摘要：我国的证券投资基金尤其是开放式基金发展十分迅速，使得有关于开放式基金流动性风险的研究具有现实意义。

　　　本文以开放式基金的流动性风险为研究对象。首先提出开放式基金及其流动性风险的问题，简要分析其形成机制和表现形式，并结合我国证券市场的实际情况，具体分析导致我国开放式基金流动性风险原因的特殊性；然后在VaR风险测度方法的基础上介绍了测量流动性风险的L-VaR方法，该指标包含了买卖价差与成交量两个因素，用该方法对我国开放式基金的流动性风险进行度量，并将结果与规模变化率、净值变化率等因素作相关性分析；最后根据研究结果，结合我国开放式基金的发展现状提出相应的建议，希望对我国开放式基金的流动性风险管理具有一定的促进作用。

关键词: 开放式基金；流动性风险；L-VaR；风险管理

ABSTRACT：Our securities investment funds, especially the open-end funds have a speed development, making researching the liquidity of open-end fund has a practical significance.  

　　　Making the liquidity risk of open-end fund as the research object. First of all, coming up with the question of open-end and the liquidity risk. Followed with a brief analysis of the formation mechanism and its forms combined with the actual situation of China's securities market. Analysis the causes of liquidity risk and its specialty detailed. Then based on the method of the VaR , describing the measure of the L-VaR. The index includes the bid-ask spread and the volume, then use this measuring liquidity risk. Comparing the result with the change of the size and the change of the net rate. Based on the results, Combined with the development of open-end fund status of recommendations accordingly. Hope it has a beneficial role in promoting the management of open-end fund in China.

Key words: open-end fund; liquidity risk; L-VaR; management of risk