本文選題：持倉限額 + 巨災(zāi)補償基金　； 參考：《西南財經(jīng)大學(xué)》2012年碩士論文

【摘要】：作為巨災(zāi)補償基金交易和運作制度的組成部分,本文對持倉限額的研究不但進一步充實和完善了我國巨災(zāi)補償基金制度,而且對持倉限額的理論研究方法做出了有益的探索。 巨災(zāi)補償基金的持倉限額的設(shè)計,需要遵循流動性、安全性、盈利性和公平性的基本原則。為此,論文首先依托持倉限額與市場價格波動、流動性、風(fēng)險控制等因素關(guān)系的理論剖析；再根據(jù)巨災(zāi)補償基金的賬戶設(shè)計、補償比例、補償條件等制度設(shè)計,對基金可以承受的補償限額進行了分析,進而根據(jù)不同的巨災(zāi)區(qū)域在災(zāi)種、發(fā)生概率及損失等方面的特點,討論了各個注冊地的持倉限額。最后,針對個人投資者和機構(gòu)投資者這兩大交易參與主體,在分析其持倉需求、持倉目標(biāo)的基礎(chǔ)上,多維度地設(shè)計了他們的持倉限額,包括主體限額、目標(biāo)限額和占注冊地總量的比例限額；其中機構(gòu)投資者還設(shè)計了占其資產(chǎn)組成比例的限額。 本文對持倉限額的設(shè)計,充分考慮了持倉量可能對交易價格波動、交易流動性,價格操作風(fēng)險和交易違約風(fēng)險等的影響,并仔細在盈利性、流動性、安全性和公平性四大原則間進行了平衡。 巨災(zāi)補償基金的補償比例、補償條件、基金是注冊地屬性都影響著持倉限額的設(shè)定,我們需要緊密結(jié)合巨災(zāi)補償基金的內(nèi)在機制,對不同主體的持倉限額進行設(shè)計。 在某一次具體的巨災(zāi)發(fā)生后,政府資金賬戶能夠承受多倍補償?shù)幕鸱蓊~是存在上限的。為了能夠滿足多倍補償和基金正常運作,必須要對各個投資主體實行持倉限額制度,預(yù)防持倉量超出政府資金賬戶所能承受的限額。另外,論文還分別從基金參與者的自身持倉需求、占自身資產(chǎn)比例、投資目的等維度,討論了參與主體的持倉限額。 個人投資者主要是為了分散巨災(zāi)風(fēng)險而持有巨災(zāi)補償基金,持倉量受到風(fēng)險暴露財產(chǎn)的價值、其可支配收入以及對巨災(zāi)發(fā)生的預(yù)期的影響。對于機構(gòu)投資者,他們有增強流動性、分散風(fēng)險、引導(dǎo)個人投資者的作用。在設(shè)計其持倉限額時,要考慮他們的風(fēng)險承受能力和市場操縱能力。其次,在確定機構(gòu)投資者的主體持倉限額的基礎(chǔ)上,根據(jù)投機交易者與套期保值者的比例,計算投機交易者的持倉限額。再次,機構(gòu)投資者應(yīng)該根據(jù)自身性質(zhì)和監(jiān)管要求、投資目標(biāo)和風(fēng)險偏好,理性地把巨災(zāi)補償基金納入投資組合。最后,巨災(zāi)補償基金因地因災(zāi)種而異的補償總額、補償比例等作為內(nèi)在機制設(shè)定,能有效引導(dǎo)機構(gòu)投資者控制其在注冊地中所占的持倉量。 在分析了各主體的持倉限額設(shè)計思路后,要借助金融實驗確定具體限額。在基金份額總量約束下,應(yīng)用實驗金融的方法,通過在計算機系統(tǒng)里模擬巨災(zāi)補償基金體系的運作,根據(jù)設(shè)計思路輸入基金運行中受到的約束條件數(shù)據(jù),進行金融實驗,對各投資主體持倉限額反復(fù)組合試驗,在實驗的輸出結(jié)果中直接觀察、比較基金在流動性和穩(wěn)定性上的表現(xiàn)情況,最終確定合理的各類投資主體持倉限額。論文對持倉限額設(shè)計的研究,也為金融實驗的建立提供了理論支撐和思路,為巨災(zāi)補償基金的最終成立和運作做出理論貢獻。
[Abstract]:As part of the transaction and operation system of Catastrophe Compensation Fund , this paper not only enriches and perfects the system of China ' s Catastrophe Compensation Fund , but also makes a useful exploration to the theoretical research method of the position limit .

The design of the position limit of the Catastrophe Compensation Fund needs to follow the basic principles of liquidity , safety , profitability and fairness . To this end , the thesis begins with the theoretical analysis of the relationship between position limit and market price fluctuation , liquidity , risk control , etc .
Then , according to the account design , compensation proportion , compensation condition and other system design of Catastrophe Compensation Fund , this paper analyzes the compensation limit which can be borne by the fund , and then discusses the position limit of each registered land according to the characteristics of different disaster areas in the aspects of disaster , probability and loss .
Institutional investors have also designed quotas that make up a percentage of their assets .

This paper takes full consideration of the influence of the position of the position limit on the fluctuation of the transaction price , the liquidity of the transaction , the risk of price operation and the risk of trading violation , and carefully balances the four principles of profitability , liquidity , safety and fairness .

Compensation ratio , compensation condition and fund of catastrophe compensation fund affect the setting of position limit , and we need to combine the internal mechanism of catastrophe compensation fund closely , and design the position limit of different subjects .

In order to meet the multi - factor compensation and the normal operation of the fund , it is necessary to carry out the position limit system for each investment subject , and prevent the position of the holder from exceeding the limit that the government funds account can bear . In addition , the paper also discusses the position limit of the participating principal from its own position requirement , the proportion of its assets , the investment purpose and so on , respectively .

In order to disperse the risk of catastrophe , the individual investor has the value of risk exposure property , its disposable income and the expected impact on catastrophe . In the design of its position limit , the investor should consider their risk tolerance and market manipulation ability . Secondly , based on the determination of the position limit of institutional investors , the institutional investors should take into account their risk tolerance and market manipulation ability .

After analyzing the design idea of the position limit of each main body , it is necessary to determine the specific limit by means of financial experiment . By simulating the operation of catastrophe compensation fund system in the computer system under the constraint of the total amount of fund shares , the paper makes a financial experiment by simulating the constraint data of the fund in the operation of the fund according to the design thinking , and finally determines the reasonable investment subject position limit . The paper also provides theoretical support and thinking for the establishment of the financial experiment and makes a theoretical contribution to the final establishment and operation of the catastrophe compensation fund .
【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

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