基于VaR方法的险资债券投资研究

发布时间：2018-06-06 15:11

本文选题：保险资金运用 + 险资债券投资　；参考：《西南财经大学》2012年硕士论文

【摘要】：从1980年全面复业以来,我国保险业高速发展,是国内发展最快的行业之一,取得了令人瞩目的辉煌成就。随着我国保险行业近三十年来的快速发展,保险资金运用余额也在快速增加,截止到2012年底,保险资金运用余额达到6.85万亿。在有效管控风险的前提下,实现保险资金的保值增值从而满足保险公司的经营需要是目前我国保险业面临的一个难题。保险资金运用的基本原则与债券市场的特点,共同决定了债券市场是保险资金运用的重要渠道,并且能够较好地满足保险资金运用的要求。在2012年7月,保监会出台了《保险资金投资债券暂行办法》,该办法是对险资进入债券市场的全面松绑,同时也对保险公司的投资能力和风险管控能力提出了更高的要求。 VaR是Value at Risk的简称,也称作风险价值,是指在市场正常波动条件下,在一个确定的时间段,在给定的置信水平下,某项风险资产或整个资产(投资)组合在确定的时间段内的最大可能损失。目前,VaR方法作为一种风险管理工具,已被广泛的应用到企业的风险管理工作中。VaR方法可以度量单项投资的风险,也可以度量投资组合的风险,通过VaR的延伸计算方法还可以对投资组合内部的结构进行进一步分析计算。企业管理者在对投资组合进行风险管理时,可以利用VaR方法提高风险管理的有效性。本文的主要内容有：第一章导论简单阐述研究背景与意义、参考文献和研究思路。随着我国保险行业近三十年来的快速发展,保险资金运用余额也在快速增加。目前,保险资金运用成为了保险公司获取利润的主要来源。但是,我国保险业资金的投资收益率却一直较低。为了解决这一问题,保监会出台了一系列支持政策,包括拓宽险资运用渠道等。其中,险资债券投资可谓全面放开,而随之而来的风险也有所增加。VaR方法作为一种广泛使用的风险管理工具,可以应用到险资债券投资的风险管理中去。第二章介绍保险资金运用与债券投资的基本理论。首先,介绍保险资金的定义,进而引出并重点介绍保险资金的来源。我们可以看出,正是保险资金的来源决定了保险资金的特点以及保险资金运用的三原则,即安全性、流动性、收益性。之后开始介绍债券市场的理论,包括债券的定义、分类以及债券市场,重点介绍债券的特点和风险。最后,结合前文,分析得出保险资金运用的基本原则与债券市场的特点,共同决定了债券市场是保险资金运用的主要渠道,并且债券市场能够较好地满足保险资金运用的要求。第三章介绍我国保险资金运用的历史及现状分析,并对险资运用的主要方式——债券投资现状做了详细分析。本章首先对我国保险资金运用的历史进行梳理。对监管政策的变迁做了回顾,并将这段历史化为三个阶段分别介绍。之后,从保险资金运用规模、收益率、结构、问题等四个方面,对我国保险资金运用现状进行分析。最后,着重对险资债券投资的现状进行分析,得出保险资金债券投资全面松绑对于债券投资收益率的提升有重大利好,同时,也对保险公司的投资能力和风险管控能力提出了更高的要求。第四章介绍风险管理工具—VaR方法的理论和VaR方法如何成为保险资金债券投资的风险管理工具。首先,对现代投资理论及VaR方法的发展历程做了简单介绍。然后分别就VaR方法的模型推导、参数意义、使用方法以及VaR方法的延伸进行介绍。最后,在实际应用中,将VaR方法作为保险资金运用中的风险管理工具和绩效评估工具,引入我国保险业。第五章使用VaR方法,对我国保险资金债券投资进行实证分析。首先,本文选择相对风险价值角度,采用方差-协方差方法来计算VaR。之后,选择债券市场上具有代表性的债券指数,按照2012年底的我国保险业债券投资比例,利用VaR方法,分别计算分项债券的VaR、投资组合VaR、增量VaR、成分VaR、边际VaR等。最后根据计算结果进行分析。第六章主要内容为本文研究结论和政策建议。本文研究结论有：债券作为固定收益产品,与保险资金的匹配性较好,收益虽不高,但相对稳定,能够满足流动性管理需要,成为保险资金重要的基础性资产配置。我国保险资金运用主要存在的问题有：(1)保险资金收益率较低,不足以支持负债。(2)资金运用结构和负债结构的不匹配。(3)权益类投资波动大,主要是指证券和证券基金波动较大。监管部门对险资投资债券市场的松绑,有可能会解决保险资金存在的三大问题。构建债券投资组合、进行风险管理时,保险公司可以通过利用VaR方法,提高对风险的管控水平,不断提升保险资金运用水平。本文的建议有：我国保险资金运用应继续重视债券市场；加强对投资分析工具和风险度量工具的研究与开发；监管部门应该继续拓宽保险资金运用渠道；保险公司应建立有效的风险管理体系。
[Abstract]:Since 1980, China's insurance industry has developed rapidly and is one of the fastest developing industries in China. It has made remarkable achievements. With the rapid development of China's insurance industry in the past thirty years, the balance of insurance funds has also increased rapidly. By the end of 2012, the balance of insurance funds has reached 6 trillion and 850 billion. On the premise of controlling risk, it is a difficult problem that the insurance industry is confronted with at present. The basic principles of the use of insurance funds and the characteristics of the bond market have jointly determined that the bond market is an important channel for the use of insurance funds, and it can satisfy the insurance better. In July 2012, the CIRC issued the Interim Measures for the investment bond of insurance funds, which is a comprehensive loosening of the risk of investment into the bond market, and also a higher requirement for the investment ability and risk control ability of the insurance company.
VaR is the abbreviation of Value at Risk, also known as the value of risk. It refers to the maximum possible loss of a certain risk asset or the whole asset (investment) portfolio in a fixed time period under the normal fluctuation condition of the market. The VaR method, as a risk management tool, has been widely used as a risk management tool. In the enterprise risk management work,.VaR method can measure the risk of single investment and measure the risk of portfolio. Through the extended VaR calculation method, the structure of the portfolio can be further analyzed and calculated. The enterprise manager can use the VaR method to improve the risk management of the portfolio. The effectiveness of risk management.
The main contents of this article are as follows:
The first chapter introduces the background and significance of the study, reference literature and research ideas. With the rapid development of China's insurance industry in the past thirty years, the balance of insurance funds has also increased rapidly. At present, the use of insurance funds has become the main source of profit for insurance companies. However, the rate of return on investment in China's insurance industry is In order to solve this problem, the CIRC issued a series of support policies, including broadening the use of risk management, among which the venture capital bond investment is completely liberalized, and the accompanying risk also increases the.VaR method as a widely used risk management tool, which can be applied to risk management of venture capital bond investment. In the middle.
