RAROC指标在我国开放式基金业绩评价中的运用..doc

声 明 本人郑重声明所呈交的论文是我个人在指导老师的指导下进行的研究工作及取得的研究成果，不存在任何剽窃、抄袭他人学术成果的现象。我同意（ √ ）/不同意（ ）本论文作为学校的信息资料使用。 论文作者（签名） 王文静 2008 年 5 月 10 日 RAROC指标在我国开放式基金业绩评价中的运用 摘 要 随着开放式基金的蓬勃发展，运用科学、有效的基金评价指标对基金投资选择具有重要的参考价值。市场现有的通常有收益率、Sharpe比率和Tryenor比率等方法来衡量基金的业绩水平。 本文介绍了一种基于VaR模型的RAROC指标。通过实证分析证明了RAROC方法与传统的收益率、Sharpe比率、Tryenor比率方法存在差异，不能互相替代。并以此为基础，提出建议：将RAROC方法与传统收益率、Sharpe比率、Tryenor比率方法相结合，能够更全面、更科学地对基金的业绩评价，并建议一些基金评级机构在进行基金评级时，能够参考RAROC方法的比较结果，这样的基金评级结果会更综合性，对投资者做出投资判断具有更高的参考性。 关键词：VaR，RAROC，开放式基金，评价 The Use of RAROC Index in China Open-end Fund’s Assessment Abstract With the vigorous development of open-end fund market, it is valuable to use the scientific and efficient Evaluation as the investment reference. People often use rate of return, Sharpe Ratio and Treynor Ratio as the evaluation of performance. This article introduced VaR-based RAROC index. By using empirical analysis, this article proved that RAROC method is different from rate of return, Sharpe Ratio and Treynor Ratio. This article is in order to reflect the good effect VaR-based RAROC index in China Open-end Fund’s assessment and it is suggested that the fund rating agencies can take the RAROC method into consideration with other ratios, which is more scientific and useful for investors. Key words: VaR, RAROC, open-end fund, assessment 目 录 一、序言··················································1 （一）研究背景············································1 （二）研究意义与研究对象··································1 （三）研究思路与内容······································2 二、VaR模型介绍··········································4 （一）VaR模型的产生与发展································4 （二）VaR模型的定义······································5 （二）VaR模型计算方法综述································6 三、RAROC指数介绍·······································8 （一）RAROC定义与优点···································8 （二）RAROC指数的计算···································8 四、实证研究······································