我国养老金入市风险和管控策略研究

发布时间：2018-02-14 04:02

本文关键词： 养老金入市委托代理风险资本市场风险风险评估风险管控策略　出处：《浙江大学》2017年硕士论文　论文类型：学位论文

【摘要】：养老金作为职工退休后重要的待遇保障,起到促进社会公平、调节社会经济发展的作用,而且作为机构投资者,养老金可以引导市场进行长期价值投资,实现与资本市场的良性互动,对国民经济发展具有重大贡献。但是,随着我国老龄化进程加速,制度转轨造成的隐性债务逐渐显性化,导致个人账户空账运行,而且保守的养老金运营方式造成投资收益率偏低,养老金实际上已经面临入不敷出的困境,通过养老金入市实现保值增值的目标迫在眉睫。尽管政策上已经拓宽养老金投资渠道,但是养老金作为老百姓的"养命钱",必须保障运营安全性,谨防入市可能面临的各类风险。本文基于此,全面分析我国养老金入市现状,指出目前养老金管理过程中存在财政兜底缺口、个人账户空账运行和投资收益率偏低等问题,并且从委托代理和资本市场两个角度,探讨未来养老金市场化运营面临的风险点。明确养老金入市风险后,本文主要从定性和定量层面研究我国养老金入市的风险管控策略。从定性层面,由于我国养老金入市一直提倡建设"中国版401K计划",而401K计划是美国养老金入市中最典型的代表之一,因此本文针对美国养老金已经成功入市的401K和IRA计划展开具体分析,再结合我国养老金实际投资运营的现状,总结可供我国借鉴的养老金运营和监管模式经验;从定量层面,由于我国养老金缺乏投资经验数据,但是我国社保基金已经入市多年并且取得了较为成功的投资管理经验,而且相关政策文件明确规定社保基金会可受托管理养老金,所以养老金与社保基金未来投资风险偏好相似。本文鉴于此,运用VaR模型对社保基金入市风险进行评估,从定量层面为养老金市场化运营提供良好的投资和风险管控建议。最后,本文综合借鉴国内外经验,归纳基本结论,并结合我国养老金实际管理现状,总结适用于我国养老金入市的政策建议,从而为将来养老金平稳安全的入市,实现保值增值的目标,提供科学的理论支持。
[Abstract]:As an important salary guarantee for employees after retirement, pensions play a role in promoting social equity and regulating social and economic development. As institutional investors, pensions can guide the market to invest in long-term value. The realization of benign interaction with the capital market makes a great contribution to the development of the national economy. However, with the acceleration of the aging process of our country, the recessive debt caused by the system transition gradually becomes dominant, which leads to the operation of the empty account of the individual account. Moreover, the conservative operation of pensions results in a low return on investment, and pensions have in fact been faced with the dilemma of living beyond their means. It is urgent to achieve the goal of maintaining and increasing the value of pensions by entering the market. Although the policy has widened the channels for pension investment, as the "livelihood money" of ordinary people, it is necessary to ensure the safety of operation. Based on this, this paper analyzes the current situation of pension entry in China, and points out that there are some problems in the process of pension management, such as the financial gap, the running of personal accounts and the low return on investment, etc. And from the perspective of principal-agent and capital market, the paper discusses the risk points of the future market-oriented operation of pension. This paper mainly studies the risk control strategy of China's pension market from the qualitative and quantitative aspects. Since China has always advocated the construction of "China 401K plan", and 401K plan is one of the most typical representatives of the American pension market, this paper analyzes the 401K and IRA plans which have been successfully entered the market. Combined with the actual investment and operation of pension in China, this paper summarizes the experience of pension operation and supervision model that can be used for reference in our country, from the quantitative level, because of the lack of investment experience data of pension in China, However, China's social security fund has been in the market for many years and has gained relatively successful experience in investment management. Moreover, the relevant policy documents clearly stipulate that the social security fund can be entrusted with the administration of pensions. Therefore, pension and social security fund investment risk preference in the future is similar. In view of this, this paper uses VaR model to evaluate the risk of social security fund entering the market. From the quantitative level, it provides good investment and risk control suggestions for the market-oriented operation of pension. Finally, this paper synthetically draws lessons from domestic and foreign experience, summarizes the basic conclusions, and combines with the actual management situation of pension in China. This paper summarizes the policy suggestions applicable to the entry of pension into the market in our country, thus providing scientific theoretical support for the future entry of pension into the market smoothly and safely, and for realizing the goal of maintaining and increasing the value of the pension.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F842.67;F832.51

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