Measuring and Appraising the Market Risk of Stock Open-end Fund Based on VaR
Peng Lina · Caijing lilun yu shijian · 2006
In this paper,we applied a new semi-parametric approach to obtain an approximate VaR confidence interval.In terms of portfolio,we also made use of C-VaR and M-VaR to analyze the total risk of it.The result is that VaR can be effectively used in measuring and appraising market risk of stock open-end fund as a popular technique.These can give useful information for fund managers and investors on how to calculate VaR accurately and describe the risk composing of portfolio.