Computational Risk Management Series Editors

Investment funds in China started in 1991. After 20 years of development, the mutual fund industry is now offering a rich product line for investors. At present, individual investors hold about 90% of the mutual fund with more than 90,000,000 fund accounts. Mutual fund purchasing has become the preferred way of managing money for urban residents in China. This paper study on risk assessment methods of investment fund. An empirical analysis of the selected 15 mutual funds in China is performed with testing models of VaR, Semi-Parameter VaR and GARCH-VaR. After testing of these models, these selected funds demonstrated some of characteristics of China funds. As to risk assessment methods, we find that Semi-Parameter VaR is relatively simple in calculation but the resulting confidence interval is too wide for practical application. Comparatively GARCH-VaR is found to be more rational and precise. GARCH-VaR method has better precision than conventional performance index.