巨灾补偿基金的持仓限额设计研究

发布时间：2018-07-06 14:34

本文选题：持仓限额 + 巨灾补偿基金　；参考：《西南财经大学》2012年硕士论文

【摘要】：作为巨灾补偿基金交易和运作制度的组成部分,本文对持仓限额的研究不但进一步充实和完善了我国巨灾补偿基金制度,而且对持仓限额的理论研究方法做出了有益的探索。巨灾补偿基金的持仓限额的设计,需要遵循流动性、安全性、盈利性和公平性的基本原则。为此,论文首先依托持仓限额与市场价格波动、流动性、风险控制等因素关系的理论剖析；再根据巨灾补偿基金的账户设计、补偿比例、补偿条件等制度设计,对基金可以承受的补偿限额进行了分析,进而根据不同的巨灾区域在灾种、发生概率及损失等方面的特点,讨论了各个注册地的持仓限额。最后,针对个人投资者和机构投资者这两大交易参与主体,在分析其持仓需求、持仓目标的基础上,多维度地设计了他们的持仓限额,包括主体限额、目标限额和占注册地总量的比例限额；其中机构投资者还设计了占其资产组成比例的限额。本文对持仓限额的设计,充分考虑了持仓量可能对交易价格波动、交易流动性,价格操作风险和交易违约风险等的影响,并仔细在盈利性、流动性、安全性和公平性四大原则间进行了平衡。巨灾补偿基金的补偿比例、补偿条件、基金是注册地属性都影响着持仓限额的设定,我们需要紧密结合巨灾补偿基金的内在机制,对不同主体的持仓限额进行设计。在某一次具体的巨灾发生后,政府资金账户能够承受多倍补偿的基金份额是存在上限的。为了能够满足多倍补偿和基金正常运作,必须要对各个投资主体实行持仓限额制度,预防持仓量超出政府资金账户所能承受的限额。另外,论文还分别从基金参与者的自身持仓需求、占自身资产比例、投资目的等维度,讨论了参与主体的持仓限额。个人投资者主要是为了分散巨灾风险而持有巨灾补偿基金,持仓量受到风险暴露财产的价值、其可支配收入以及对巨灾发生的预期的影响。对于机构投资者,他们有增强流动性、分散风险、引导个人投资者的作用。在设计其持仓限额时,要考虑他们的风险承受能力和市场操纵能力。其次,在确定机构投资者的主体持仓限额的基础上,根据投机交易者与套期保值者的比例,计算投机交易者的持仓限额。再次,机构投资者应该根据自身性质和监管要求、投资目标和风险偏好,理性地把巨灾补偿基金纳入投资组合。最后,巨灾补偿基金因地因灾种而异的补偿总额、补偿比例等作为内在机制设定,能有效引导机构投资者控制其在注册地中所占的持仓量。在分析了各主体的持仓限额设计思路后,要借助金融实验确定具体限额。在基金份额总量约束下,应用实验金融的方法,通过在计算机系统里模拟巨灾补偿基金体系的运作,根据设计思路输入基金运行中受到的约束条件数据,进行金融实验,对各投资主体持仓限额反复组合试验,在实验的输出结果中直接观察、比较基金在流动性和稳定性上的表现情况,最终确定合理的各类投资主体持仓限额。论文对持仓限额设计的研究,也为金融实验的建立提供了理论支撑和思路,为巨灾补偿基金的最终成立和运作做出理论贡献。
[Abstract]:As part of the transaction and operation system of Catastrophe Compensation Fund , this paper not only enriches and perfects the system of China ' s Catastrophe Compensation Fund , but also makes a useful exploration to the theoretical research method of the position limit .

The design of the position limit of the Catastrophe Compensation Fund needs to follow the basic principles of liquidity , safety , profitability and fairness . To this end , the thesis begins with the theoretical analysis of the relationship between position limit and market price fluctuation , liquidity , risk control , etc .
Then , according to the account design , compensation proportion , compensation condition and other system design of Catastrophe Compensation Fund , this paper analyzes the compensation limit which can be borne by the fund , and then discusses the position limit of each registered land according to the characteristics of different disaster areas in the aspects of disaster , probability and loss .
Institutional investors have also designed quotas that make up a percentage of their assets .

This paper takes full consideration of the influence of the position of the position limit on the fluctuation of the transaction price , the liquidity of the transaction , the risk of price operation and the risk of trading violation , and carefully balances the four principles of profitability , liquidity , safety and fairness .

Compensation ratio , compensation condition and fund of catastrophe compensation fund affect the setting of position limit , and we need to combine the internal mechanism of catastrophe compensation fund closely , and design the position limit of different subjects .

In order to meet the multi - factor compensation and the normal operation of the fund , it is necessary to carry out the position limit system for each investment subject , and prevent the position of the holder from exceeding the limit that the government funds account can bear . In addition , the paper also discusses the position limit of the participating principal from its own position requirement , the proportion of its assets , the investment purpose and so on , respectively .

In order to disperse the risk of catastrophe , the individual investor has the value of risk exposure property , its disposable income and the expected impact on catastrophe . In the design of its position limit , the investor should consider their risk tolerance and market manipulation ability . Secondly , based on the determination of the position limit of institutional investors , the institutional investors should take into account their risk tolerance and market manipulation ability .

After analyzing the design idea of the position limit of each main body , it is necessary to determine the specific limit by means of financial experiment . By simulating the operation of catastrophe compensation fund system in the computer system under the constraint of the total amount of fund shares , the paper makes a financial experiment by simulating the constraint data of the fund in the operation of the fund according to the design thinking , and finally determines the reasonable investment subject position limit . The paper also provides theoretical support and thinking for the establishment of the financial experiment and makes a theoretical contribution to the final establishment and operation of the catastrophe compensation fund .
【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

【参考文献】