基于压力测试的寿险公司流动性风险管理研究

发布时间：2018-03-17 04:36

本文选题：流动性风险　切入点：压力测试　出处：《湖南大学》2014年硕士论文　论文类型：学位论文

【摘要】：流动性风险一直是商业银行风险管理的重要内容之一。同样作为负债经营的金融机构，寿险公司也面临着流动性风险，尤其是在近几年寿险业分红险集中满期和退保风险加大的情况下，寿险公司面临着巨大的流动性需求。当寿险公司对保险给付或退保金等其他现金支出不能及时支付时，流动性风险就出现了。因此，对寿险公司进行流动性风险管理是非常有必要的。流动性风险的衡量通常有指标分析法和现金流量法两种。指标分析法是静态方法，反映金融机构某个时点上的流动性水平及其风险状态；现金流量法是动态方法，反映金融机构一段时间内的流动性状况。现金流量法考虑了客户行为以及金融机构获得流动性的能力，相对静态指标来说是比较合适的流动性风险衡量方法。本文把压力测试运用到现金流量法中，观察寿险公司在压力情景下的流动性状况，，根据压力测试的结果进行流动性风险管理。文章详细分析了对寿险公司流动性风险进行压力测试的步骤，并选定了某两家寿险公司（A公司和B公司）进行了具体的应用研究。实证部分本文选取流动性缺口作为衡量A公司和B公司流动性风险的衡量指标，确定了生存给付、退保率、新单保费为影响这两家公司流动性风险的风险因子，用假设情景法设计压力情景，对两家公司进行了压力测试。通过对这两家公司进行压力测试，观察其在压力情景下的流动性状况，判断这两家公司在压力情景下出现流动性风险的可能性。测试结果表明，影响A公司流动性风险的主要风险因子为生存给付及退保率；在短期内即使在极端不利情景下，A公司的流动性也是充足的，不会出现流动性风险；在长期持续的压力情景下，A公司可能会出现流动性风险；因为满期给付无法避免，所以A公司必须防范退保风险，采取措施避免退保危机的出现。影响B公司流动性风险的主要风险因子为退保率和新业务保费收入，在短期和长期压力测试中B公司的流动性都是充足的，不会出现流动性风险，但是B公司还是要防范退保风险，积极提高保费收入。文章最后对我国寿险公司应用压力测试进行风险管理和寿险公司进行流动性风险管理提出了几点建议。
[Abstract]:Liquidity risk has always been one of the important contents of risk management in commercial banks. As a financial institution operating in debt, life insurance companies also face liquidity risks. Especially in recent years, life insurance companies are faced with a huge demand for liquidity under the circumstances of concentrated dividend payouts and increased risk of withdrawal. When life insurance companies are unable to pay their insurance payments or other cash payments, such as refund funds, in a timely manner, Therefore, it is necessary to manage the liquidity risk of life insurance companies. The measurement of liquidity risk is usually divided into two kinds: index analysis method and cash flow method. Index analysis method is a static method, which reflects the liquidity level and its risk state at a certain point in a financial institution, while the cash flow method is a dynamic method. The cash flow method takes into account the behavior of customers and the ability of financial institutions to obtain liquidity. It is a more suitable method to measure liquidity risk compared with static indicators. In this paper, the stress test is applied to the cash flow method to observe the liquidity of the life insurance company under the stress situation. Based on the results of the stress test, the paper analyzes the steps of testing the liquidity risk of the life insurance company in detail. In the empirical part, the liquidity gap is selected as the measure of liquidity risk of A company and B company, and the survival payment rate and reinsurance rate are determined. The new single premium, as a risk factor affecting the liquidity risk of the two companies, designed the stress scenarios using the hypothetical scenario approach and conducted stress tests on the two companies. The liquidity status of the two companies under the stress scenario was observed and the possibility of liquidity risk in the two companies was judged. The test results showed that the main risk factors affecting liquidity risk of company A were survival payment and the rate of reinsurance. In the short term, even in extreme adverse scenarios, the liquidity of company A is sufficient and there is no liquidity risk; in a long-term and continuous stress scenario, the liquidity risk may arise; because the full payment cannot be avoided, So Company A must guard against the risk of reinsurance and take measures to avoid the crisis. The main risk factors affecting the liquidity risk of Company B are the rate of withdrawal and the premium income of new business. In both short-term and long-term stress tests, the liquidity of Company B is sufficient and there will be no liquidity risk. However, Company B should guard against the risk of withdrawal and actively increase the premium income. Finally, some suggestions are put forward for life insurance companies to apply stress test to risk management and life insurance companies to carry out liquidity risk management.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F842.3

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