中国上市寿险公司β系数估计研究

发布时间：2018-06-29 12:17

本文选题：系统风险 + β系数　；参考：《西南财经大学》2013年硕士论文

【摘要】：随着世界经济全球化进程的推进,各国之间的经济贸易联系不断的加强。经济全球化常常被比喻成是一把“双刃剑”,在给世界经济带来便利和利润的同时,也带来危机。某个金融实体或集团公司由于经营不利所造成的危机,会连锁影响到金融市场的其他主体,甚至是实体经济体。这一系列的连锁故障有可能导致整个金融体系或市场破产,这一类危机被称作是系统性风险。金融领域的系统风险不是某个单一实体或者某一集团公司所面临的破产风险,而是指由于个人,家庭,金融机构与政府的连锁故障而导致的,整个金融体系或者说是整个金融市场所面临濒临崩溃的风险。金融危机的爆发,美国股市低迷,影响AIG保险公司的衍生品的投资,导致其濒临破产,这就是系统风险所带来的严重危害的实际案例。本文对其进行了详尽的剖析,深入了解系统风险对保险公司经营业务的危害。本文深入分析AIG经营中所受到的系统风险的影响,为分析中国保险公司是否受到了系统风险的影响提供实践检验。系统风险的定量研究可以追溯到1952年。当年,马科维茨首创了风险的定量研究,他通过严谨的数理推理创造性的提出了分散投资与效率组合投资理论,规范性地分析了风险厌恶者如何选择最优的投资组合。随后,W. Shape, J. Lintner以及J. Mossin三位经济学家分别研究并得出了近乎一致的理论,也就是CAPM模型(Capital asset pricing model,资本资产定价模型),对系统风险进行定价。在CAPM模型中,β系数作为一个参数,用来衡量标的资产的风险情况,也就是标的风险相对于市场的投资收益率的波动情况。本文从β系数出发,研究上市寿险公司的保险资金投资业务所受到的系统风险大小,判断当前中国上市寿险公司的风险状况。论文第一部分绪论首先阐述了金融体系系统风险的内涵、特征、影响；随后详尽描述了AIG在金融危机爆发后的经营状况,并对产生这样后果的主要原因进行了分析。这一部分是文章的研究背景。绪论的第二部分则着重在研究的内容和方法方面。作为风险管理中的关键步骤之一的风险衡量,文章使用了β系数用来测量证券或证券组合相对于总体市场的波动性。β系数描述了某一证券或投资组合变动与证券市场的平均收益变动之间的数量关系,能够简单清晰明了的明确证券市场收益率波动对于上市保险公司收益率的影响程度。绪论的第三部分是论文的创新之处。过去的研究文献中专门从β系数入手研究市场投资收益的文章较多,但是使用β系数衡量寿险行业系统风险的文献较少。论文第二部分文献研究综述。从理论层面,回顾了中外学者关于β系数的研究发展历程。文献综述的第一部分梳理了西方学者的研究成果。从1952年马科维茨的分散投资和效率组合投资理论开始,伴随这CAPM模型的产生,西方学者对于β系数的研究不断的深入,企图通过对于β系数的研究,增加对证券市场的预测估计能力,提高投资收益。文献综述的第二部分阐述了我国关于β系数的研究成果。我国对β系数的研究历史较短,并且都是在西方的研究基础之上进行的,偏向于对我国市场的分析和预测。由于我国的证券市场发展较晚,历史数据较少,并且市场环境与西方有较大不同,使用我国的数据往往非但不能得出西方学者的模型结果或者理论成果,更会出现与之相悖的结论。论文第三部分介绍与β系数密切相关的CAPM模型。CAPM模型就是用来系统风险进行定价的模型,β系数是模型中所考察的投资标的,即投资组合的市场风险系数。本文从CAPM模型的框架、模型中各参数的涵义、假设条件、使用局限性以及优点对资本资产定价模型进行了较为详尽的阐述,为接下来的实证分析提供了理论支持。论文第四部分美国AIG和中国上市寿险公司β系数的实证研究。实证研究的第一个部分,使用最基本的一元线性回归方程。第一步是选择美国2008年金融危机发生前、发生中、以及发生后三段时间,使用AIG公司在当时的日均收益率和证券市场的日均收益率,建立回归方程,计算β系数,了解美国股市对于AIG公司的投资收益的影响情况,也就是AIG公司所受到的系统风险情况。第二步是选择中国当前时期,四家上市的寿险公司(集团)的股票,选择相同维度的数据,分别计算出来四个β值。第三步,将中美两组数据中的β值进行对比分析,初步判断中国寿险公司的系统风险状况。实证研究的第二部分,则使用CAPM模型回归分析,选取的数据样本和第一部分完全一样,这一部分的实证可以看做是对第一部分实证研究所得出来的β值以及实证结果的验证。论文第五部分中国寿险业系统风险管理的举措。本文借鉴AIG应对金融危机的措施,建议中国寿险公司建立一套较为完善的系统风险预警系统,更加充分利用的再保险机制,建立自上而下的宏观审慎监管制度,更为关键的是保险行业回归保障本质,保险公司应当在保证传统保险产品稳健经营的前提之下,再量力推行创新性的保险产品和金融衍生品投资业务,否则系统风险将会快速的蔓延和影响到保险公司。本文可能的创新之处如下：首先,过去的研究文献中专门从β系数入手研究市场投资收益的文章较多,但是使用p系数衡量寿险行业系统风险的文献较少。论文的一大特点不是在评估和预测未来的β系数能否为投资者带来投资收益,而是使用当前的已经存在的β系数来考察寿险公司投资收益率与整个金融市场收益率波动的相关关系,观察寿险公司当前是否容易受到市场波动,衡量寿险公司当前时期的系统风险大小,以期提出相关措施以规避风险,增强公司经营的稳健性。其次,保险行业与资本市场紧密联系背景下如何防范寿险公司可能遭遇的系统风险。本文借鉴AIG应对金融危机的措施,创新性地提出相关合理化建议,如中国寿险公司应建立一套较为完善的系统风险预警体系,加强风险限额的科学管理,更加充分利用的再保险机制,建立自上而下的宏观审慎监管制度。本文存在的不足之处包括以下几个方面：实证部分对β系数值的回归分析,不足之处主要包括以下三个方面：第一本文模型简单,涉及的参数较少,保险公司投资业务所受到的系统风险的来源仅仅考虑了其所在的证券市场的平均收益率。若该一元回归方程有较好的拟合度,保险公司的投资收益率则与其市场收益率相关关系则较为紧密,市场对个体的影响则较为显著。反之,方程拟合度较差,市场对个体的影响则不显著。这就导致了文章的第二个不足之处。第二,仅仅通过中国四家保险公司的回归方程的可决系数较小,β系数的有效性较弱,很难判断市场收益率与某家保险公司的收益率之间的相关关系,因此只能认为其相关性较弱,因而判断系统风险不显著。第三,难以验证β系数的有效性。这将是今后研究中亟待解决的几个问题。
[Abstract]:With the advancement of the globalization of the world economy, economic and trade relations between countries are constantly strengthened. Economic globalization is often figurated as a "double-edged sword", which brings convenience and profit to the world economy as well as a crisis. A financial entity or group company will be linked to a crisis caused by the adverse operation. The rest of the financial market, even the entity economy, can lead to a whole financial system or a market bankruptcy, a crisis called systematic risk.
