本文關(guān)鍵詞： 保險(xiǎn)資金 金融衍生品 風(fēng)險(xiǎn) VaR　出處：《西南財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：近幾年,隨著我國(guó)經(jīng)濟(jì)的快速發(fā)展,我國(guó)保險(xiǎn)業(yè)也取得了較顯著的成就,保費(fèi)收入及保險(xiǎn)資金可運(yùn)用余額都大幅增加,與此同時(shí),如何對(duì)保險(xiǎn)資金進(jìn)行有效投資運(yùn)用并提高其投資收益率就成為關(guān)系到保險(xiǎn)公司生存和發(fā)展的重要因素。自2012年10月保監(jiān)會(huì)發(fā)布保險(xiǎn)資金投資新政,允許保險(xiǎn)資金參與金融衍生品的交易以來(lái),目前還沒(méi)有出臺(tái)有關(guān)具體品種的交易規(guī)定。所以,要使保險(xiǎn)資金穩(wěn)健地參與金融衍生品的投資交易還有很長(zhǎng)的路要走。 保險(xiǎn)資金的投資面臨一些列的風(fēng)險(xiǎn),因此如何進(jìn)行專(zhuān)業(yè)而有效地風(fēng)險(xiǎn)管理,并使資金保值增值就顯得尤為重要。VaR (Value at Risk)即風(fēng)險(xiǎn)價(jià)值,作為時(shí)下被眾多金融企業(yè)集團(tuán)認(rèn)可并廣泛運(yùn)用的一種風(fēng)險(xiǎn)管理方法,是指在一個(gè)特定的期間內(nèi),在給定的置信度下,一項(xiàng)金融資產(chǎn)或投資組合可能發(fā)生的最大潛在損失值。本文正是基于對(duì)VaR的計(jì)算,結(jié)合我國(guó)目前保險(xiǎn)資金運(yùn)用的狀況,將VaR方法應(yīng)用到我國(guó)保險(xiǎn)資金投資的風(fēng)險(xiǎn)管理中。 本文一共分為六個(gè)部分。 第一部分為導(dǎo)論,主要介紹了本文選題的背景及目的,在對(duì)國(guó)內(nèi)外相關(guān)研究文獻(xiàn)進(jìn)行分析綜述的基礎(chǔ)上,提出本文的研究?jī)?nèi)容及采用的研究方法,并指出其創(chuàng)新和不足點(diǎn)。保險(xiǎn)和投資是保險(xiǎn)公司主要的兩大業(yè)務(wù),在保險(xiǎn)業(yè)務(wù)不斷發(fā)展,保費(fèi)規(guī)模及保險(xiǎn)資金余額不斷增加的情況下,對(duì)保險(xiǎn)資金的投資運(yùn)用問(wèn)題就越來(lái)越得到重視。而歷年來(lái)我國(guó)保險(xiǎn)資金的投資收益率時(shí)漲時(shí)跌,極不穩(wěn)定,特別是2007年到2008年由于金融危機(jī)及股市的大起大落而導(dǎo)致的劇烈波動(dòng),對(duì)保險(xiǎn)公司維持保險(xiǎn)資金的安全性和流動(dòng)性是極為不利的。本文從保險(xiǎn)資金投資金融衍生品以規(guī)避風(fēng)險(xiǎn)和套期保值的目的出發(fā),研究我國(guó)保險(xiǎn)資金參與衍生品交易的必要性和可行性,這對(duì)現(xiàn)階段我國(guó)保險(xiǎn)資金的合理運(yùn)用有重要的現(xiàn)實(shí)意義。 第二部分對(duì)保險(xiǎn)資金的運(yùn)用及其投資衍生品的基本理論進(jìn)行了闡述。首先,明確了金融衍生品的定義、分類(lèi)以及其高杠桿性、高風(fēng)險(xiǎn)性、復(fù)雜性及虛擬性等特征。同時(shí),從保險(xiǎn)資金的構(gòu)成、來(lái)源及其投資運(yùn)用的原則等方面對(duì)保險(xiǎn)資金的運(yùn)用進(jìn)行了概述,強(qiáng)調(diào)資金的安全性和流動(dòng)性是保險(xiǎn)資金投資運(yùn)用的首要原則,而收益性是目的,多樣性是資金運(yùn)用的手段。最后在此前提下,對(duì)保險(xiǎn)資金投資金融衍生品的理論及現(xiàn)實(shí)背景進(jìn)行闡述和分析。其中資產(chǎn)負(fù)債管理理論主要強(qiáng)調(diào)資產(chǎn)與負(fù)債相匹配是核心,不僅是二者在總量規(guī)模上的匹配,還包括投資期限結(jié)構(gòu)、成本收益及持有償還期間的匹配等。而投資組合理論則著重投資風(fēng)險(xiǎn)的分散,通過(guò)均值-方差模型的建立,來(lái)選擇確定一個(gè)在風(fēng)險(xiǎn)一定的情況下使其收益最大的資產(chǎn)投資組合。保險(xiǎn)資金投資金融衍生品不僅是對(duì)現(xiàn)有投資組合風(fēng)險(xiǎn)的進(jìn)一步分散,同時(shí)也有利于保險(xiǎn)公司的資產(chǎn)負(fù)債匹配管理,并且在金融市場(chǎng)不斷發(fā)展變化以及金融資產(chǎn)價(jià)格不斷波動(dòng)等的現(xiàn)實(shí)情況下,也表明了保險(xiǎn)資金參與衍生品交易的必要性。 第三部分著重于比較分析,本文選擇了保險(xiǎn)業(yè)相當(dāng)發(fā)達(dá)的美國(guó)、英國(guó)和日本三個(gè)國(guó)家的保險(xiǎn)資金投資組合狀況,分析了各國(guó)保險(xiǎn)資金投資于各項(xiàng)資產(chǎn)的比例,并簡(jiǎn)要列舉了各國(guó)不同的保險(xiǎn)監(jiān)管制度。在吸收總結(jié)各國(guó)保險(xiǎn)資金投資運(yùn)用先進(jìn)經(jīng)驗(yàn)的基礎(chǔ)上,來(lái)得出如何對(duì)我國(guó)保險(xiǎn)資金進(jìn)行有效投資運(yùn)用的啟示。不僅要多樣化保險(xiǎn)資金的投資渠道,優(yōu)化投資結(jié)構(gòu),還要結(jié)合我國(guó)國(guó)情對(duì)保險(xiǎn)資金投資進(jìn)行合理監(jiān)管。對(duì)于金融衍生品的投資,必須明確其投資目的,只能是規(guī)避風(fēng)險(xiǎn)及套期保值,而不能進(jìn)行投機(jī),以保障資金的安全性和確保保險(xiǎn)公司擁有足夠的償付能力并最終保障被保險(xiǎn)人的利益。 第四部分具體從我國(guó)保險(xiǎn)業(yè)的發(fā)展以及保險(xiǎn)資金投資運(yùn)用的現(xiàn)狀、現(xiàn)階段存在的問(wèn)題出發(fā),深入闡述并分析了我國(guó)保險(xiǎn)資金投資所存在的問(wèn)題,如投資結(jié)構(gòu)不合理、投資收益率低及資產(chǎn)負(fù)債不匹配等。與前文所述發(fā)達(dá)國(guó)家保險(xiǎn)資金的投資形成對(duì)比,并進(jìn)一步分析了我國(guó)保險(xiǎn)資金投資金融衍生品的必要性和安全性。 