| 基于VAR的RAROC指标评估证券投资基金绩效——实证分析 |
| |
| 引用本文： | 钱谱丰,李凯.基于VAR的RAROC指标评估证券投资基金绩效——实证分析[J].商业研究,2007(11):199-204. |
| |
| 作者姓名： | 钱谱丰 李凯 |
| |
| 作者单位： | 1. 中国人民大学,财政金融学院,北京,100872
2. 国家财政部国库司,北京,100820 |
| |
| 摘 要： | 秉承风险调整收益的理念,将基于VAR构建的RAROC指标用于中国的基金业。在实证过程中对所涉及的相关指标和基金收益率的分布形态等分别进行计算和检验,主要结论是,基金投资组合的非系统性风险没有充分化解;大多数的基金收益率分布形态呈尖峰和右偏,不严格服从正态分布。
|
| 关 键 词： | VAR 基金绩效 指标评估 |
| 文章编号： | 1001-148X（2007）11-0199-06 |
| 收稿时间： | 2007-02-01 |
| 修稿时间： | 2007年2月1日 |
An Assessment of Fund Performance With RAROC Index Based on VAR |
| |
| QIAN Pu-feng,LI Kai.An Assessment of Fund Performance With RAROC Index Based on VAR[J].Commercial Research,2007(11):199-204. |
| |
| Authors: | QIAN Pu-feng LI Kai |
| |
| Institution: | 1. School of Finance, Renmin University, Beijing 100872, China ;2. Ministry of Finance ,Beijing, China |
| |
| Abstract: | In accordance with the concept of risk-adjusted returns,the paper mainly uses the quantitative methods to apply the RAROC index based on VAR to Chinese fund industry.The relevant data involved as the fund distribution patterns is calculated and tested separately in the empirical process.It concludes that fund investment portfolios do not fully resolve the non-systemic risk;most of the funds' probability distribution curves take on sharp kurtosis and right skew,not strictly obey normal distribution. |
| |
| Keywords: | VAR |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
