我国保险资金投资利率互换业务的风险分析

发布时间：2018-03-20 21:43

本文选题：保险资金　切入点：利率互换　出处：《哈尔滨商业大学》2013年硕士论文　论文类型：学位论文

【摘要】：伴随着保险业的迅猛发展,保险公司通过收取保费积累大量资金,由于承保利润达到了亏损的地步,迫使保险公司面临生存和发展的危机,以致保险公司特别注重保险资金投资面临的风险,从而提高投资收益率来弥补承保利润的亏损,如何使保险投资更有效率,这是保险企业面临的重要问题。保险资金的运用是保险公司利润的重要来源,保险公司也是金融市场重要的机构投资者,筹集和融通资金的能力仅次于银行业。保险公司的资金运用涉及债券、股票、抵押或担保贷款、不动产等多个领域。是一国金融市场的重要组成部分。所以,如何运用保险资金并对其风险进行管理和控制己成为现代保险业和一国保险市场健康发展的研究重点。利率互换作为互换交易中最为活跃的交易品种,成为规避利率风险有效金融工具,并且在融资渠道的拓展,融资成本的减少以及加强资产负债管理等非常重要。自从开展此项业务,市场参与者和交易额逐渐增加,国际金融业将利率互换作为融资和风险管理的有效金融工具,所以保险资金投资利率互换业务来规避资金投资风险有效手段,达到保险资金保值增值的目的。伴随着我国金融业国际化和市场化的推进,金融机构和企业面临的利率风险逐渐增加,对利率互换产品的需求也更加迫切,但是利率互换产品本身存在高风险性,那么如果对其进行风险管理也成为关键问题。本文旨在从这一角度出发,对我国保险资金投资利率互换业务的风险分析进行有意义的探索。首先,在回顾了国内外保险资金运作和利率互换业务研究现状的基础上,界定保险资金和利率互换概念以及解释风险价值的具体内涵,并且依次讲述了保险资金运作的投资组合理论,资产负债管理理论和相应金融风险管理。其次,本文对我国保险资金投资利率互换业务进行现实性分析,叙述了保险资金的规模,投资渠道,投资比例和投资收益情况；又叙述了利率互换业务发展现状是保险资金投资提供基础条件；从而揭示保险公司开展利率互换业务的必要性；以及分析保险资金投资利率互换业务面临的风险,主要为市场风险和信用风险。再次,针对于保险资金投资利率互换业务面临市场风险和信用风险进行实证分析,通过VaR计算方法和信用违约模型来量化风险价值,根据选取的相关数据进行实证分析,通过计算结果剖析保险公司开展利率互换业务面产生风险的根本原因。最后,根据实证分析情况,对于我国保险资金更好投资利率互换业务提出政策建议。
[Abstract]:With the rapid development of the insurance industry, insurance companies accumulate a large amount of funds by collecting insurance premiums. Because the underwriting profits have reached the point of loss, the insurance companies are forced to face the crisis of survival and development. As a result, insurance companies pay special attention to the risks faced by the investment of insurance funds, thereby raising the return on investment to compensate for the loss of underwriting profits, and how to make the investment of insurance more efficient. This is an important problem facing insurance companies. The use of insurance funds is an important source of profits for insurance companies, and insurance companies are also important institutional investors in the financial market. The ability to raise and finance funds is second only to that of the banking industry. The use of funds by insurance companies involves bonds, stocks, mortgage or secured loans, real estate, etc. It is an important part of a country's financial market. How to use insurance funds and manage and control their risks has become the research focus of modern insurance industry and a country's insurance market. As the most active trading variety in swap transactions, interest rate swap has become an effective financial tool to avoid interest rate risk, and has expanded its financing channels. It is important to reduce the cost of financing and to strengthen the management of assets and liabilities. Since this business, market participants and transactions have gradually increased, and the international financial industry has used interest rate swaps as an effective financial instrument for financing and risk management. Therefore, the investment of insurance funds in interest rate swap business is an effective means to avoid the risk of capital investment, and to achieve the purpose of maintaining and increasing the value of insurance funds. Along with the internationalization and marketization of the financial industry in China, The interest rate risks faced by financial institutions and enterprises are gradually increasing, and the demand for interest rate swap products is also more urgent. However, the interest rate swap products themselves have a high risk. If risk management is also a key issue, this paper aims to explore the risk analysis of interest rate swap business of insurance fund investment in China from this point of view. First of all, on the basis of reviewing the research status of insurance fund operation and interest rate swap business at home and abroad, it defines the concept of insurance fund and interest rate swap and explains the specific connotation of risk value. And then it describes the portfolio theory of insurance fund operation, asset liability management theory and corresponding financial risk management. Secondly, this paper makes a realistic analysis of the investment interest rate swap business of insurance funds in China, and describes the scale, investment channel, investment ratio and investment income of the insurance funds. It also describes that the development of interest rate swap business is the basic condition for the investment of insurance funds, thus revealing the necessity of the interest rate swap business of insurance companies, and analyzing the risks faced by the interest rate swap business of insurance funds investment. Mainly for the market risk and credit risk. Thirdly, according to the market risk and credit risk faced by the insurance fund investment interest rate swap business, the paper quantifies the value of risk through VaR calculation method and credit default model, and carries on the empirical analysis according to the selected relevant data. This paper analyzes the fundamental causes of the risk arising from the interest rate swap business of the insurance company through the calculation results. Finally, according to the empirical analysis, some policy suggestions are put forward for China's insurance funds to better invest interest rate swap business.
【学位授予单位】：哈尔滨商业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842;F832.5

【相似文献】