基于Copula的开放式基金流动性风险研究

从基金管理者的角度出发,引入了一种开放式基金预留现金和债券比例管理模型,它可以使满足及时赎回需求概率很大且预留现金和债券最少.使用二元Archimedean Copula分析了预留现金和债券比例的计算公式,通过数值实例分析了预留比例公式的合理性,为基金管理人制定投资目标时随时控制预留现金的比例,提供一个参考的标准.

Study of Liquidity Risk for Open-end Funds Based on Copula

In this paper a management model with cash reserve and national debt proportion is introduced for open-end funds.It is shown that the model can maximize the probability of meeting the needs of redemption and minimize the cash reserve in advance.Using Archimedean Copula function we analyzed the formula of calculation about cash reserve proportion.The effectiveness of formula is investigated through a numerical example.The result provides fund managers with a valuable reference to work out the plan of investment to control the proportion of cash reserve and national debt in advance.