本文将CVaR引入到RAROC(R isk-Ad justed Return on Cap ital)中,进行绩效评价。而且,将CVaR与VaR的结果进行了比较。在正态分布的情况下,CVaR与VaR的RAPM(R isk-Ad justedPerform ance M easure)对于绩效评价都是充分的、可靠的、有效...本文将CVaR引入到RAROC(R isk-Ad justed Return on Cap ital)中,进行绩效评价。而且,将CVaR与VaR的结果进行了比较。在正态分布的情况下,CVaR与VaR的RAPM(R isk-Ad justedPerform ance M easure)对于绩效评价都是充分的、可靠的、有效的,且两者是等价的。但在非正态的情况下,CVaR的RAPM相对于VaR的RAPM更加充分、谨慎、可靠、有效。我们运用Bootstrap方法进行了实证研究。展开更多
There are few comprehensive studies on risk measurement and performance evaluation of stock funds in China. This paper uses the ARMA-GARCH family model to analyze the volatility characteristics of equity funds under t...There are few comprehensive studies on risk measurement and performance evaluation of stock funds in China. This paper uses the ARMA-GARCH family model to analyze the volatility characteristics of equity funds under the t-distribution and Generalized error distribution (GED), and combines CVaR, PM (Second revised sharp ratio) and CVaR-RAROC (Revised RAROC) to comprehensively evaluate equity funds risk and performance. The empirical analysis of five equity funds in China from October 28, 2010 to May 17, 2019 shows that: Comprehensive evaluation of the risk and performance of equity funds can comprehensively and effectively examine the risks and returns of equity funds, helping investors, financial institutions and regulatory agencies to more fully understand the risks and performance of equity funds.展开更多
文摘本文将CVaR引入到RAROC(R isk-Ad justed Return on Cap ital)中,进行绩效评价。而且,将CVaR与VaR的结果进行了比较。在正态分布的情况下,CVaR与VaR的RAPM(R isk-Ad justedPerform ance M easure)对于绩效评价都是充分的、可靠的、有效的,且两者是等价的。但在非正态的情况下,CVaR的RAPM相对于VaR的RAPM更加充分、谨慎、可靠、有效。我们运用Bootstrap方法进行了实证研究。
文摘There are few comprehensive studies on risk measurement and performance evaluation of stock funds in China. This paper uses the ARMA-GARCH family model to analyze the volatility characteristics of equity funds under the t-distribution and Generalized error distribution (GED), and combines CVaR, PM (Second revised sharp ratio) and CVaR-RAROC (Revised RAROC) to comprehensively evaluate equity funds risk and performance. The empirical analysis of five equity funds in China from October 28, 2010 to May 17, 2019 shows that: Comprehensive evaluation of the risk and performance of equity funds can comprehensively and effectively examine the risks and returns of equity funds, helping investors, financial institutions and regulatory agencies to more fully understand the risks and performance of equity funds.