The systemic risk in the financial sector is not the risk of a single entity or a group of companies, but the risk of the collapse of the entire financial system or the whole financial market, as a result of a chain of failures between individuals, families, financial institutions and the government. The outbreak of the financial crisis and the downturn in the US stock market, The investment in the derivatives of the AIG insurance company, which leads to the insolvency, is the actual case of the serious harm caused by the system risk. This paper makes a detailed analysis of it and deeply understands the harm of the system risk to the business of the insurance company. This paper analyzes the impact of the systemic risk in the AIG business and analyzes the impact of the system risk. Whether China's insurance companies are affected by system risk provides practical tests.
The quantitative study of system risk can be traced back to 1952. In the year of the year, Markowitz first created a quantitative study of risk. Through rigorous mathematical reasoning, he creatively proposed the portfolio investment and efficiency portfolio theory, and standardized how risk aversion chose the best portfolio. Then, W. Shape, J. Lintner, and J. Mo Ssin three economists respectively study and draw near consistent theory, that is, the CAPM model (Capital asset pricing model, capital asset pricing model), pricing system risks. In the CAPM model, the beta coefficient is used as a parameter to measure the risk of the underlying assets, that is, the risk of the underlying risk relative to the market. In this paper, based on the beta coefficient, this paper studies the systemic risk of the insurance fund investment business of the listed life insurance companies, and judges the risk status of the listed life insurance companies in China.
The first part of the paper introduces the connotation, characteristics and influence of the financial system risk, and then describes the operation status of AIG after the outbreak of the financial crisis, and analyzes the main causes of the consequences. This part is the research background of the article. The second part of the Xu theory focuses on the content and side of the research. As one of the key steps in risk management, the article uses the beta coefficient to measure the volatility of the portfolio or portfolio relative to the overall market. The beta coefficient describes the quantitative relationship between the change of a portfolio or the portfolio change and the change in the average income of the stock market, which can be clearly defined clearly and clearly. The third part of the introduction is the innovation of the paper. In the past research literature, there are more articles on the income of market investment from the beta coefficient, but there are few literature to use the beta coefficient to measure the system risk of life insurance industry.
