我国企业年金基金投资风险控制的思路和方法探索

发布时间：2018-04-27 06:30

本文选题：企业年金基金 + 投资风险　；参考：《西南财经大学》2013年硕士论文

【摘要】：随着全球老龄化趋势的不断加剧、各国公共养老金制度的财务危机,多层次的养老保险体系正在不断的被各国政府重视和完善。企业年金作为第二层次补充养老保险的重要性也在日益突出。它在完善养老保险制度、分担政府养老责任以及提高退休职工的生活水平方面发挥着越来越重要的作用。目前世界各国绝大数国家的私人养老金计划,也就是企业年金计划大都采用基金积累制模式,随着企业年金的不断发展必定积累起庞大的基金资产,这就决定了企业年金基金从建立之初就会与金融市场有着千丝万缕的联系。一方面企业年金基金的发展将会推动资本市场的发展和创新；另一方面,企业年金基金的投资绩效和风险控制水平依赖于资本市场的完善以及基金投资工具的适用性。但是包括中国在内的世界资本市场风云变幻,各类风险充斥,威胁着企业年金基金的安全,特别是在2008年金融危机爆发给养老基金带来重大的损失之后,引起各界对政府监管的职责和批评,企业年金基金的保值增值、风险控制问题始终成为企业年金基金管理的热点问题。而本文就是在此背景下主要讨论了企业年金基金投资风险控制的思路和方法探索,根据既定的理论数据文献基础上,进行整理分析研究。论文共分为六章,具体内容和观点如下：第一章分析我国企业年金基金和风险管理的基本理论,以及中国企业年金基金投资管理的原则和现状。企业年金基金投资基本原则是安全性、效益性和流动性标准,但是论文从企业年金基金的性质和资本市场出发,提出在遵循基本原则的前提下,企业年金还有遵循长期投资、价值投资、责任投资。在企业年金基金的风险管理理论中,论文分析研究了传统的风险管理理论和现代风险管理理论,这些都是企业年金基金风险控制的基础理论。第一章的最后分析研究了我国当今企业年金基金投资的现状,主要存在着投资主体“空壳化”、投资风险控制水平较低、监管力度不够的现状。第二章分析研究了金融危机对世界包括中国在内的养老金的影响,并在此背景下,反思企业年金基金投资风险过程中应注意的问题。金融危机对企业年金基金造成的直接影响就是资产的大幅度缩水,越是权益性投资比重大的损失越是严重,而同时也造成企业年金基金积累制由DB型向DC型的转变。但是对于中国的企业年金基金投资并未受金融危机过多影响,形势比较乐观,这个要得利于我国相对封闭的资本市场和企业年金基金投资实行严格的数量限制的监管模式。但是从世界范围来说,这次的金融危机值得我们对企业年金基金投资管理的反思：安全和效益的抉择；监管与金融创新的博弈；多元化投资渠道的方向；雇主、雇员、政府三者在投资损失中的责任等。第三章从中国的实际出发,分析影响中国企业年金基金投资风险控制的内部和外部因素。外部因素主要包括中国证券市场和政府监管两个方面；其中,政府监管主要体现在对企业年金基金投资管理的监管和对金融市场的监管两个方面。而中国企业年金基金投资管理的混业经营和金融混业经营背景,不适合现如今我国正在实行的分业经营监管模式,金融混业背景下的企业年金基金监管迫在眉睫。而在企业年金基金投资内部影响因素则是我国基金信托投资管理模式中存在的道德风险和逆选择以及投资主体空壳化问题。第四章则从具体的技术,包括风险度量技术和资产负债管理技术在中国的实施情况做出一些分析和思考。国际上对于金融的度量主要有方差或半方差法、VaR、CVaR等,但是对于各自都有自身的一些弊端。而对中国企业年金基金投资管理普遍实施的资产负债管理,本文再结合中国企业年金基金自身特点和情况,提出了应当从制度建设、技术运营和创新方面以及人才的培养和引进加以实施,值得注意的是人才标准应是技术和素质的双要求,以及在从基金管理人方向企业年金基金投资风险预算的探索思路。第五章从世界范围来具体分析了美国DC型私人养老金计划、智利和香港地区企业年金基金投资风险控制的经验和教训,在对其监管制度的分析、投资渠道的选择以及政府的责任等方面研究了各自的模式。最后提出了增加企业年金基金市场化运作的竞争机制、政府合理的投资收益担保机制、企业年金基金投资监管机制的调整和个人投资选择权的参与等。最后一章,论文提出了应在企业年金基金在整个投资风险控制的过程中,首先完善我国企业年金基金投资担保机制,从担保方式的选择,担保基金的积累、担保的标准等方面都提出了思路；加强对企业年金基金投资的监管,强化企业年金基金入市风险控制与风险监管以及适时的调整监管模式的思路；加强企业年金基金投资风险的预警机制的思路等。本文可能的创新处：对于企业年金基金投资风险控制的相关问题,国内外都较多的研究,但是与其他文献相比,论文可能的创新之处有：对于企业年金基金投资风险控制的相关问题,国内外都研究的比较多,但是与其他文献相比,论文可能的创新之处有：(1)论文研究了在金融危机的背景下,在对国际包括中国企业年金基金投资状态的分析整理,提出了对后金融危机背景下,对于企业年金基金投资风险控制的一些反思和思考,比如安全和效益的博弈、创新与监管的博弈、多元投资渠道的开拓方向以及雇主、雇员和政府在企业年金基金投资风险损失的责任等；(2)论文在根据企业年金基金自身的性质和中国资本市场的情况,提出在企业年金基金投资在遵循基本的投资的安全性、流动性、效益型的原则基础上,强调了还需遵循长期投资、价值投资和责任投资的原则；(3)论文对企业年金基金投资风险的度量方法进行了分析总结,并得出各自的优缺点以及在实践运用中的不足之处,同时指出在完善中国企业年金基金资产负债管理的一些建议和思考；(4)最后在对国内外企业年金基金投资风险控制的经验上提出自己的一些政策建议,企业年金基金投资担保模式的建议；监管模式的调整；强化企业年金基金入市风险控制的监管；风险预警机制的完善以及人才的培养引进等。
[Abstract]:With the increasing trend of the global aging, the financial crisis of the public pension system in various countries, the multi-level pension system is being paid attention to and perfected by the governments of various countries. The importance of the enterprise annuity as the second level supplemental pension insurance is becoming more and more important. It is playing a more and more important role in improving the living standard of retired workers. At present, the private pension plan of the vast number of countries in the world, that is, the enterprise annuity plan mostly adopts the model of fund accumulation, and will accumulate the huge fund assets with the continuous development of the enterprise annuity, which determines the enterprise annuity fund. On the one hand, the development of the enterprise annuity fund will promote the development and innovation of the capital market. On the other hand, the investment performance and risk control level of the enterprise annuity fund depends on the perfection of the capital market and the applicability of the capital investment tools.
However, the world capital market, including China, is changeable, all kinds of risks are flooded, threatening the security of the enterprise annuity fund, especially after the 2008 financial crisis has brought great losses to the pension fund, which has caused the responsibility and criticism of the government supervision, the value of the enterprise annuity fund is maintained and added, and the risk control is always the problem. It has become a hot issue in the management of enterprise annuity fund, and this paper is the main discussion of the thinking and method of the risk control of the enterprise annuity fund investment in this context, and carries out an analysis and Analysis on the basis of the established theoretical data literature.
