基于市场化运营的养老保险基金资产配置研究

发布时间：2019-02-17 12:24

【摘要】：随着养老保险制度改革的进一步推进，统账结合制下养老保险基金资产配置效率的提高成为新时期亟需解决的重要议题。高通货膨胀，市场利率走低以及单一的投资渠道很大程度上限制了中国养老保险基金投资收益的提高，不利于制度的可持续发展。若能够坚持公平与效率，安全与稳定原则，稳步探索可持续发展的市场化运营模式，审慎拓宽养老保险基金的投资范围，将有助于提高养老保险基金的收益水平，因此本文将在人口老龄化以及通货膨胀居高不下的现实背景下，研究探讨市场化运营模式下我国养老保险基金的最优资产配置。本文首先对国内外养老保险基金投资运营的相关文献进行了系统梳理。国外关于养老保险的研究始于对制度模式的探讨以及养老保障制度再分配效应的研究。随着制度的不断演进，过渡到对养老金投资运营管理的探索与研究。国内关于养老保险基金的研究首先是养老保险制度转轨过程中的制度选择问题；其次，是制度变迁过程中的基金缺口以及隐性债务研究；最后，是新时期对于养老保险基金投资运营管理问题的探讨。在研究的具体过程中，，由于体制的差异，国内外研究方法与结果也存在差异，但是国内外关于养老保障问题的研究，目的都是制度的可持续发展以及社会的公平与效率。理论研究部分首先基于单指数市场模型对我国养老保险基金的市场化运营模式进行理论分析。结果显示完全市场化运营模式下，资产持有率受通货膨胀以及资本市场利率的共同影响。部分市场化运营模式下，当通货膨胀率小于资本市场收益率时，无风险资产持有率同通货膨胀率反向变动。其次，利用VaR与RAROC指标构建了风险调整后的均值-VaR模型作为实证模拟的模型基础。实证部分利用模拟估值等方法，对不同市场化运营模式下的养老保险基金投资组合以及资产配置进行实证测算，并模拟了战略型资产配置方式的动态调整过程。结果显示：部分市场化条件下投资组合的VaR值均小于完全市场化模式，RAROC大于完全市场化模式。同时，养老保险基金对风险资产的偏好程度也有所差异，更偏向于能够带来稳定收益的固定收益类资产，而对股票资产表现出一定的谨慎原则。最后，根据分析结果提出了相应的政策建议，在制定养老保险投资策略的过程中，明确的投资目标以及风险预测是养老保险基金资产配置的关键环节，应该逐步扩大养老保险基金的投资范围。加强与专业基金管理机构的合作，以提高自身养老保险基金投资运营的专业化水平，同时监管制度的完善以及投资运营管理相关法律法规的制定将有助于投资风险的有效控制。
[Abstract]:With the further development of the reform of the pension insurance system, the improvement of the asset allocation efficiency of the pension insurance funds under the combined system of unified accounts has become an important issue that needs to be solved in the new period. High inflation, low market interest rate and single investment channel greatly limit the improvement of investment income of Chinese pension insurance fund, which is not conducive to the sustainable development of the system. If we can adhere to the principles of fairness and efficiency, safety and stability, explore the market-oriented operation mode of sustainable development steadily, and prudently widen the investment range of pension insurance fund, it will help to improve the income level of pension insurance fund. Therefore, under the background of aging population and high inflation, this paper will study the optimal asset allocation of Chinese pension insurance fund under the market-oriented operation mode. In this paper, the investment and operation of pension funds at home and abroad are systematically combed. The research on endowment insurance abroad begins with the study of the system model and the redistribution effect of the old-age security system. With the continuous evolution of the system, the transition to the pension investment management exploration and research. The research on endowment insurance fund in China is firstly about the system selection in the process of transition of pension insurance system, secondly, about the fund gap and hidden debt in the process of institutional change. Finally, this paper discusses the investment and operation management of pension fund in the new period. In the specific process of the study, due to the differences in system, there are differences in research methods and results at home and abroad. However, the purpose of the research on old-age security at home and abroad is the sustainable development of the system and the fairness and efficiency of the society. Firstly, based on the single index market model, the theoretical analysis of the market-oriented operation mode of endowment insurance fund in China is carried out. The results show that the asset holding rate is affected by inflation and capital market interest rate under the completely market-oriented operation mode. In the partial market-oriented operation mode, when the inflation rate is less than the return rate of capital market, the risk-free asset holding rate changes inversely with the inflation rate. Secondly, the average VaR model after risk adjustment is constructed by using VaR and RAROC as the model foundation of empirical simulation. The empirical part uses the simulation valuation and other methods to measure the pension fund portfolio and asset allocation under different market-oriented operating modes and simulates the dynamic adjustment process of strategic asset allocation. The results show that the VaR value of the portfolio is lower than that of the complete marketization model, and the RAROC is larger than that of the complete marketization model under the condition of partial marketization. At the same time, the degree of pension fund preference to risk assets is also different, more inclined to the fixed income assets which can bring stable income, and shows a certain cautious principle to the stock assets. Finally, according to the results of the analysis, the corresponding policy recommendations are put forward. In the process of formulating the investment strategy of pension insurance, the clear investment target and risk prediction are the key link of the asset allocation of the pension insurance fund. Should expand endowment insurance fund investment range step by step. Strengthening the cooperation with professional fund management institutions to improve the professional level of investment and operation of pension insurance funds, at the same time, the improvement of supervision system and the establishment of relevant laws and regulations on investment operation management will contribute to the effective control of investment risk.
【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F842.67

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