基于Copula-CoVaR的中国社保重仓股系统性市场风险度量

发布时间：2018-01-17 23:23

本文关键词：基于Copula-CoVaR的中国社保重仓股系统性市场风险度量　出处：《上海师范大学》2013年硕士论文　论文类型：学位论文

更多相关文章： 社保基金 CoVaR 风险相依 Copula函数

【摘要】：全国社会保障基金是国家中央政府集中的社会保障资金，作为我国重要的战略储备，已经受到了学术界越来越多的关注。同时，社保基金也面临着诸多问题，，其中最主要的是社保基金的保值增值问题。随着我国老龄化进程的不断加快，社会保障基金支出日益增加，仅仅依靠政府的财政补贴，已经远远不能满足对于社会保障基金的需求，只有通过更有效的进行社保基金的投资运作从而获得更大的收益来支付日益增加的社保基金需求。2001年以来，随着通货膨胀率的不断增加，社保基金的保值增值问题也显现出来，仅仅通过风险较低，但收益率也较低的银行存款以及国债投资已经很难满足社保基金的基本收益率要求。社会保障基金作为社会保险事业的物质基础，在当前严峻的形势下，如果社保基金不能实现保值增值，当出现支付危机时，社会保障基金的社会保障功能不能实现，社会保险制度将无法正常运行，势必会影响整个社会的稳定与发展。因此，社保基金必须拓宽投资渠道，来获得更大的收益率从而达到保值增值的目的。从目前中国的金融环境而言，股票市场无疑成为了最直接最有效提高社保基金收益率的投资渠道。而股票市场在提供高收益率的同时，也给社保基金的投资带来了巨大的风险。因此本文运用统计学、金融学、风险管理的知识，强调理论与实际相结合，规范分析与实证分析相结合，定性和定量相结合的方法，对全国社会保障基金投资的风险度量问题进行研究。借用Matlab计算软件，拟合最优Copula模型，并引入新型风险度量指标CoVaR。CoVaR考虑了极端风险的贡献，而且可以有效度量系统风险对于标的资产或资产组合的风险溢出程度，以Copula为出发点，拟合社保重仓指数与沪深300指数的日收益率数据，分析社保基金与我国股市的相依关系，给出度量我国社保基金投资风险指标CoVaR的Copula算法。相较于传统的分位数回归方法求CoVaR, Copula-CoVaR能够精确地对风险溢出程度进行测度，而且直观的给出社保基金与沪深300指数之间的联合分布。本文量化了社保基金投资风险，为扩宽社保基金投资渠道提供理论支持，在进行除了银行存款等形式的风险低的投资外，风险略高的投资方式需要有效的风险评价。根据我国社保重仓指数的特点，构建Copula函数，利用度量风险相依的指标CoVaR，分析社保基金与我国股市的相依关系，给出度量我国社保基金投资风险的方法。自此基础上，动态管理对我国社保基金的投资风险，并对投资组合进行优化分析。通过Matlab计算，t-Copula函数最能描述社保重仓指数与沪深300指数收益率之间的关系，通过对于社保基金重仓近几年的CoVaR的计算可以发现，社保基金股票投资很大程度上还是会受到沪深股市大环境的巨大影响，在更极端的情况下，社保基金收到风险的冲击进一步扩大。
[Abstract]:The national social security fund is the national central government concentrated social security funds, as an important strategic reserve of our country, has been paid more and more attention by the academic community. At the same time, the social security fund also faces many problems. The most important one is the maintenance and increment of social security fund. With the aging process of our country accelerating, the social security fund expenditure is increasing day by day, only rely on the government financial subsidy. The need for social security funds is far from being met. Only through more effective investment and operation of the social security fund to obtain greater returns to meet the increasing demand for social security funds. Since 2001, as the rate of inflation continues to increase. The problem of maintaining and increasing the value of social security funds also appears, only through the lower risk. However, it is difficult to meet the basic rate of return requirements of social security fund, which is the material basis of social security, in the current severe situation. If the social security fund can not maintain and increase its value, when the payment crisis occurs, the social security function of the social security fund cannot be realized, and the social insurance system will not function normally. Therefore, the social security fund must broaden the investment channels to obtain a greater rate of return so as to achieve the purpose of maintaining and increasing the value of the value. From the current financial environment in China, the social security fund will inevitably affect the stability and development of the whole society. The stock market has undoubtedly become the most direct and most effective investment channel to raise the return rate of social security fund, and the stock market not only provides high yield, but also brings huge risk to the investment of social security fund. Therefore, this paper uses the knowledge of statistics, finance, risk management, emphasizing the combination of theory and practice, normative analysis and empirical analysis, qualitative and quantitative methods. This paper studies the risk measurement of the investment of the national social security fund, and uses the Matlab calculation software to fit the optimal Copula model. A new risk measurement index, CoVaR.CoVaR, is introduced, which considers the contribution of extreme risk, and can effectively measure the risk spillover degree of system risk to the underlying asset or portfolio. Taking Copula as the starting point, fitting the daily yield data of social security heavy position index and Shanghai and Shenzhen 300 index, and analyzing the dependence of social security fund and China's stock market. This paper presents a Copula algorithm to measure the investment risk index CoVaR of social security fund in China. Compared with the traditional quantile regression method, the CoVaR is obtained. Copula-CoVaR can measure the degree of risk spillover accurately, and intuitively gives the joint distribution of social security fund and CSI 300 index. This paper quantifies the investment risk of social security fund and provides theoretical support for broadening the investment channels of social security fund. Besides bank deposits and other forms of low-risk investment. According to the characteristics of China's social security heavy position index, the Copula function is constructed, and the index CoVaR is used to measure the risk dependence. Based on the analysis of the relationship between social security fund and China's stock market, this paper gives a method to measure the investment risk of social security fund in China, and on this basis, dynamically manages the investment risk of social security fund in our country. And carry on the optimization analysis to the investment portfolio. The calculation of t-Copula function by Matlab can best describe the relationship between the social security heavy position index and the yield of CSI 300 index. Through the calculation of the CoVaR of the social security fund in recent years, we can find that the investment of the social security fund stock will still be greatly affected by the environment of Shanghai and Shenzhen stock market, in more extreme circumstances. The social security fund receives the risk the impact further expands.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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