我国养老保险基金投资风险控制机制研究

发布时间：2018-06-12 11:20

本文选题：养老保险基金 + 风险控制　；参考：《西南财经大学》2013年硕士论文

【摘要】：如何改革、完善养老保险制度是各国政府关心的重大民生问题。而养老保险基金作为养老保险制度存续的物质基础,保值增值当是其投资运营管理首要达到的目标。近年来我国人口老龄化趋势加重,存量庞大的养老保险基金面临着巨大的增值压力。而要达到基金安全投资运营的目的,其中风险控制机制显得尤为关键,必须引起相当的重视。养老保险基金多元化投资所面临的风险是多样性的,有系统性风险如政策风险、市场风险、通货膨胀风险；亦有非系统改性风险如金融风险、流动性风险、操作性风险等等。考虑到金融市场的动态性,以及养老保险基金投资人、管理人和监管人之间的复杂关系,养老保险基金风险控制之路显得荆棘重重。从成熟的养老保险基金投资发展道路看,为了降低风险,其投资基本遵循了从单一到多元的发展轨迹。但需要注意的是,投资多元化又引发了新的投资风险,从而需要我们从整体角度对其进行综合控制与管理。因此,完善养老保险基金的风险控制机制,有效化解投资风险,扩大投资收益,对我国养老保险基金的存续和发展而言意义重大。近年来,海外投资成为各国养老保险基金投资的一大趋势,其国资产组合中外国金融资产的比重呈现逐步上升的趋势。这些国家的政府通过对养老基金资产种类以及资产比例的控制,保证养老基金投资营运的安全与有效,维护养老基金所有者的权益。2007年金融危机到来后仍有部分国家保证该国养老保险基金实现了正收益率。而反观国内,虽然许多养老基金总额十分庞大,但由于投资委托代理机制不完善,资本市场不成熟等等因素,导致国内投资掣肘而不得不转战国外；然而可能是由于我国养老基金投资机构不善于进行资产组合避险,亦未制定合适的投资策略,近十年来海外投资收益都不甚理想。因此本文希望从分析他国经验中得到有益借鉴,对我国的养老保险基金风险控制机制构建和发展有所启示。本文结合养老保险基金投资的背景和我国养老保险基金投资现状,分析了基金投资时面临的流程风险、委托代理、监管风险、操作风险和政策风险。在此基础上借鉴了美国和智利两国的避险经验,得出对我国养老保险基金投资的经验启示,提出构建我国养老保险基金投资风险控制机制的思路与建议。全文以提出问题、分析问题、解决问题为主要写作思路。本文综合运用系统分析与层次分析法,对养老保险基金投资的风险管理问题进行了深入剖析和创新研究。文章共分为五个章节：第一章为引言,对养老保险基金风险管理的制度、方式、分析模型等做了国内外研究成果的梳理,并对本文的写作思路、框架、内容作了概括,另外也就研究方法和文章的创新性进行了简要介绍。第二章介绍我国养老保险基金投资的制度背景以及金融危机、老龄化加重对基金投资的影响,并在此基础上提出养老保险基金实行多元化投资的必要性和可预见的经济效应。第三章分析了养老保险基金多元化投资所面临的风险：流程风险、操作风险、政策风险、监管风险、委托—代理风险。并结合国情进行分析风险的农现和产生原因。第四章通过对智利和美国养老基金投资的风险控制机制的深入介绍,总结了其各自的优势,如美国基金投资治理结构中的委托-代理机制以及智利的多元化投资风险分散机制等,最终总结出适用于我国的可借鉴之处。第五章是在前几章基础上对构建我国养老保险基金多元化投资的风险控制机制做出一定的建言和展望。主要从构建多元化投资风险管理机制,明确政府职责、建立规范的委托——代理机制,加强养老保险基金监管以及配套制度建设这几方面提出建议。本文的创新点在于：一是在结合国情的基础上,借鉴了金融危机下养老基金投资风险控制较得当的国家：美国和智利的经验,介绍其投资策略和投资组合、养老金治理的委托代理机制等方面的创新之处。强调多元化投资不仅限于渠道的多元化,也应重视主体多元化和监管多元化的问题。二是对于构建我国特色的养老基金投资风险控制方面,提出了委托代理机制构建应限制政府权力,减少政府对市场的干涉,促进基金和资本市场的互动。三是本文根据养老保险基金投资应遵循的原则和资产组合理论,结合我国目前的实际情况,提出投资组合的策略和可能的组合模式,具有较大的理论意义和实用价值。本文的不足之处在于尽管从风险管理机制、养老基金治理模式和监管模式等方面对构建我国养老基金多元化投资模式提出了一些创新性建议,但局限于参考案例的有限性,分析结果无法做到非常全面,另外未就养老基金投资风险进行量化分析,仅在定性层面作出讨论。
[Abstract]:How to reform and improve the old-age insurance system is a major concern for the government of all countries, and the endowment insurance fund is the material basis of the endowment insurance system, which is the primary goal for its investment management. In recent years, the trend of population aging is increasing, and the huge endowment insurance fund is faced with a huge amount. In order to achieve the purpose of fund safety investment and operation, the risk control mechanism is particularly critical, which must attract considerable attention.
The risk of diversified investment in endowment insurance funds is diverse, with systematic risks such as policy risk, market risk, inflation risk, and non systematic modified risks such as financial risk, liquidity risk, operational risk and so on. Considering the dynamic state of the financial market, as well as pension fund investors, managers and supervisors In order to reduce the risk, the investment in the endowment insurance fund has basically followed the development path from single to multiple. However, it is necessary to note that the diversification of investment also leads to new investment risks, which requires us. Therefore, it is of great significance to improve the risk control mechanism of the endowment insurance fund, to effectively resolve the investment risk and to expand the investment income, for the survival and development of the endowment insurance fund in China.
In recent years, overseas investment has become a major trend in the investment of endowment insurance funds in various countries. The proportion of foreign financial assets in the country's assets portfolio is increasing gradually. Through the control of the types of endowment funds and the proportion of assets, the governments of these countries ensure the safety and effectiveness of the pension fund investment operation and maintain the pension fund. After the arrival of the.2007 financial crisis, there are still some countries ensuring that the pension fund has achieved positive rate of return. However, although many of the pension funds are very large in China, the investment principal-agent mechanism is not perfect, the capital market is not mature and so on. However, it may be due to the fact that the pension fund investment institutions in our country are not good at carrying out the combination of asset portfolios and not making appropriate investment strategies, and the overseas investment returns are not ideal for the last ten years. Therefore, this paper hopes to learn from the experience of other countries and to build and develop the risk control mechanism of the old insurance fund in China. Apocalypse.