第五部分主要是以廣泛應(yīng)用的風(fēng)險(xiǎn)價(jià)值VaR方法為基礎(chǔ),對(duì)是否投資金融衍生品的兩種情況下的證券投資組合的風(fēng)險(xiǎn)進(jìn)行了簡(jiǎn)要計(jì)算。本章首先對(duì)保險(xiǎn)資金投資金融衍生品后可能面臨的一些主要風(fēng)險(xiǎn)進(jìn)行識(shí)別,如信用風(fēng)險(xiǎn)、市場(chǎng)風(fēng)險(xiǎn)、以及流動(dòng)性風(fēng)險(xiǎn)等。其次,基于對(duì)VaR模型基本理論的闡述,包括VaR方法的產(chǎn)生、如何計(jì)算證券投資組合的VaR和單項(xiàng)資產(chǎn)的成分VaR等。通過(guò)對(duì)我國(guó)保險(xiǎn)資金投資模型的構(gòu)建,利用各變量資本市場(chǎng)的數(shù)據(jù),以及Excel和Eviews的計(jì)算,對(duì)兩種情況下保險(xiǎn)資金投資組合的VaR值和成分VaR值進(jìn)行了比較分析。 這里為方便計(jì)算,假設(shè)我國(guó)保險(xiǎn)資金投資組合為銀行存款、股票、基金和債券,并基于發(fā)達(dá)國(guó)家的經(jīng)驗(yàn)將投資衍生品的比例假設(shè)為3%,以滬深300指數(shù)現(xiàn)貨價(jià)格代替股指期貨作為衍生品的替代變量進(jìn)行計(jì)算。結(jié)果發(fā)現(xiàn)在投資衍生品后,資產(chǎn)投資組合中各資產(chǎn)的風(fēng)險(xiǎn)確實(shí)降低了,從而進(jìn)一步驗(yàn)證了我國(guó)保險(xiǎn)資金投資于金融衍生品的可行性。但同時(shí),作為數(shù)理統(tǒng)計(jì)方法的一種,YaR方法本身也存在一些缺陷,如對(duì)數(shù)據(jù)進(jìn)行正態(tài)性分布的假設(shè)等,因此其結(jié)果只是作為一種參考。保險(xiǎn)公司不能僅僅依靠數(shù)量分析來(lái)做出任何投資決策,而要全面考慮各種因素,理性決策,穩(wěn)健投資,以保障資金的安全性。 最后第六部分對(duì)我國(guó)保險(xiǎn)資金投資金融衍生品從不同的角度提出了一些建議。首先,從監(jiān)管層面來(lái)看,由于金融衍生品的高風(fēng)險(xiǎn)性,監(jiān)管機(jī)構(gòu)必須加強(qiáng)監(jiān)管,并根據(jù)市場(chǎng)變化及時(shí)調(diào)整監(jiān)管方式,還要結(jié)合國(guó)際上保險(xiǎn)監(jiān)管發(fā)展所呈現(xiàn)的新趨勢(shì),注重動(dòng)態(tài)監(jiān)管及“謹(jǐn)慎監(jiān)管”的原則等。從保險(xiǎn)公司自身來(lái)說(shuō),要對(duì)投資金融衍生品的可行性進(jìn)行分析,做好前期準(zhǔn)備以規(guī)避風(fēng)險(xiǎn)。同時(shí)更重要的是要加強(qiáng)提高其內(nèi)部管理的水平,制定相關(guān)的投資管理制度,明確各職能部門(mén)的職責(zé),從戰(zhàn)略及管理層面上防范風(fēng)險(xiǎn)。當(dāng)然,專(zhuān)業(yè)且富有經(jīng)驗(yàn)的投資管理人才也是保險(xiǎn)公司合理有效運(yùn)用資金的重中之重,因此保險(xiǎn)公司還需加強(qiáng)對(duì)人才的培養(yǎng)和重視。最后,從我國(guó)金融衍生品市場(chǎng)的角度,還需深化基礎(chǔ)市場(chǎng)建設(shè),逐步建立多層次的金融衍生品市場(chǎng)結(jié)構(gòu),以充分發(fā)揮衍生品對(duì)沖或規(guī)避風(fēng)險(xiǎn)的功能。 總的來(lái)說(shuō),我國(guó)保險(xiǎn)資金參與金融衍生品的交易是可行的,但還有很長(zhǎng)的路要走。由于衍生品天然的高風(fēng)險(xiǎn)性,這不僅是對(duì)保險(xiǎn)公司風(fēng)險(xiǎn)管理水平的考驗(yàn),同時(shí)也有待于衍生品市場(chǎng)的發(fā)展和創(chuàng)新。對(duì)于保險(xiǎn)資金投資衍生品的比例,通過(guò)不斷的市場(chǎng)調(diào)節(jié)及保險(xiǎn)公司的不斷發(fā)展,這一投資比例將最終趨于穩(wěn)定。
[Abstract]:In recent years , with the rapid development of our economy , China ' s insurance industry has achieved remarkable achievements , and the premium income and the available balance of insurance funds have been greatly increased . At the same time , how to effectively invest in insurance funds and raise its investment yield becomes an important factor in relation to the existence and development of insurance companies . Since the CIRC issued the new government of insurance funds in October 2012 , it has not yet issued transaction regulations on specific varieties . Therefore , it is also a long way to take insurance funds to participate in the investment transaction of financial derivatives . VaR ( Value at Risk ) is a kind of risk management method which is recognized and widely applied by a large number of financial enterprise groups . VaR ( Value at Risk ) is the most potential loss value that can happen under a given confidence level under a given confidence level . This article