AA保险公司投资集合资金信托计划的研究

发布时间：2018-01-04 10:57

本文关键词：AA保险公司投资集合资金信托计划的研究　出处：《华东师范大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着我国利率市场化进程的不断加深,社会利率水平呈现出逐步上行的态势。由于利率市场化改革是我国金融深化过程中必经之路,其过程复杂而曲折,这一态势可能还会在未来持续相当一段时间。利率市场化一方面产生了大量的创新金融工具,丰富了投资人的选择；另一方面也在一定程度上抬高了社会融资成本。而2008年全球金融危机后,我国经济增长放缓,经济发展中不平衡、不协调、不可持续的矛盾和问题仍很突出,经济增长下行压力和物价上涨压力仍然存在。保险业的承保业务也备受影响,并进一步传导至保险资产管理业务,使保险资金运用受到很大压力。为此,行业监管部门适时地在2012年下半年推出了13项保险新政,旨在放宽保险公司的投资渠道和投资品种,提高保险公司的投资收益率,进而推动保险主营业务稳健发展。本文从保险资产配置的资产负债管理、资产周期配置、资产组合配置、信用风险衡量理论等角度出发,在分析了我国信托产品现状后认为,当前我国的信托计划具有高收益率、短期限、风险可控、规模容量大的特点,符合保险公司的配置需求,但不同类型的保险公司对其配置需求有所不同。寿险类公司因资产负债管理的期限因素,对信托计划的配置数量可能要少很多,而对财险公司受到的资产负债管理约束较小,在大类资产分散投资的原则下,可以在其能够承担的风险范围内对信托计划进行合理配置。本文结合AA保险公司的业务特色和资产管理现状和所面临的困难,详细讨论了AA保险公司投资信托计划的战略投资原则、风险控制原则；提出了AA保险公司投资信托计划的类别、选择标准及其相关案例的信用风险分析方法；根据AA保险公司的风险限额规则确定了信托计划的配置数量；并讨论了风险限额变动以及权益类资产变动对投资组合的风险和收益率的影响。文章还对保险公司投资信托计划可能面临的困难和问题提出了一些建议。本文认为信托计划具有高收益率、短期限、风险可控、规模容量大的特点,完全能够满足AA保险公司的配置需求。但是,因其突出的流动性风险和一定的信用风险,公司必须采取高度分散的投资策略,其品种选择和配置数量也须受到一定程度的限制。在现阶段,AA保险公司应将其品种选择范围控制在基础设施类和上市公司股票质押类信托计划中,将其配置规模控制在总资产规模的5%-10%之间。通过在组合中加入信托计划,AA公司的收益率能够在风险程度不变的条件下得到一定的提高,组合收益率的稳定性也因权益类产品波动影响的下降而得到加强。加入了信托计划后,AA公司资产组合的收益和风险均得到了优化。
[Abstract]:With the deepening of China's interest rate marketization process, the social interest rate level shows a gradual upward trend. Because the interest rate marketization reform is the only way in the process of financial deepening, the process is complex and tortuous. On the one hand, the marketization of interest rate has produced a large number of innovative financial instruments, which has enriched the choice of investors; On the other hand, it also raises the social financing cost to a certain extent. However, after the global financial crisis in 2008, the economic growth of our country slows down, the economic development is unbalanced and uncoordinated. The unsustainable contradictions and problems are still prominent, the downward pressure of economic growth and the pressure of price rise still exist. The underwriting business of the insurance industry is also affected, and further transmitted to the insurance asset management business. The use of insurance funds is under great pressure. Therefore, in the second half of 2012, the industry regulatory department introduced 13 new policies of insurance in order to relax the investment channels and investment varieties of insurance companies. Improve the return on investment of insurance companies, and then promote the steady development of the main business of insurance. From the aspects of asset liability management, asset cycle allocation, asset portfolio allocation, credit risk measurement theory and so on, this paper analyzes the status quo of trust products in China. At present, the trust plan of our country has the characteristics of high yield, short term, controllable risk and large capacity, which meets the needs of the insurance company. However, different types of insurance companies have different needs for their allocation. Because of the term factor of asset and liability management, the allocation of trust plans may be much smaller for life insurance companies. On the other hand, the assets and liabilities management constraints of property insurance companies are relatively small. Under the principle of diversified investment of large types of assets, the trust plan can be reasonably allocated within the range of risks it can undertake. This paper discusses the strategic investment principle and risk control principle of the investment trust plan of AA insurance company in combination with the business characteristics of AA insurance company and the present situation of asset management and the difficulties it faces. This paper puts forward the category of investment trust plan of AA insurance company, the selection criteria and the credit risk analysis method of related cases. The allocation quantity of trust plan is determined according to the risk limitation rules of AA insurance company. The paper also discusses the influence of the change of risk limit and equity assets on the risk and return rate of investment portfolio, and puts forward some suggestions on the difficulties and problems that may be faced by the investment trust plan of insurance company. This paper holds that the trust plan has the characteristics of high yield, short term, controllable risk and large capacity, which can completely meet the needs of AA insurance company. Because of its outstanding liquidity risk and certain credit risk, the company must adopt the highly dispersed investment strategy, its variety selection and allocation quantity must also be limited to a certain extent at the present stage. AA insurance company should control its variety selection scope in the trust plan of infrastructure and stock pledge of listed company. The allocation scale is controlled between 5% and 10% of the total asset size. By adding trust plan to the portfolio, the rate of return of AA company can be improved under the condition of constant risk level. The stability of portfolio yield is also enhanced by the decline of volatility of equity products. After joining the trust plan, the return and risk of portfolio of AA company are optimized.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.49;F842.3

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