The thesis is divided into six chapters. The specific contents and viewpoints are as follows:
The first chapter analyzes the basic theory of enterprise annuity fund and risk management, and the principle and present situation of the investment management of Chinese enterprise annuity fund. The basic principles of the enterprise annuity fund investment are security, benefit and liquidity standard. However, the paper, starting from the nature and capital market of the enterprise annuity fund, proposes to follow the basic principles. Under the premise, the enterprise annuity also follows the long-term investment, the value investment, the responsible investment. In the risk management theory of the enterprise annuity fund, the thesis analyzes and studies the traditional risk management theory and the modern risk management theory, these are the basic theories of the risk control of the enterprise annuity fund. The current situation of investment in enterprise annuity fund is mainly due to the "empty shell" of investment entities, low level of investment risk control and inadequate supervision.
The second chapter analyzes the impact of the financial crisis on the pension of the world, including China, and in this context, to reflect on the problems that should be paid attention to in the process of investment risk in the enterprise annuity fund. The direct impact of the financial crisis on the enterprise annuity fund is the large shrinkage of the assets, the more the equity investment is more than the significant loss. At the same time, it also causes the transformation of enterprise annuity fund accumulation from DB type to DC type. However, the investment of Chinese enterprise annuity fund has not been influenced too much by the financial crisis. The situation is more optimistic. This will benefit from the strict regulatory model of the relatively closed capital market and the investment of the enterprise annuity fund. But in the world, the financial crisis deserves our reflection on the investment management of the enterprise annuity fund: the choice of security and efficiency; the game of supervision and financial innovation; the direction of diversified investment channels; the three parties of employers, employees and government in the loss of investment.
The third chapter analyzes the internal and external factors affecting the risk control of Chinese enterprise annuity fund investment from the reality of China. The external factors mainly include the two aspects of China's securities market and government supervision, and the government supervision is mainly embodied in the supervision of the investment management of the enterprise annuity fund and the regulation of two parties to the financial market. The mixed operation and financial mixed operation background of the Chinese enterprise annuity fund investment management is not suitable for the division management mode which is now being implemented in our country. The supervision of the enterprise annuity fund under the background of the financial mixed industry is imminent. The internal influence factors of the investment of the enterprise annuity fund are the management models of the fund trust investment of our country. The moral hazard and adverse selection in the formula and the problem of shell of investors.
