我国保险公司投资金融衍生品的可行性分析

发布时间：2018-02-25 19:15

本文关键词： 保险资金金融衍生品风险 VaR　出处：《西南财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：近几年,随着我国经济的快速发展,我国保险业也取得了较显著的成就,保费收入及保险资金可运用余额都大幅增加,与此同时,如何对保险资金进行有效投资运用并提高其投资收益率就成为关系到保险公司生存和发展的重要因素。自2012年10月保监会发布保险资金投资新政,允许保险资金参与金融衍生品的交易以来,目前还没有出台有关具体品种的交易规定。所以,要使保险资金稳健地参与金融衍生品的投资交易还有很长的路要走。保险资金的投资面临一些列的风险,因此如何进行专业而有效地风险管理,并使资金保值增值就显得尤为重要。VaR (Value at Risk)即风险价值,作为时下被众多金融企业集团认可并广泛运用的一种风险管理方法,是指在一个特定的期间内,在给定的置信度下,一项金融资产或投资组合可能发生的最大潜在损失值。本文正是基于对VaR的计算,结合我国目前保险资金运用的状况,将VaR方法应用到我国保险资金投资的风险管理中。本文一共分为六个部分。第一部分为导论,主要介绍了本文选题的背景及目的,在对国内外相关研究文献进行分析综述的基础上,提出本文的研究内容及采用的研究方法,并指出其创新和不足点。保险和投资是保险公司主要的两大业务,在保险业务不断发展,保费规模及保险资金余额不断增加的情况下,对保险资金的投资运用问题就越来越得到重视。而历年来我国保险资金的投资收益率时涨时跌,极不稳定,特别是2007年到2008年由于金融危机及股市的大起大落而导致的剧烈波动,对保险公司维持保险资金的安全性和流动性是极为不利的。本文从保险资金投资金融衍生品以规避风险和套期保值的目的出发,研究我国保险资金参与衍生品交易的必要性和可行性,这对现阶段我国保险资金的合理运用有重要的现实意义。第二部分对保险资金的运用及其投资衍生品的基本理论进行了阐述。首先,明确了金融衍生品的定义、分类以及其高杠杆性、高风险性、复杂性及虚拟性等特征。同时,从保险资金的构成、来源及其投资运用的原则等方面对保险资金的运用进行了概述,强调资金的安全性和流动性是保险资金投资运用的首要原则,而收益性是目的,多样性是资金运用的手段。最后在此前提下,对保险资金投资金融衍生品的理论及现实背景进行阐述和分析。其中资产负债管理理论主要强调资产与负债相匹配是核心,不仅是二者在总量规模上的匹配,还包括投资期限结构、成本收益及持有偿还期间的匹配等。而投资组合理论则着重投资风险的分散,通过均值-方差模型的建立,来选择确定一个在风险一定的情况下使其收益最大的资产投资组合。保险资金投资金融衍生品不仅是对现有投资组合风险的进一步分散,同时也有利于保险公司的资产负债匹配管理,并且在金融市场不断发展变化以及金融资产价格不断波动等的现实情况下,也表明了保险资金参与衍生品交易的必要性。第三部分着重于比较分析,本文选择了保险业相当发达的美国、英国和日本三个国家的保险资金投资组合状况,分析了各国保险资金投资于各项资产的比例,并简要列举了各国不同的保险监管制度。在吸收总结各国保险资金投资运用先进经验的基础上,来得出如何对我国保险资金进行有效投资运用的启示。不仅要多样化保险资金的投资渠道,优化投资结构,还要结合我国国情对保险资金投资进行合理监管。对于金融衍生品的投资,必须明确其投资目的,只能是规避风险及套期保值,而不能进行投机,以保障资金的安全性和确保保险公司拥有足够的偿付能力并最终保障被保险人的利益。第四部分具体从我国保险业的发展以及保险资金投资运用的现状、现阶段存在的问题出发,深入阐述并分析了我国保险资金投资所存在的问题,如投资结构不合理、投资收益率低及资产负债不匹配等。与前文所述发达国家保险资金的投资形成对比,并进一步分析了我国保险资金投资金融衍生品的必要性和安全性。第五部分主要是以广泛应用的风险价值VaR方法为基础,对是否投资金融衍生品的两种情况下的证券投资组合的风险进行了简要计算。本章首先对保险资金投资金融衍生品后可能面临的一些主要风险进行识别,如信用风险、市场风险、以及流动性风险等。其次,基于对VaR模型基本理论的阐述,包括VaR方法的产生、如何计算证券投资组合的VaR和单项资产的成分VaR等。通过对我国保险资金投资模型的构建,利用各变量资本市场的数据,以及Excel和Eviews的计算,对两种情况下保险资金投资组合的VaR值和成分VaR值进行了比较分析。这里为方便计算,假设我国保险资金投资组合为银行存款、股票、基金和债券,并基于发达国家的经验将投资衍生品的比例假设为3%,以沪深300指数现货价格代替股指期货作为衍生品的替代变量进行计算。结果发现在投资衍生品后,资产投资组合中各资产的风险确实降低了,从而进一步验证了我国保险资金投资于金融衍生品的可行性。但同时,作为数理统计方法的一种,YaR方法本身也存在一些缺陷,如对数据进行正态性分布的假设等,因此其结果只是作为一种参考。保险公司不能仅仅依靠数量分析来做出任何投资决策,而要全面考虑各种因素,理性决策,稳健投资,以保障资金的安全性。最后第六部分对我国保险资金投资金融衍生品从不同的角度提出了一些建议。首先,从监管层面来看,由于金融衍生品的高风险性,监管机构必须加强监管,并根据市场变化及时调整监管方式,还要结合国际上保险监管发展所呈现的新趋势,注重动态监管及“谨慎监管”的原则等。从保险公司自身来说,要对投资金融衍生品的可行性进行分析,做好前期准备以规避风险。同时更重要的是要加强提高其内部管理的水平,制定相关的投资管理制度,明确各职能部门的职责,从战略及管理层面上防范风险。当然,专业且富有经验的投资管理人才也是保险公司合理有效运用资金的重中之重,因此保险公司还需加强对人才的培养和重视。最后,从我国金融衍生品市场的角度,还需深化基础市场建设,逐步建立多层次的金融衍生品市场结构,以充分发挥衍生品对冲或规避风险的功能。总的来说,我国保险资金参与金融衍生品的交易是可行的,但还有很长的路要走。由于衍生品天然的高风险性,这不仅是对保险公司风险管理水平的考验,同时也有待于衍生品市场的发展和创新。对于保险资金投资衍生品的比例,通过不断的市场调节及保险公司的不断发展,这一投资比例将最终趋于稳定。
[Abstract]:In recent years , with the rapid development of our economy , China ' s insurance industry has achieved remarkable achievements , and the premium income and the available balance of insurance funds have been greatly increased . At the same time , how to effectively invest in insurance funds and raise its investment yield becomes an important factor in relation to the existence and development of insurance companies . Since the CIRC issued the new government of insurance funds in October 2012 , it has not yet issued transaction regulations on specific varieties . Therefore , it is also a long way to take insurance funds to participate in the