本文關(guān)鍵詞：AA保險(xiǎn)公司投資集合資金信托計(jì)劃的研究　出處：《華東師范大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

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【摘要】：隨著我國(guó)利率市場(chǎng)化進(jìn)程的不斷加深,社會(huì)利率水平呈現(xiàn)出逐步上行的態(tài)勢(shì)。由于利率市場(chǎng)化改革是我國(guó)金融深化過(guò)程中必經(jīng)之路,其過(guò)程復(fù)雜而曲折,這一態(tài)勢(shì)可能還會(huì)在未來(lái)持續(xù)相當(dāng)一段時(shí)間。利率市場(chǎng)化一方面產(chǎn)生了大量的創(chuàng)新金融工具,豐富了投資人的選擇；另一方面也在一定程度上抬高了社會(huì)融資成本。而2008年全球金融危機(jī)后,我國(guó)經(jīng)濟(jì)增長(zhǎng)放緩,經(jīng)濟(jì)發(fā)展中不平衡、不協(xié)調(diào)、不可持續(xù)的矛盾和問(wèn)題仍很突出,經(jīng)濟(jì)增長(zhǎng)下行壓力和物價(jià)上漲壓力仍然存在。保險(xiǎn)業(yè)的承保業(yè)務(wù)也備受影響,并進(jìn)一步傳導(dǎo)至保險(xiǎn)資產(chǎn)管理業(yè)務(wù),使保險(xiǎn)資金運(yùn)用受到很大壓力。為此,行業(yè)監(jiān)管部門適時(shí)地在2012年下半年推出了13項(xiàng)保險(xiǎn)新政,旨在放寬保險(xiǎn)公司的投資渠道和投資品種,提高保險(xiǎn)公司的投資收益率,進(jìn)而推動(dòng)保險(xiǎn)主營(yíng)業(yè)務(wù)穩(wěn)健發(fā)展。 本文從保險(xiǎn)資產(chǎn)配置的資產(chǎn)負(fù)債管理、資產(chǎn)周期配置、資產(chǎn)組合配置、信用風(fēng)險(xiǎn)衡量理論等角度出發(fā),在分析了我國(guó)信托產(chǎn)品現(xiàn)狀后認(rèn)為,當(dāng)前我國(guó)的信托計(jì)劃具有高收益率、短期限、風(fēng)險(xiǎn)可控、規(guī)模容量大的特點(diǎn),符合保險(xiǎn)公司的配置需求,但不同類型的保險(xiǎn)公司對(duì)其配置需求有所不同。壽險(xiǎn)類公司因資產(chǎn)負(fù)債管理的期限因素,對(duì)信托計(jì)劃的配置數(shù)量可能要少很多,而對(duì)財(cái)險(xiǎn)公司受到的資產(chǎn)負(fù)債管理約束較小,在大類資產(chǎn)分散投資的原則下,可以在其能夠承擔(dān)的風(fēng)險(xiǎn)范圍內(nèi)對(duì)信托計(jì)劃進(jìn)行合理配置。 本文結(jié)合AA保險(xiǎn)公司的業(yè)務(wù)特色和資產(chǎn)管理現(xiàn)狀和所面臨的困難,詳細(xì)討論了AA保險(xiǎn)公司投資信托計(jì)劃的戰(zhàn)略投資原則、風(fēng)險(xiǎn)控制原則；提出了AA保險(xiǎn)公司投資信托計(jì)劃的類別、選擇標(biāo)準(zhǔn)及其相關(guān)案例的信用風(fēng)險(xiǎn)分析方法；根據(jù)AA保險(xiǎn)公司的風(fēng)險(xiǎn)限額規(guī)則確定了信托計(jì)劃的配置數(shù)量；并討論了風(fēng)險(xiǎn)限額變動(dòng)以及權(quán)益類資產(chǎn)變動(dòng)對(duì)投資組合的風(fēng)險(xiǎn)和收益率的影響。文章還對(duì)保險(xiǎn)公司投資信托計(jì)劃可能面臨的困難和問(wèn)題提出了一些建議。 本文認(rèn)為信托計(jì)劃具有高收益率、短期限、風(fēng)險(xiǎn)可控、規(guī)模容量大的特點(diǎn),完全能夠滿足AA保險(xiǎn)公司的配置需求。但是,因其突出的流動(dòng)性風(fēng)險(xiǎn)和一定的信用風(fēng)險(xiǎn),公司必須采取高度分散的投資策略,其品種選擇和配置數(shù)量也須受到一定程度的限制。在現(xiàn)階段,AA保險(xiǎn)公司應(yīng)將其品種選擇范圍控制在基礎(chǔ)設(shè)施類和上市公司股票質(zhì)押類信托計(jì)劃中,將其配置規(guī)�？刂圃诳傎Y產(chǎn)規(guī)模的5%-10%之間。通過(guò)在組合中加入信托計(jì)劃,AA公司的收益率能夠在風(fēng)險(xiǎn)程度不變的條件下得到一定的提高,組合收益率的穩(wěn)定性也因權(quán)益類產(chǎn)品波動(dòng)影響的下降而得到加強(qiáng)。加入了信托計(jì)劃后,AA公司資產(chǎn)組合的收益和風(fēng)險(xiǎn)均得到了優(yōu)化。
[Abstract]:With the deepening of China's interest rate marketization process, the social interest rate level shows a gradual upward trend. Because the interest rate marketization reform is the only way in the process of financial deepening, the process is complex and tortuous. On the one hand, the marketization of interest rate has produced a large number of innovative financial instruments, which has enriched the choice of investors; On the other hand, it also raises the social financing cost to a certain extent. However, after the global financial crisis in 2008, the economic growth of our country slows down, the economic development is unbalanced and uncoordinated. The unsustainable contradictions and problems are still prominent, the downward pressure of economic growth and the pressure of price rise still exist. The underwriting business of the insurance industry is also affected, and further transmitted to the insurance asset management business. The use of insurance funds is under