is divided into six parts altogether . The first part introduces the background and purpose of this paper . On the basis of the analysis of relevant domestic and foreign research literatures , this paper puts forward the research contents and the research methods adopted in this paper , and points out its innovation and shortage . The insurance and investment are the main two major businesses of insurance companies . The second part describes the application of insurance funds and the basic theory of investment derivatives . Firstly , the definition and classification of financial derivatives and their characteristics such as their high leverage , high risk , complexity and virtual property are discussed . The third part focuses on comparative analysis . In this paper , the author selects the insurance funds investment portfolio in three countries , such as the United States , Britain and Japan , which is quite advanced in the insurance industry , analyses the different kinds of insurance supervision system . The fourth part , from the development of the insurance industry in our country and the present situation of the application of insurance fund investment , expounds and analyzes the problems existing in the investment of insurance funds in our country , such as unreasonable investment structure , low return rate of investment and mismatch of assets and liabilities . The fifth part is mainly based on the widely used risk value VaR method , and makes a brief calculation on the risk of the portfolio investment in the two cases of whether the financial derivatives are invested . This chapter firstly identifies the main risks that may be faced after the financial derivatives are invested in the insurance funds , such as credit risk , market risk and liquidity risk . Secondly , based on the construction of the insurance fund investment model , the VaR and the VaR of the portfolio of the insurance funds are compared . In this paper , it is assumed that the portfolio of Chinese insurance funds is a bank deposit , stock , fund and bond , and the proportion of investment derivatives is assumed to be 3 % based on the experience of developed countries . In the last part , the sixth part puts forward some suggestions on the financial derivatives of insurance funds in China from different angles . First , because of the high risk of financial derivatives , the supervision institutions must strengthen supervision and adjust the supervision mode in time according to the changes of market changes . Generally speaking , China ' s insurance funds are feasible to participate in transactions of financial derivatives , but there is a long way to go . Because of the natural high risk of derivatives , this is not only the test of the risk management level of insurance companies , but also the development and innovation of derivatives markets .

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F842.3;F832.48

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本文編號(hào)：1534808