Comparative Research Empirically on Market Risk of Open-end Funds of China Basing on ES and VaR

In China, men study the market risk of open-end funds less than the close-end funds. In fact, the risk of open-end funds of China is significantly high. So, in order to make sure the stability and validity, using the methods of structure MONTE CARLO and Normal-GARCH, the author makes a Comparative research empirically of the Market Risk of the open-end funds of china basing on the model of VaR and ES. The results show that ES model is better to measure the market risk of open-end funds than VaR model, and the market risk of the open-end funds of china is very high.