应用极值理论预测开放式基金赎回量

对产生开放式基金流动性风险的主要原因之一开放式基金的巨额赎回做了阐述,将极值理论运用在流动性风险的测量之中·通过分析发现,I型极值分布适用于预测开放式基金赎回量发生的概率,并运用极大似然法对参数进行了估计及拟合优度检验·同时还应用蒙特卡罗方法对所得结果做进一步的模拟实验,对基金赎回量的均值和标准差做出预测·基金管理人可以根据一定的概率,预测出基金的赎回量,进而预留出适当的现金,为合理地规避开放式基金的流动性风险提供了一种很好的预测方法·

Predicting Amount of Accrued Payables to Redeem Open-End Funds by Extreme Value Theory

Elaborates one of the main reasons for the liquidity risk of open-end funds that the amount of accrued payables will probably be so big and snap. The extreme value theory is introduced in measuring the liquidity risk, and the Type I extreme value distribution is found fit for predicting the probability of the amount of accrued payables to redeem open-end funds via analyzing the actual data. Furthermore, the maximum likelihood method is introduced to estimate relevant parameters with a chi-square test done for the goodness of fit of the model used. The data checked by Monte Carlo method are also used for a simulating test to predict the mean value and standard error of the amount of accrued payables and enable the fund management to reserve a certain amount of cash in accordance to the probability already predicted. In conclusion, a new reasonable way to keep away from the liquidity risk is provided to the fund management.