investment transaction of financial derivatives . VaR ( Value at Risk ) is a kind of risk management method which is recognized and widely applied by a large number of financial enterprise groups . VaR ( Value at Risk ) is the most potential loss value that can happen under a given confidence level under a given confidence level . This article is divided into six parts altogether . The first part introduces the background and purpose of this paper . On the basis of the analysis of relevant domestic and foreign research literatures , this paper puts forward the research contents and the research methods adopted in this paper , and points out its innovation and shortage . The insurance and investment are the main two major businesses of insurance companies . The second part describes the application of insurance funds and the basic theory of investment derivatives . Firstly , the definition and classification of financial derivatives and their characteristics such as their high leverage , high risk , complexity and virtual property are discussed . The third part focuses on comparative analysis . In this paper , the author selects the insurance funds investment portfolio in three countries , such as the United States , Britain and Japan , which is quite advanced in the insurance industry , analyses the different kinds of insurance supervision system . The fourth part , from the development of the insurance industry in our country and the present situation of the application of insurance fund investment , expounds and analyzes the problems existing in the investment of insurance funds in our country , such as unreasonable investment structure , low return rate of investment and mismatch of assets and liabilities . The fifth part is mainly based on the widely used risk value VaR method , and makes a brief calculation on the risk of the portfolio investment in the two cases of whether the financial derivatives are invested . This chapter firstly identifies the main risks that may be faced after the financial derivatives are invested in the insurance funds , such as credit risk , market risk and liquidity risk . Secondly , based on the construction of the insurance fund investment model , the VaR and the VaR of the portfolio of the insurance funds are compared . In this paper , it is assumed that the portfolio of Chinese insurance funds is a bank deposit , stock , fund and bond , and the proportion of investment derivatives is assumed to be 3 % based on the experience of developed countries . In the last part , the sixth part puts forward some suggestions on the financial derivatives of insurance funds in China from different angles . First , because of the high risk of financial derivatives , the supervision institutions must strengthen supervision and adjust the supervision mode in time according to the changes of market changes . Generally speaking , China ' s insurance funds are feasible to participate in transactions of financial derivatives , but there is a long way to go . Because of the natural high risk of derivatives , this is not only the test of the risk management level of insurance companies , but also the development and innovation of derivatives markets .

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.3;F832.48

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