The second part of the paper is a literature review. From the theoretical level, it reviews the research and development of the Chinese and foreign scholars on the beta coefficient. The first part of the literature review has combed the research results of western scholars. From 1952, the distributed investment and efficiency portfolio theory of Markowitz began with the emergence of this CAPM model. The second part of the literature review expounds the research results of our country's beta coefficient. The history of our research on the beta coefficient is short, and it is based on the western research, and is biased towards the study of the beta coefficient. The analysis and prediction of China's market, because of the late development of China's securities market, less historical data, and the market environment is very different from the west, the use of our country's data often can not come to the western scholars' model results or theoretical results, and more likely to appear contrary to the conclusion.
The third part of the paper introduces the CAPM model.CAPM model, which is closely related to the beta coefficient, which is a model for pricing system risk. The beta coefficient is the investment mark in the model, that is, the market risk factor of the portfolio. This paper from the framework of the CAPM model, the meaning of the parameters in the model, the assumptions, the limitation and the advantages of the model. Capital asset pricing model is elaborated in detail, which provides theoretical support for the next empirical analysis.
The fourth part of the thesis is the empirical study on the beta coefficient of AIG and China's listed life insurance companies. The first part of the empirical study uses the most basic linear regression equation. The first step is to select the daily average rate of return and the stock market of AIG company at that time before the 2008 financial crisis occurred in the United States and the three periods after the occurrence of the financial crisis. The daily return rate of the field, the establishment of the regression equation, the calculation of the beta coefficient, to understand the impact of the US stock market on the investment income of AIG company, that is, the system risk of the AIG company. The second step is to select the shares of the four listed life insurance companies (Group) in the current period of China and choose the same dimensions of data, respectively. Four beta value. Third step, compare and analyze the beta values of the two sets of data between the two groups of China and the United States and preliminarily judge the system risk status of Chinese life insurance companies. The second part of the empirical study uses the CAPM model regression analysis, and the selected data samples are exactly the same as the first part. This part of the empirical study can be regarded as the first part of the empirical study. The obtained beta values and the empirical results are verified.
In this paper, the fifth part of China's life insurance system risk management measures. This article draws on the measures taken by AIG to deal with the financial crisis, and suggests that China's life insurance company establish a set of more perfect system risk early warning system, more fully utilized reinsurance mechanism, and set up a top-down macro prudential supervision system, and more critical is the return of the insurance industry. In essence, insurance companies should carry out innovative insurance products and financial derivatives investment business under the premise of ensuring the steady operation of traditional insurance products, otherwise the system risk will spread quickly and affect the insurance company.
The possible innovations in this paper are as follows:
First, there are many articles in the past research literature on market investment income from the beta coefficient, but there are few literature to use p coefficient to measure the system risk of life insurance industry. One of the main features of the paper is not to assess and predict whether the future beta coefficient can bring investment returns to investors, but using the existing beta system. To examine the relationship between the investment returns of life insurance companies and the volatility of the whole financial market, to observe whether the life insurance companies are vulnerable to market volatility at present and measure the system risk of the life insurance company at the present time, in order to put forward relevant measures to avoid risks and enhance the robustness of the business.
Secondly, how to prevent the system risk that the life insurance companies may encounter under the close contact of the insurance industry and the capital market. This article draws on the measures of the AIG to deal with the financial crisis, and puts forward the relevant rationalization proposals innovatively. For example, China's life insurance company should establish a set of more perfect system risk early warning system and strengthen the scientific management of the risk limit. We should make full use of the reinsurance mechanism and establish a top-down macro prudential supervision system.
The shortcomings of this paper include the following aspects:
The empirical part of the regression analysis of the value of the beta system, the deficiency mainly includes the following three aspects: first, the model is simple and the parameters are less involved. The source of the system risk of the insurance company's investment business is only considering the average return of the stock market. The relationship between the rate of return on investment and the rate of return on the market is more closely, and the market has a more significant impact on the individual. On the contrary, the equation of the equation is poor and the influence of the market on the individual is not significant. This leads to the second shortcomings of the article. Second, only through the regression equation of four insurance companies in China can be decided. The coefficient is small and the validity of the beta coefficient is weak. It is difficult to judge the relationship between the rate of market return and the yield of a certain insurance company, so it can only be considered that its correlation is weak, so it is not significant to judge the risk of the system. Third, it is difficult to verify the validity of the beta coefficient. This will be a few problems to be solved urgently in the future research.
【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

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