基于截尾分布理论预测开放式基金大额赎回量

提出了开放式基金的巨额赎回量和大额赎回量的概念，将复合泊阿松分布和截尾分布理论运用在大额赎回量概率计算之中，得到了计算公式。由于开放式基金流动性风险主要来自于大额赎回量，因此使用截尾分布方法预测未来近期的大额赎回量更合适。推导出了正态分布下大额赎回量的期望和方差计算公式。为基金管理人合理规避这种流动性风险提供了一种预测方法。

Predicting Large Amount of Accrued Payables To Redeem Open-End Funds by Truncation Distribution

The conceptions of great amounts of redemption (GAR) and large amounts of redemption (LAR) for open-end funds are proposed. The formula of LAR probabilities is obtained by using the theory of compound Poisson distribution and truncation distribution .Because the liquidity risk of open-end funds is mainly from large amounts of redemption , it is more appropriate to predict the large amounts of redemption by using truncation distribution method. The expectation and variance of LAR formula is given by inference under normal distribution. In conclusion, a new reasonable way to keep away from the liquidity risk is provided to the fund management.