separating the position of chairperson and CEO, and establishing board committees to "being in control" and risk management issues. However, the corporate law perspective of internal control and risks management does not match up to the multidisciplinary perspective of these themes. This paper analyses the dichotomy between the US and the EU corporate law approaches to internal control and risk management. Lawmakers from the US, the EU, and the EU member states reacted to the scandals between 2000 and 2003 with provisions requiring public companies to have internal control and risk management systems in order to restore public confidence, but the substance of their responses differed. A regulatory framework is put forward in order to address the steps to be taken in establishing an operational internal control and risk management framework and to address the role of the different parties involved from a corporate law perspective. The above mentioned steps are: (1) initiate and identify, (2) assess and operate, (3) monitor, and (4) report on the systems relating to the companies' risks and uncertainties, strategy, financial reporting, and operations. The parties legally involved include: (1) senior management, (2) board, (3) audit committee, and (4) auditor. The US and the EU regulatory frameworks indicate not only that their corporate law approaches to internal control and risk management are different, but also that both approaches are incomplete - but not necessarily insufficient - in several areas(Van der Elst and van Daelen 2009). Within the past decade, the Bush administration amplified the discipline of risk management in the acquisition process, especially noting Department of Defense (DOD) Directive 5000.01 and Instruction 5000.02, which require documented risk assessments and reassessments for all designated "Acquisition Category" (ACAT) programs. For the purposes of acquisition planning, risk can be divided into two components: the inability to achieve program objectives within safety, performance, schedule, and cost expectations and the consequence or impact of failing to achieve these objective(s). In order to mitigate potential risks in the acquisition planning process, one must fully grasp the concept of risk management. However, the first part of planning a risk management approach is to determine who will participate on the risk management team, also known as a multifunctional team (MFT). Once potential risks are identified, it is then helpful to provide descriptions of each using a risk statement. The techniques used in a good risk management process allow management and leadership to move away from 'crisis management.'(Veselenak 2009)#p#分頁標(biāo)題#e#
3 Open-end fund's market risk and risk management status.
3.1 the development of open-end fund status at home and abroad
3.2 China's open-end fund's principal risks
3.3 China's open-end fund-specific risk factors for open-end fund in China
3.4 risk management status
4 Methodology
3.1 Introduction
3.2 Research Philosophy
3.3 Research Method
3.4 Data Collection Design
3.5 Data Sampling
3.6 Data Analysis Process
3.6.1 VaR model system
3.6.2 GARCH model system
5 empirical analysis of Market risk management,
5.1 An Empirical Study based on VaR Model
5.2 Empirical Analysis
6 The study of the Correlation between Fund price fluctuations and stock market price fluctuations.
6.1 the relationship between the Fund and changes in stock market
6.2 Cointegration Analysis between China's open-end funds and securities markets
7 Conclusion and Recommendations
4.1 Conclusions
4.2 Recommendations
References

(1996). Mutual Fund PCL Cleared to Open-End Funds. Asian Wall Street Journal: 11.
(2003). "NYSE Adds Requirements For Closed-End Funds." Compliance Reporter: 1.
Anonymous (2009). "Royal Bank of Canada announces Direct Investment Notes linked to the EquityCompass Equity Risk Management Strategy." PR Newswire.
Art, L. (2007). "WHY INVESTORS ARE PICKING ETFS: These passive funds have some advantages over actively managed ones." On Wall Street: 1.
Ceniceros, R. (2009). "SEC proposes board risk management disclosures." Business Insurance 43(26): 1.
Cheung, W.-Y. T. (1997). A macroscopic model of capital asset pricing and its application to option valuation. United States -- California, Stanford University: 130.
Chung, S. (2009). "Out-of-sample Hedge Performances for Risk Management in China Commodity Futures Markets*." Asian Economic Journal 23(3): 349.
Cotton, B. (2009). "Seven sins of risk management." Chartered Accountants Journal of New Zealand 88(6): 68.
Cummins, J., G. Dionne, et al. (2009). "Efficiency of insurance firms with endogenous risk management and financial intermediation activities." Journal of Productivity Analysis 32(2): 145.
Dillenberger, C. (2009). "The Hidden Dangers of Fleet Risk Management." Contractor's Business Management Report(7): 1.
Greatrex, C. (2009). Credit Default Swap Market Determinants. 18: 18.
Heather, L. (2009). Boards' Risk Management Roles Seen as Undefined. American Banker: 16.
