基金投资组合风险管理及在投资决策中的应用研究

1、基金投资组合风险管理及在投资决策中的应用研究课题研究单位 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

2、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 1 29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

3、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

4、 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

5、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AbstractReturn and risk are highly correlated to each other. Higher return always accompanies by higher risk. Fund management companies face the same risk as other financia

6、l institutions. However, there are also lots of differences between them. As an investor investing in financial markets, fund management companies must managetheir portfolios market risk firstly. Although this type of risk is taken by the funds holders finally, as the fund manager, the most importan

7、t job for him is to manage the market risk efficiently, and according to the fund investment strategy, to reduce the portfolios 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 des

8、ign 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 financi

9、al 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

10、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 i

11、ts 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 portfolios risk. For the aspect of portfolio optimization, the evaluation and readjustment models in the syste

12、m 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 cha

13、racteristics 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

14、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

15、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 ri

16、sk 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 t