great pressure. Therefore, in the second half of 2012, the industry regulatory department introduced 13 new policies of insurance in order to relax the investment channels and investment varieties of insurance companies. Improve the return on investment of insurance companies, and then promote the steady development of the main business of insurance. From the aspects of asset liability management, asset cycle allocation, asset portfolio allocation, credit risk measurement theory and so on, this paper analyzes the status quo of trust products in China. At present, the trust plan of our country has the characteristics of high yield, short term, controllable risk and large capacity, which meets the needs of the insurance company. However, different types of insurance companies have different needs for their allocation. Because of the term factor of asset and liability management, the allocation of trust plans may be much smaller for life insurance companies. On the other hand, the assets and liabilities management constraints of property insurance companies are relatively small. Under the principle of diversified investment of large types of assets, the trust plan can be reasonably allocated within the range of risks it can undertake. This paper discusses the strategic investment principle and risk control principle of the investment trust plan of AA insurance company in combination with the business characteristics of AA insurance company and the present situation of asset management and the difficulties it faces. This paper puts forward the category of investment trust plan of AA insurance company, the selection criteria and the credit risk analysis method of related cases. The allocation quantity of trust plan is determined according to the risk limitation rules of AA insurance company. The paper also discusses the influence of the change of risk limit and equity assets on the risk and return rate of investment portfolio, and puts forward some suggestions on the difficulties and problems that may be faced by the investment trust plan of insurance company. This paper holds that the trust plan has the characteristics of high yield, short term, controllable risk and large capacity, which can completely meet the needs of AA insurance company. Because of its outstanding liquidity risk and certain credit risk, the company must adopt the highly dispersed investment strategy, its variety selection and allocation quantity must also be limited to a certain extent at the present stage. AA insurance company should control its variety selection scope in the trust plan of infrastructure and stock pledge of listed company. The allocation scale is controlled between 5% and 10% of the total asset size. By adding trust plan to the portfolio, the rate of return of AA company can be improved under the condition of constant risk level. The stability of portfolio yield is also enhanced by the decline of volatility of equity products. After joining the trust plan, the return and risk of portfolio of AA company are optimized.
【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.49;F842.3

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本文編號(hào)：1378172