本文關(guān)鍵詞： 養(yǎng)老保險基金 投資風(fēng)險 風(fēng)險管理 政策建議　出處：《江西財經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：金融危機以來，我國養(yǎng)老保險基金投資損失慘重，隨著人口老齡化及我國養(yǎng)老保險基金巨額隱性債務(wù)成本的問題日益凸顯，面對通貨膨脹等因素的影響，養(yǎng)老金面臨支付危機。此外，我國資本市場尚不完善，與養(yǎng)老保險基金投資運營相關(guān)的法律法規(guī)也不健全，給養(yǎng)老保險基金投資運營帶來風(fēng)險。如何有效防范和規(guī)避養(yǎng)老保險基金投資中的風(fēng)險，確保養(yǎng)老保險基金實現(xiàn)保值增值，保證養(yǎng)老保險基金在可接受的風(fēng)險水平下實現(xiàn)最佳的投資回報，就成為必須研究解決的課題。 本文采用了比較分析法、定性與定量分析相結(jié)合的方法、實證與規(guī)范分析相統(tǒng)一的方法進行分析。以我國養(yǎng)老保險基金為研究對象，在描述我國養(yǎng)老保險基金投資運營模式、投資現(xiàn)狀及問題的基礎(chǔ)上，分析我國養(yǎng)老保險基金投資中存在的風(fēng)險及其成因，結(jié)合國外養(yǎng)老保險基金投資運營模式及風(fēng)險控制的措施，最后提出完善我國養(yǎng)老保險基金風(fēng)險管理體系的模式選擇及政策建議。 本文的主要研究內(nèi)容包括以下幾個部分： 1.我國養(yǎng)老保險基金投資現(xiàn)狀及存在的風(fēng)險。這一部分首先闡述了我國養(yǎng)老保險基金的投資現(xiàn)狀以及存在的主要問題，通過對基本養(yǎng)老保險基金、全國社會保障基金以及企業(yè)年金各自的運營模式分析，得出了以下結(jié)論：基本養(yǎng)老保險基金由于投資方式單一，受通貨膨脹影響，，投資收益較低，甚至出現(xiàn)實際投資收益為負值的現(xiàn)象，同時基本養(yǎng)老保險基金管理機構(gòu)松散，專業(yè)性較差，無法對養(yǎng)老保險基金實施有效監(jiān)管；全國社會保障基金受資本市場指數(shù)波動的影響，存在投資組合風(fēng)險。利用VaR法對全國社�；鹜顿Y風(fēng)險進行度量，得出具體風(fēng)險大��；企業(yè)年金的投資主要受到金融市場不穩(wěn)定因素的影響，收益波動較大。其次分析了我國養(yǎng)老保險基金投資道德風(fēng)險，著重闡述了我國養(yǎng)老保險基金投資道德風(fēng)險的成因——委托人與代理人之間的信息不對稱與目標不一致，以及養(yǎng)老保險基金投資運營過程中各主體即養(yǎng)老保險基金主辦人、投資管理人、基金托管人的風(fēng)險。 2.國外養(yǎng)老保險基金投資風(fēng)險管理及其啟示。這一部分主要分析了美國及智利的養(yǎng)老保險基金投資運營管理模式及其投資風(fēng)險控制的具體措施。對于美國三大支柱的養(yǎng)老保險基金——美國聯(lián)邦政府舉辦的老年和遺屬社會保險信托基金下的社會保障基金、美國州和地方政府養(yǎng)老保險基金、私有退休基金各自的投資方式、投資工具、投資領(lǐng)域的分析，得出了美國對養(yǎng)老保險基金投資風(fēng)險控制的具體措施，包括專業(yè)化的投資運營、多元化的投資策略以及完善的監(jiān)管、法律體系。對于智力養(yǎng)老保險基金的運營，主要通過數(shù)據(jù)介紹了其投資組合的構(gòu)成以及智利政府對基金投資方式的比例限制。智利對養(yǎng)老保險基金投資風(fēng)險控制的措施主要有允許參保人自主選擇私有化的養(yǎng)老保險基金管理公司、建立投資儲備金和盈余儲備金制度以及政府的間接性監(jiān)管。最后提出了對我國養(yǎng)老保險基金投資風(fēng)險管理的啟示。 3.完善我國養(yǎng)老保險基金風(fēng)險管理體系的模式選擇及政策建議。本文的最后一部分是在分析我國養(yǎng)老保險基金投資風(fēng)險的基礎(chǔ)上，通過對國際上主要投資管理模式——完全集中的管理模式、分散管理模式以及適度集中的管理模式的分析，得出符合我國國情的養(yǎng)老保險基金投資管理模式即對具有公共性質(zhì)的養(yǎng)老保險基金采取完全集中的管理模式，而對具有私有性質(zhì)的養(yǎng)老保險基金采取適度集中的管理模式。最后提出完善我國養(yǎng)老保險基金投資風(fēng)險管理的政策建議，包括發(fā)展多元化投資渠道、豐富養(yǎng)老保險基金投資產(chǎn)品、加大境外投資，加大我國養(yǎng)老保險基金指數(shù)化投資，加強我國養(yǎng)老保險基金投資的專業(yè)化管理，完善我國養(yǎng)老保險基金監(jiān)管體系。
[Abstract]:Since the financial crisis, China's pension fund investment losses, with the aging of the population and the pension fund in China the huge hidden cost of debt problems have become increasingly prominent, facing the impact of inflation and other factors, facing the pension payment crisis. In addition, China's capital market is still not perfect, and the relevant laws and regulations of pension fund investment operation is not perfect, bring the risk of pension fund investment operation. How to effectively prevent and avoid the risks of pension fund investment, ensure that the endowment insurance fund to increase the value of pension funds, ensure to achieve the best return on investment in the acceptable level of risk, it is necessary to study and solve the problem.
This paper adopts the method of comparative analysis, qualitative analysis and quantitative analysis method, empirical analysis and normative analysis. The unified endowment insurance fund in China as the research object, the description model of China's pension fund investment operation, based on the current situation and problems of investment, risk analysis and its causes in China the pension insurance fund investment, the foreign pension insurance fund investment operation mode and risk control measures, finally put forward a sound system of risk management mode of pension fund in China and policy recommendations.
The main contents of this paper include the following parts:
