本文關(guān)鍵詞： 壽險(xiǎn)投資 風(fēng)險(xiǎn)度量 CVaR GARCH模型　出處：《安徽財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：壽險(xiǎn)業(yè)作為經(jīng)營風(fēng)險(xiǎn)的行業(yè),對(duì)壽險(xiǎn)資金直接投資股票市場(chǎng)風(fēng)險(xiǎn)實(shí)施積極有效地管理與控制,對(duì)于保障我國保險(xiǎn)業(yè)償付能力、提高風(fēng)險(xiǎn)管理水平、促進(jìn)保險(xiǎn)業(yè)健康和穩(wěn)定發(fā)展具有重要意義。中國人壽保險(xiǎn)股份有限公司(以下簡稱“中國人壽”)作為我國最大的壽險(xiǎn)公司,無論保費(fèi)收入水平還是資金規(guī)模都占據(jù)我國壽險(xiǎn)業(yè)百分之三十以上的份額。對(duì)中國人壽直接投資股票市場(chǎng)風(fēng)險(xiǎn)的研究,不僅對(duì)其他壽險(xiǎn)公司投資風(fēng)險(xiǎn)管理具有借鑒意義,而且在某種程度上也代表了我國壽險(xiǎn)業(yè)的情況。 本文首先介紹了風(fēng)險(xiǎn)測(cè)度方法CVaR模型產(chǎn)生的基礎(chǔ)——VaR模型,分析VaR模型的缺陷,然后對(duì)CVaR模型做了較為系統(tǒng)的闡述,對(duì)其參數(shù)選擇、計(jì)算方法進(jìn)行了較為深入的探討,為后面的研究分析奠定了理論基礎(chǔ)。其次對(duì)我國壽險(xiǎn)資金投資現(xiàn)狀與投資風(fēng)險(xiǎn)做出了總結(jié)。對(duì)我國壽險(xiǎn)資金投資結(jié)構(gòu)、投資收益進(jìn)行了統(tǒng)計(jì)分析,重點(diǎn)介紹了中國人壽近幾年的投資結(jié)構(gòu)及投資損益情況,認(rèn)為中國人壽資金直接投資股票市場(chǎng)存在風(fēng)險(xiǎn)。選取中國人壽投資股票市場(chǎng)近兩年的數(shù)據(jù)進(jìn)行了實(shí)證分析。針對(duì)股票收益率序列尖峰厚尾的特征,將GARCH模型引入CVaR的計(jì)算中,構(gòu)造了度量單只股票風(fēng)險(xiǎn)的CVaR——EGARCH模型,較為準(zhǔn)確的計(jì)算了單只股票的風(fēng)險(xiǎn)價(jià)值。根據(jù)組合CVaR值,中國人壽可以提取風(fēng)險(xiǎn)準(zhǔn)備金。結(jié)合邊際CVaR和成分CVaR揭示了投資組合風(fēng)險(xiǎn)構(gòu)成,利用績效評(píng)價(jià)指標(biāo)(RAROC)對(duì)各只股票的風(fēng)險(xiǎn)收益進(jìn)行了評(píng)估。中國人壽可以綜合以上風(fēng)險(xiǎn)信息對(duì)股票投資組合進(jìn)行調(diào)整以實(shí)現(xiàn)對(duì)投資組合整體風(fēng)險(xiǎn)的控制。最后,總結(jié)了本文研究所取得的成果,針對(duì)實(shí)證研究得到的結(jié)果對(duì)中國人壽直接投資股票市場(chǎng)風(fēng)險(xiǎn)提出了對(duì)策,并對(duì)CVaR模型在我國的應(yīng)用推廣做出建議。
[Abstract]:Life insurance industry as a business risk industry, the direct investment of life insurance funds in the stock market risk management and effective management, to protect the solvency of our insurance industry, improve the level of risk management. It is of great significance to promote the healthy and stable development of the insurance industry. China Life Insurance Company Limited (hereinafter referred to as "China Life Insurance") is the largest life insurance company in China. Whether the level of premium income or the scale of capital all occupy more than 30% share of life insurance industry in China. Study on the risk of China Life Direct Investment Stock Market. It not only has reference significance for other life insurance companies to manage investment risk, but also represents the situation of life insurance industry in China to some extent. This paper first introduces the foundation of CVaR model, analyzes the defects of VaR model, and then gives a systematic exposition of CVaR model and the choice of its parameters. The calculation method is discussed deeply, which lays a theoretical foundation for the later research and analysis. Secondly, it summarizes the current situation and investment risk of life insurance fund investment in China, and makes a summary of the investment structure of life insurance fund in China. This paper makes a statistical analysis of the investment income, and focuses on the investment structure and investment gains and losses of China Life in recent years. It is considered that there are risks in China Life Capital Direct Investment in Stock Market. The data of China Life Investment Stock Market in the past two years are analyzed empirically, and the characteristics of sharp and thick tail of stock return series are analyzed. The GARCH model is introduced into the calculation of CVaR, and a CVaR--EGARCH model is constructed to measure the risk of a single stock. The risk value of a single stock is calculated accurately. According to the combined CVaR value, China Life can draw the risk reserve. Combined with marginal CVaR and component CVaR, it reveals the composition of portfolio risk. Use of performance evaluation indicators. The risk return of each stock is evaluated. China Life can adjust the stock portfolio by synthesizing the above risk information to control the overall risk of the portfolio. Finally. This paper summarizes the achievements of this paper, and puts forward the countermeasures to the risk of China Life Direct Investment Stock Market based on the results of the empirical study, and makes some suggestions on the application and promotion of CVaR model in our country.
【學(xué)位授予單位】：安徽財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F842.3;F224

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