The second chapter introduces the basic theory of the use of insurance funds and bond investment. First, it introduces the definition of insurance funds, and then introduces and focuses on the sources of insurance funds. We can see that the source of insurance funds determines the characteristics of the insurance funds and the three principles of the use of insurance funds, namely, security, liquidity, and income. Then it begins to introduce the theory of the bond market, including the definition, classification and bond market of bonds, focusing on the characteristics and risks of the bond. Finally, the basic principles of the use of insurance funds and the characteristics of the bond market are analyzed with the previous article. The bond market is the main channel for the use of the insurance funds and the bond market can be used. It is better to meet the requirements of the use of insurance funds.
The third chapter introduces the history and present situation of the application of insurance funds in China, and analyzes the main mode of the use of the insurance capital - the current situation of the bond investment. This chapter first combs the history of the application of the insurance funds in our country. This chapter reviews the changes of the regulatory policy and introduces this period to three stages. The application of insurance funds in four aspects, such as scale, rate of return, structure, problems and so on, is analyzed in the present situation of the application of insurance funds in China. Finally, the present situation of the investment of the insurance bond is analyzed. It is concluded that the overall loosening of the investment of the insurance funds and bonds has a great benefit to the rise of the bond investment yield, and the investment of the insurance company. The power and risk control capabilities are higher requirements.
The fourth chapter introduces the theory of the risk management tool - the VaR method and how the VaR method becomes the risk management tool for the investment of the insurance fund bond. First, it introduces the development course of the modern investment theory and the VaR method. Then it introduces the model derivation of the VaR method, the parameter significance, the use method and the extension of the VaR method. Finally, in the practical application, the VaR method is used as a risk management tool and performance evaluation tool in the application of insurance funds to introduce into China's insurance industry.
The fifth chapter uses the VaR method to make an empirical analysis of China's insurance fund bond investment. Firstly, this paper chooses the relative risk value angle and calculates VaR. by using variance covariance method to select the representative bond index in the bond market. According to the proportion of China's Insurance bond investment at the end of 2012, the VaR method is used respectively. VaR, portfolio VaR, incremental VaR, component VaR, marginal VaR and so on. Finally, the results are analyzed.
The main content of the sixth chapter is the conclusion and policy suggestion of this paper. The conclusion of this paper is that as a fixed income product, the bond is well matched with the insurance funds, but the income is not high, but relatively stable, it can meet the needs of liquidity management and become an important basic asset allocation of insurance funds. The main existence of insurance funds in China exists. The problems are: (1) the low income of insurance funds is not enough to support debt. (2) the mismatch between the structure of funds and the structure of debt. (3) the volatility of the equity investment is large, mainly refers to the large fluctuations in the securities and securities funds. The loosening of the insurance investment bond market by the regulatory authorities may solve the three major problems of the existence of insurance funds. When the bond portfolio is carried out, the insurance company can improve the control level of the risk by using the VaR method and continuously improve the level of the insurance fund. The suggestion is that the insurance fund should be used to the bond market, and the research and development of the investment analysis tools and risk measurement tools should be strengthened; Departments should continue to broaden the channels for the use of insurance funds, and insurance companies should establish an effective risk management system.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】