Based on the background of endowment insurance fund investment and the current situation of pension fund investment in China, this paper analyzes the process risk, principal-agent, supervision risk, operation risk and policy risk. On this basis, it draws lessons from the experience of the United States and Chile and draws the experience of the investment of endowment insurance fund in China. The paper puts forward the ideas and suggestions to construct the risk control mechanism of the pension fund investment in China. The full text is to put forward the problems, analyze the problems and solve the problems as the main writing idea.
In this paper, systematic analysis and analytic hierarchy process are used to make a thorough analysis and innovative research on the risk management of pension fund investment. The article is divided into five chapters: the first chapter is the introduction, the system, the mode and the analysis model of the risk management of the endowment insurance fund are combed at home and abroad. The second chapter introduces the institutional background of the pension fund investment in China and the financial crisis, the influence of aging on the investment of the fund, and on this basis, it is necessary for the endowment insurance fund to carry out diversified investment. The third chapter analyzes the risks faced by the diversified investment of endowment insurance fund: process risk, operational risk, policy risk, regulatory risk, principal-agent risk. And analyze the occurrence and causes of risk in combination with national conditions. The fourth chapter through the risk of investment in Chile and the United States pension fund. The control mechanism is introduced in depth, and its advantages are summarized, such as the principal-agent mechanism in the United States fund investment management structure and the diversification of the investment risk in Chile. The fifth chapter is based on the first few chapters to construct the diversified investment of the endowment insurance fund in China. The risk control mechanism makes some suggestions and prospects, mainly from the construction of diversified investment risk management mechanism, the clear government responsibility, the establishment of a standardized agency mechanism, strengthening the pension insurance fund supervision and the construction of the supporting system.
The innovation points of this article are as follows: first, on the basis of the national conditions, we draw lessons from the experiences of the United States and Chile under the financial crisis: the experience of the United States and Chile, introduce the investment strategies and portfolios, the principal-agent mechanism of pension governance and so on. It emphasizes that the diversification of investment is not only limited to the channels. The pluralism should also pay attention to the problem of diversification and diversification of the main body. Two is to build our own characteristics of the pension fund investment risk control, proposed that the construction of principal agent mechanism should restrict government power, reduce government interference in the market, promote mutual fund and capital market interaction. Three, this article is based on endowment insurance fund The principle of investment should be followed and portfolio theory, combining with the actual situation of our country, the strategy and possible combination model of investment portfolio are put forward, which have great theoretical significance and practical value. The deficiency of this article lies in the construction of China's pension from risk management mechanism, pension fund management model and supervision mode. The diversified investment model of the fund has put forward some innovative suggestions, but it is limited to the limitation of reference cases. The results of the analysis can not be very comprehensive. In addition, the quantitative analysis of the investment risk of pension fund is not quantified, and it is only discussed at the qualitative level.
【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】：F842.67;F832.48

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