股指期货在我国保险资产管理公司中的运用

发布时间：2018-05-29 16:39

本文选题：保险资金资产管理 + 股指期货　；参考：《上海交通大学》2013年硕士论文

【摘要】：由于缺乏做空机制，保险资金多年来饱受A股市场动荡的困扰。在其即将获批进入股指期货市场之际，本文拟根据其现实需要，重点对保险资产管理公司运用股指期货进行套期保值的相关重点内容进行研究，为其提供一个框架性的策略解决方案。本文首先介绍了股指期货的发展背景和特点功能，分析保险资金进行套期保值的必要性，同时阐述了套期保值比率的估计模型和绩效评估方法；然后，针对α策略对股指期货套期保值进行实证研究，分别采用OLS、BVAR和GARCH模型计算最优套保比率，，同时引入套保比率调整时间窗口的情景分析，检验在不同模型和不同调整频率下的套期保值效果；其次，本文对择时套保策略和定增股票套保策略分别进行了实证研究，对其套保效果进行了分析评估；再次，针对套期保值中的基差、资金和展期等重点风险进行了分析，提出了管理建议；最后，鉴于保险资产管理公司即将获批筹建基金公司，对股指期货在其产品创新方面的运用进行了延伸性的阐述。本文得到的主要结论是：运用股指期货进行α套保可以显著地降低组合收益率的波动，OLS、BVAR和GARCH三种模型的选择对于套保效果影响不大，但套保比率调整的时间窗口对于套保效果有较大的影响；此外，基于动量和均线的择时套保策略和基于折价的定增套保策略均有较好的效果；最后，股指期货的α/β分离策略在保险资产管理公司即将面临的基金产品开发中具有广阔的运用空间。
[Abstract]:As a result of the lack of short-selling mechanism, insurance funds have suffered from the A-share market turmoil for many years. When it is about to be approved to enter the stock index futures market, according to its practical needs, this paper focuses on the relevant key contents of the insurance asset management companies using stock index futures to hedge. Provide a framework strategy solution for it. This paper first introduces the development background and characteristic function of stock index futures, analyzes the necessity of hedging of insurance funds, at the same time expounds the estimation model and performance evaluation method of hedge ratio. Based on the empirical study on the hedging of stock index futures with 伪 strategy, the optimal hedging ratio is calculated by using OLSS-BVAR and GARCH models, and the scenario analysis of adjusting time window of hedging ratio is introduced at the same time. Test the hedging effect under different models and different adjustment frequency. Secondly, this paper carries on the empirical research to the timing hedging strategy and the fixed increase stock hedging strategy, and analyzes and evaluates the hedging effect. This paper analyzes the key risks of hedging, such as base difference, capital and extension, and puts forward some management suggestions. Finally, in view of the fact that the insurance asset management company is about to be approved to set up a fund company, The application of stock index futures in product innovation is expounded. The main conclusions of this paper are as follows: using stock index futures to carry out 伪 hedging can significantly reduce the volatility of portfolio return. The choice of OLSS-BVAR and GARCH models has little effect on the effect of hedging. But the time window of arbitrage ratio adjustment has a great influence on the hedging effect. In addition, both the momentum and mean line based timing strategy and the fixed increase hedging strategy based on discount have good effect. Finally, The 伪 / 尾 separation strategy of the stock index futures has broad application space in the fund product development that the insurance asset management company will soon face.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.3;F832.51

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