基于VaR方法的保险资金债券投资风险评估

发布时间：2018-03-20 20:51

  本文选题：保险资金　切入点：债券投资　出处：《西北农林科技大学》2017年硕士论文　论文类型：学位论文

【摘要】：近年来,我国保险行业高速发展,保险资金投资业务已经成为关系保险公司生存和保险行业发展的重要因素。债券以其收益稳定的特点,与保险资金安全性、收益性等运用原则相匹配,成为保险资金运用的主要渠道,并能较好地满足保险资金运用要求。因此,债券投资的风险极大程度影响着保险公司的安全经营和保险行业的健康发展。然而,当前保险资金债券投资面临着投资风险认知不足、风险评估方法使用不当、风险管控体系薄弱等一系列问题,监管部门对保险公司的投资能力和风控能力也提出了更高要求。基于上述背景,既满足保险公司自身盈利需求,又符合监管部门风险管控要求,既能有效评估投资风险,又能实现保险资金保值增值,是当前保险行业亟需解决的重要问题。VaR作为一项风险管理工具,能够有效地对单项资产和投资组合作出风险评估,对保险公司的风险度量和监管部门的风险管控有着重要帮助。本文将VaR方法引入保险资金债券投资的风险评估,利用VaR参数法中方差——协方差的方法,选择近三年间750个交易日的债券指数,依据我国当前保险资金债券投资结构,对国债、企债、金融债、央票和中期票据五种债券及其债券组合的日收益率风险进行评估,量化出了不同债券种类及其债券组合对保险资金可能产生的最大损失。通过研究,论文最终得到了以下结论:在不同债券种类相互无关联的前提下,保险资金投资债券的收益率风险大小依次为:企债、中期票据、金融债、国债、央票;在综合考虑关联度、我国保险资金债券投资结构、单一债券对投资组合的风险贡献的基础上,某种债券对债券组合的风险影响程度从大到小依次为:金融债、企债、国债、央票、中期票据。结合上述结论,论文对保险资金债券投资的风险防范提出了对策建议。
[Abstract]:In recent years, with the rapid development of China's insurance industry, the investment of insurance funds has become an important factor related to the survival of insurance companies and the development of the insurance industry. The principle of income matching becomes the main channel for the use of insurance funds, and can better meet the requirements of the use of insurance funds. The risk of bond investment greatly affects the safe operation of the insurance company and the healthy development of the insurance industry. However, at present, the insurance fund bond investment is faced with a lack of awareness of the investment risk, and the risk assessment method is not properly used. A series of problems, such as weak risk control system, have been put forward by the regulatory authorities for the investment ability and wind control ability of insurance companies. Based on the above background, the insurance companies can meet their own profit needs. As a risk management tool, VaR is an important problem in the insurance industry, which meets the requirements of regulatory risk control and can effectively evaluate investment risk and realize the maintenance and appreciation of insurance funds. This paper introduces the VaR method into the risk assessment of insurance fund bond investment, which can effectively evaluate the risk of individual assets and portfolio, and is of great help to the risk measurement of insurance companies and the risk management of regulatory authorities. By using the method of variance-covariance in VaR parameter method, the bond index of 750 trading days in the past three years is selected. According to the investment structure of China's current insurance fund bond, the bond, enterprise bond, financial debt, and so on. The daily yield risk of five bonds and their bond portfolios of central and medium-term notes is evaluated to quantify the maximum possible loss to insurance funds caused by different bond types and their bond portfolios. Finally, the paper draws the following conclusions: on the premise that different bond types are not related to each other, the yield risk of insurance fund investment bond is: enterprise debt, medium-term note, financial debt, national debt, central note; On the basis of the investment structure of China's insurance fund bonds and the risk contribution of a single bond to the portfolio, the degree of risk impact of a certain bond on the bond portfolio is: financial debt, enterprise debt, national debt, central note, etc. Combined with the above conclusions, the paper puts forward some countermeasures and suggestions on the risk prevention of the investment of insurance funds and bonds.
【学位授予单位】：西北农林科技大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F842.4;F832.51
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本文编号：1640752