本文選題：保險資金運用 + 險資債券投資��； 參考：《西南財經(jīng)大學(xué)》2012年碩士論文

【摘要】：從1980年全面復(fù)業(yè)以來,我國保險業(yè)高速發(fā)展,是國內(nèi)發(fā)展最快的行業(yè)之一,取得了令人矚目的輝煌成就。隨著我國保險行業(yè)近三十年來的快速發(fā)展,保險資金運用余額也在快速增加,截止到2012年底,保險資金運用余額達到6.85萬億。在有效管控風險的前提下,實現(xiàn)保險資金的保值增值從而滿足保險公司的經(jīng)營需要是目前我國保險業(yè)面臨的一個難題。保險資金運用的基本原則與債券市場的特點,共同決定了債券市場是保險資金運用的重要渠道,并且能夠較好地滿足保險資金運用的要求。在2012年7月,保監(jiān)會出臺了《保險資金投資債券暫行辦法》,該辦法是對險資進入債券市場的全面松綁,同時也對保險公司的投資能力和風險管控能力提出了更高的要求。 VaR是Value at Risk的簡稱,也稱作風險價值,是指在市場正常波動條件下,在一個確定的時間段,在給定的置信水平下,某項風險資產(chǎn)或整個資產(chǎn)(投資)組合在確定的時間段內(nèi)的最大可能損失。目前,VaR方法作為一種風險管理工具,已被廣泛的應(yīng)用到企業(yè)的風險管理工作中。VaR方法可以度量單項投資的風險,也可以度量投資組合的風險,通過VaR的延伸計算方法還可以對投資組合內(nèi)部的結(jié)構(gòu)進行進一步分析計算。企業(yè)管理者在對投資組合進行風險管理時,可以利用VaR方法提高風險管理的有效性。 本文的主要內(nèi)容有： 第一章導(dǎo)論簡單闡述研究背景與意義、參考文獻和研究思路。隨著我國保險行業(yè)近三十年來的快速發(fā)展,保險資金運用余額也在快速增加。目前,保險資金運用成為了保險公司獲取利潤的主要來源。但是,我國保險業(yè)資金的投資收益率卻一直較低。為了解決這一問題,保監(jiān)會出臺了一系列支持政策,包括拓寬險資運用渠道等。其中,險資債券投資可謂全面放開,而隨之而來的風險也有所增加。VaR方法作為一種廣泛使用的風險管理工具,可以應(yīng)用到險資債券投資的風險管理中去。 第二章介紹保險資金運用與債券投資的基本理論。首先,介紹保險資金的定義,進而引出并重點介紹保險資金的來源。我們可以看出,正是保險資金的來源決定了保險資金的特點以及保險資金運用的三原則,即安全性、流動性、收益性。之后開始介紹債券市場的理論,包括債券的定義、分類以及債券市場,重點介紹債券的特點和風險。最后,結(jié)合前文,分析得出保險資金運用的基本原則與債券市場的特點,共同決定了債券市場是保險資金運用的主要渠道,并且債券市場能夠較好地滿足保險資金運用的要求。 第三章介紹我國保險資金運用的歷史及現(xiàn)狀分析,并對險資運用的主要方式——債券投資現(xiàn)狀做了詳細分析。本章首先對我國保險資金運用的歷史進行梳理。對監(jiān)管政策的變遷做了回顧,并將這段歷史化為三個階段分別介紹。之后,從保險資金運用規(guī)模、收益率、結(jié)構(gòu)、問題等四個方面,對我國保險資金運用現(xiàn)狀進行分析。最后,著重對險資債券投資的現(xiàn)狀進行分析,得出保險資金債券投資全面松綁對于債券投資收益率的提升有重大利好,同時,也對保險公司的投資能力和風險管控能力提出了更高的要求。 第四章介紹風險管理工具—VaR方法的理論和VaR方法如何成為保險資金債券投資的風險管理工具。首先,對現(xiàn)代投資理論及VaR方法的發(fā)展歷程做了簡單介紹。然后分別就VaR方法的模型推導(dǎo)、參數(shù)意義、使用方法以及VaR方法的延伸進行介紹。最后,在實際應(yīng)用中,將VaR方法作為保險資金運用中的風險管理工具和績效評估工具,引入我國保險業(yè)。 第五章使用VaR方法,對我國保險資金債券投資進行實證分析。首先,本文選擇相對風險價值角度,采用方差-協(xié)方差方法來計算VaR。之后,選擇債券市場上具有代表性的債券指數(shù),按照2012年底的我國保險業(yè)債券投資比例,利用VaR方法,分別計算分項債券的VaR、投資組合VaR、增量VaR、成分VaR、邊際VaR等。最后根據(jù)計算結(jié)果進行分析。 第六章主要內(nèi)容為本文研究結(jié)論和政策建議。本文研究結(jié)論有：債券作為固定收益產(chǎn)品,與保險資金的匹配性較好,收益雖不高,但相對穩(wěn)定,能夠滿足流動性管理需要,成為保險資金重要的基礎(chǔ)性資產(chǎn)配置。我國保險資金運用主要存在的問題有：(1)保險資金收益率較低,不足以支持負債。(2)資金運用結(jié)構(gòu)和負債結(jié)構(gòu)的不匹配。(3)權(quán)益類投資波動大,主要是指證券和證券基金波動較大。監(jiān)管部門對險資投資債券市場的松綁,有可能會解決保險資金存在的三大問題。構(gòu)建債券投資組合、進行風險管理時,保險公司可以通過利用VaR方法,提高對風險的管控水平,不斷提升保險資金運用水平。本文的建議有：我國保險資金運用應(yīng)繼續(xù)重視債券市場；加強對投資分析工具和風險度量工具的研究與開發(fā)；監(jiān)管部門應(yīng)該繼續(xù)拓寬保險資金運用渠道；保險公司應(yīng)建立有效的風險管理體系。
[Abstract]:Since 1980, China's insurance industry has developed rapidly and is one of the fastest developing industries in China. It has made remarkable achievements. With the rapid development of China's insurance industry in the past thirty years, the balance of insurance funds has also increased rapidly. By the end of 2012, the balance of insurance funds has reached 6 trillion and 850 billion. On the premise of controlling risk, it is a difficult problem that the insurance industry is confronted with at present. The basic principles of the use of insurance funds and the characteristics of the bond market have jointly determined that the bond market is an important channel for the use of insurance funds, and it can satisfy the insurance better. In July 2012, the CIRC issued the Interim Measures for the investment bond of insurance funds, which is a comprehensive loosening of the risk of investment into the bond market, and also a higher requirement for the investment ability and risk control ability of the insurance company.
