Chinese open-end funds evaluation of RAROC based on CVaR

The RAROC model which will be improved in this article with taking CVaR into can evaluate the performance of Chinese open-end funds with three and a half years of data from 2006 to 2009. The calculations of VaR and CVaR are in new methods,in calculating the combination of the GARCH, EGARCH,PARCH models and the residuals subjected to T and GED distributions,then through the return of the test to improve the accuracy of VaR and CVaR,the results of VaR and CVaR are compared to test.Through empirical testing,the accuracy of RAROC based on CVaR increases,more accurate ranking,that provides a a very good indicator of the performance for investors.