1. of China's pension fund investment situation and existing risks. This part firstly describes the status of investment of endowment insurance fund in China and existing problems, based on the basic endowment insurance fund, the national social security fund and the enterprise annuity operation mode analysis, draws the following conclusions: the basic pension insurance fund the investment way is single, affected by inflation, investment income is low, even the actual investment income is negative, while the basic old-age insurance fund management institutions loose, professional is poor, unable to implement effective supervision of endowment insurance fund; national social security fund is affected by capital market volatility index, investment portfolio risk of investment. The national social security fund risk measurement using VaR method, the size of the risk; enterprise annuity investment mainly by the financial market Influence factors of instability, income fluctuations. Secondly, analysis of China's endowment insurance fund investment and moral hazard, emphatically elaborated our country endowment insurance fund investment and moral hazard causes asymmetric information and targets and agents are not consistent, and the pension insurance fund investment and operation process of the main pension insurance fund the sponsor, investment management, risk of fund custodian.
2. foreign pension insurance fund investment risk management and its enlightenment. This part mainly analyzes the specific measures of the United States and Chile's pension fund investment management and investment risk control for the United States. The three pillars of the pension insurance fund, social security fund, the federal government of the United States held the old age and survivors' social insurance trust fund under the the United States State and local government pension funds, private pension fund their investment, investment tools, investment analysis, come to the United States to risk control measures of pension fund investment, including specialized investment operation, diversified investment strategy and perfect supervision legal system for intellectual endowment insurance fund operation, mainly through the data introduces the composition of its portfolio and the Chilean government on investment funds ratio limit Chile. On the risk control of the investment of endowment insurance fund are the main measures to allow the insured to choose the privatization of pension fund management company, the establishment of investment reserves and surplus reserve system and the government's indirect supervision. Finally proposed to the Chinese pension insurance fund investment risk management.
The 3. model choice to improve the risk management system of pension fund in China and policy recommendations. The last part of this paper is based on the analysis of the investment risk of China's old-age insurance fund, the main international investment management mode completely centralized management mode, decentralized management model and analysis of moderately centralized management mode. The old-age insurance fund investment management pattern in line with China's national conditions to fully centralized management mode of the public nature of the endowment insurance fund, and to take appropriate centralized management mode of the private nature of the endowment insurance fund. Finally proposed consummates our country endowment insurance fund investment risk management policy recommendations, including the development of diversified investment channels rich, pension fund investment products, increase foreign investment, increase China's endowment insurance fund index investment, strengthen our country The professional management of the endowment insurance fund investment will improve the supervision system of the endowment insurance fund in China.

【學(xué)位授予單位】：江西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F842.67;F832.51

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