VaR is the abbreviation of Value at Risk, also known as the value of risk. It refers to the maximum possible loss of a certain risk asset or the whole asset (investment) portfolio in a fixed time period under the normal fluctuation condition of the market. The VaR method, as a risk management tool, has been widely used as a risk management tool. In the enterprise risk management work,.VaR method can measure the risk of single investment and measure the risk of portfolio. Through the extended VaR calculation method, the structure of the portfolio can be further analyzed and calculated. The enterprise manager can use the VaR method to improve the risk management of the portfolio. The effectiveness of risk management.
The main contents of this article are as follows:
The first chapter introduces the background and significance of the study, reference literature and research ideas. With the rapid development of China's insurance industry in the past thirty years, the balance of insurance funds has also increased rapidly. At present, the use of insurance funds has become the main source of profit for insurance companies. However, the rate of return on investment in China's insurance industry is In order to solve this problem, the CIRC issued a series of support policies, including broadening the use of risk management, among which the venture capital bond investment is completely liberalized, and the accompanying risk also increases the.VaR method as a widely used risk management tool, which can be applied to risk management of venture capital bond investment. In the middle.
The second chapter introduces the basic theory of the use of insurance funds and bond investment. First, it introduces the definition of insurance funds, and then introduces and focuses on the sources of insurance funds. We can see that the source of insurance funds determines the characteristics of the insurance funds and the three principles of the use of insurance funds, namely, security, liquidity, and income. Then it begins to introduce the theory of the bond market, including the definition, classification and bond market of bonds, focusing on the characteristics and risks of the bond. Finally, the basic principles of the use of insurance funds and the characteristics of the bond market are analyzed with the previous article. The bond market is the main channel for the use of the insurance funds and the bond market can be used. It is better to meet the requirements of the use of insurance funds.
The third chapter introduces the history and present situation of the application of insurance funds in China, and analyzes the main mode of the use of the insurance capital - the current situation of the bond investment. This chapter first combs the history of the application of the insurance funds in our country. This chapter reviews the changes of the regulatory policy and introduces this period to three stages. The application of insurance funds in four aspects, such as scale, rate of return, structure, problems and so on, is analyzed in the present situation of the application of insurance funds in China. Finally, the present situation of the investment of the insurance bond is analyzed. It is concluded that the overall loosening of the investment of the insurance funds and bonds has a great benefit to the rise of the bond investment yield, and the investment of the insurance company. The power and risk control capabilities are higher requirements.
The fourth chapter introduces the theory of the risk management tool - the VaR method and how the VaR method becomes the risk management tool for the investment of the insurance fund bond. First, it introduces the development course of the modern investment theory and the VaR method. Then it introduces the model derivation of the VaR method, the parameter significance, the use method and the extension of the VaR method. Finally, in the practical application, the VaR method is used as a risk management tool and performance evaluation tool in the application of insurance funds to introduce into China's insurance industry.
The fifth chapter uses the VaR method to make an empirical analysis of China's insurance fund bond investment. Firstly, this paper chooses the relative risk value angle and calculates VaR. by using variance covariance method to select the representative bond index in the bond market. According to the proportion of China's Insurance bond investment at the end of 2012, the VaR method is used respectively. VaR, portfolio VaR, incremental VaR, component VaR, marginal VaR and so on. Finally, the results are analyzed.
The main content of the sixth chapter is the conclusion and policy suggestion of this paper. The conclusion of this paper is that as a fixed income product, the bond is well matched with the insurance funds, but the income is not high, but relatively stable, it can meet the needs of liquidity management and become an important basic asset allocation of insurance funds. The main existence of insurance funds in China exists. The problems are: (1) the low income of insurance funds is not enough to support debt. (2) the mismatch between the structure of funds and the structure of debt. (3) the volatility of the equity investment is large, mainly refers to the large fluctuations in the securities and securities funds. The loosening of the insurance investment bond market by the regulatory authorities may solve the three major problems of the existence of insurance funds. When the bond portfolio is carried out, the insurance company can improve the control level of the risk by using the VaR method and continuously improve the level of the insurance fund. The suggestion is that the insurance fund should be used to the bond market, and the research and development of the investment analysis tools and risk measurement tools should be strengthened; Departments should continue to broaden the channels for the use of insurance funds, and insurance companies should establish an effective risk management system.
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：1987101