Jakema, L. (2009). "VPIC Looks for Risk Management Expertise." Investment Management Weekly 22(33): 6.
Jennifer Saranow, S. (2009). An Education in Risk Management Can Offer a Leg Up. New York Times: F.2.
John, M. (2009). "Risk Management Looks For Guidance." Money Management Executive 17(30): 1.
Jones, M., J. Meyers, et al. (2009). "Risk-Management Process For Urban Utilities." Pipeline & Gas Journal 236(4): 34.#p#分頁標(biāo)題#e#
Joyce, G. (2009). "The Naughty Years: A Risk Management Perspective." Accountancy Ireland 41(2): 40.
Killackey, H. (2009). "Integrating Enterprise Risk Management with Organizational Strategy." The RMA Journal 91(8): 28.
Koegel, D. (2009). "Street-Smart Risk Management." Risk Management 56(3): 55.
Lam, J. (2009). "Key Requirements for Enterprise-wide Risk Management: Lessons Learned from the Global Financial Crisis." The RMA Journal 91(8): 22.
Lam, J. (2009). "Making Risk Management Work in the Current Financial Downturn." Bank Asset/Liability Management 25(5): 1.
Ludwig, E. (2009). "Current Trends in Regulatory Risk Management." The RMA Journal 92(2): 30.
Marx, C. (2009). "Experts Emphasize Relentless Efficiency and Risk Management." Credit Union Times 20(26): 10.
McCormick, T. and W. Hern (2009). "aligning risk management with patient safety." Healthcare Financial Management 63(7): 68.
Moss, D. (2009). "An Ounce of Prevention: The Power of Public Risk Management in Stabilizing the Financial System." SSRN Working Paper Series.
Noha, T. and H. John (2009). "Technology's Role in Risk Management." Supply Chain Management Review 13(4): 8.
Noor, I. P. C. and R. P. Tichacek (2009). "Contingency Misuse and Other Risk Management Pitfalls." Cost Engineering 51(5): 28.
O'Neil, V. (2009). "ReBUiLDinG FinAnCiAL RiSK MAnAGement." Risk Management 56(3): 62.
Ojo, M. (2009). "Financial Regulation and Risk Management: Addressing Risk Challenges in a Changing Financial Environment." SSRN Working Paper Series.
Paul, D. (2009). Heightened Risk Management Motivation. American Banker: 8.
Power, M. (2009). The risk management of nothing. 34: 849.
Ramakrishnan, S. (2009). "A new era for risk management." Banking Technology: 34.
Robbin, K. (2009). "Personal financial risk management." Malaysian Business: 54.
Schild, P. (2009). "Improving Risk Management: Process and Culture." Financial Executive 25(4): 55.
Schirick, E. C. C. C. (2009). "Does a Difficult Economy Impact Your Risk Management Decisions?" The Camping Magazine 82(3): 44.
Shankar, R. (2009). "Critical Technologies for Compliance and Risk Management." Business Intelligence Journal 14(2): 44.
Sriwipa, S. (2006). "Stock-fund champion credits parent." Knight Ridder Tribune Business News: 1.
Susan, K. (2004). "The ETF Solution: More advisors are discovering how exchange-traded funds can be a useful asset allocation and trading vehicle." On Wall Street: 1.
Tarek, H. S. (2008). "An Islamic capital asset pricing model." Humanomics 24(2): 122.
The Wall Street Transcript, C. (2005). "MONEY MANAGER INTERVIEW: COLUMBIA MANAGEMENT GROUP." Wall Street Transcript: 1.
Thoresen, T. (2009). "SIX Telekurs to Help Clients Facilitate Risk Management, Launches Intra-Day Ref Data Delivery Service." Inside Reference Data 3(12): 6.#p#分頁標(biāo)題#e#
Van der Elst, C. and M. van Daelen (2009). "Risk Management in European and American Corporate Law." SSRN Working Paper Series.
留學(xué)生dissertationVeselenak, J. (2009). "The Value of Risk MANAGEMENT in Acquisition PLANNING." Contract Management 49(5): 56.
Wang, H. and F. Hsu (2009). An integrated operation module for individual risk management. 198: 610.
Wechsler, J. (2009). "Extended Risk Management Proposals Challenge Manufacturers." Biopharm International 22(7): 16.
Wechsler, J. (2009). "Manufacturers Face New Risk-Management Requirements." Pharmaceutical Technology 33(7): 26.