The fourth chapter makes some analysis and thinking from specific technology, including risk measurement technology and asset liability management technology in China. The measurement of finance mainly includes variance or semi variance method, VaR, CVaR, etc., but there are some disadvantages to each of them. According to the characteristics and conditions of the Chinese enterprise annuity fund, this paper puts forward that it should be implemented from the system construction, technical operation and innovation, and the training and introduction of talents. It is worth noting that the talent standard should be the dual requirements of technology and quality, and the year of the fund manager to the enterprise. The exploration of investment risk budget of gold fund.
The fifth chapter analyzes the American DC private pension plan, the experience and lessons of the investment risk control of the enterprise annuity fund in Chile and Hongkong, and studies the model of its regulatory system, the choice of investment channels and the responsibility of the government. Finally, it puts forward an increase in the enterprise annuity fund. The competition mechanism of the market operation, the reasonable government investment return guarantee mechanism, the adjustment of the investment supervision mechanism of the enterprise annuity fund and the participation of the individual investment choice.
In the last chapter, the paper puts forward that in the process of controlling the whole investment risk in the enterprise annuity fund, we should first perfect the investment guarantee mechanism of the enterprise annuity fund, and put forward the idea from the choice of the guarantee mode, the accumulation of guarantee fund, the standard of guarantee, and so on; strengthen the supervision of the investment of the enterprise annuity fund and strengthen the year of the enterprise. The thinking of the risk control and risk regulation of the gold fund and the timely adjustment of the supervision mode, and the thinking of strengthening the early warning mechanism of the investment risk of the enterprise annuity fund.
The possible innovation of this article:
There are many researches on the risk control of enterprise annuity fund investment both at home and abroad.
There are many researches on the risk control of the enterprise annuity fund investment risk, but compared with other literature, the possible innovations of the paper are as follows: (1) the paper studies the analysis and arrangement of the investment state of the Chinese enterprise annuity fund under the background of the financial crisis, and puts forward the background of the post financial crisis. Some reflection and thinking about the risk control of the enterprise annuity fund investment risk, such as the game of safety and benefit, the game of innovation and supervision, the development direction of the multiple investment channels and the responsibility of employers, employees and government in the investment risk of the enterprise annuity fund. (2) the paper is based on the nature and the nature of the enterprise annuity fund itself. On the basis of the principle of security, liquidity and benefit based on the basic investment, it emphasizes the principle of following the principle of long-term investment, value investment and responsible investment. (3) the paper analyses and summarizes the measurement methods of investment risk of the enterprise annuity fund, and draws a conclusion. At the same time, it points out some suggestions and Thoughts on improving the asset and liability management of Chinese enterprise annuity fund, and (4) finally, it puts forward some policy proposals and suggestions on the investment guarantee model of the enterprise annuity fund in the experience of the risk control of the domestic and foreign enterprise annuity fund investment. The adjustment of regulatory mode; strengthening the supervision of the risk control of enterprise annuity fund entering the market; perfecting the risk early warning mechanism and introducing talents into training.

【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】：F832.48;F842.6

【参考文献】