本文選題：資金運(yùn)用　切入點(diǎn)：投資市場(chǎng)風(fēng)險(xiǎn)　出處：《湖南大學(xué)》2013年碩士論文

【摘要】：近幾年來(lái)，我國(guó)保險(xiǎn)業(yè)發(fā)展迅速，加速了行業(yè)競(jìng)爭(zhēng)。迫于競(jìng)爭(zhēng)壓力，保險(xiǎn)公司的承保利潤(rùn)下滑，保險(xiǎn)資金運(yùn)用顯得越發(fā)重要。伴隨著投資渠道的放寬，各主體紛紛加大了保險(xiǎn)資金的運(yùn)用。盡管保險(xiǎn)公司的可投資工具有多種，但大部分公司將資產(chǎn)配置于銀行存款、證券、股票等少數(shù)幾種工具上，投資結(jié)構(gòu)并不合理，保險(xiǎn)資金運(yùn)用存在較大的風(fēng)險(xiǎn)。我國(guó)監(jiān)管機(jī)構(gòu)對(duì)保險(xiǎn)資金可投資的債券等級(jí)做了較嚴(yán)格的規(guī)定，大大降低了保險(xiǎn)投資的信用風(fēng)險(xiǎn)，市場(chǎng)風(fēng)險(xiǎn)成為保險(xiǎn)投資的主要風(fēng)險(xiǎn)。對(duì)投資市場(chǎng)風(fēng)險(xiǎn)進(jìn)行有效度量有助于開(kāi)展有效的風(fēng)險(xiǎn)管理措施，提高保險(xiǎn)公司的整體收益，具有較大的理論和實(shí)踐意義。 本文對(duì)財(cái)產(chǎn)保險(xiǎn)公司資金運(yùn)用所面臨的投資市場(chǎng)風(fēng)險(xiǎn)進(jìn)行研究。首先分析投資市場(chǎng)風(fēng)險(xiǎn)對(duì)財(cái)產(chǎn)保險(xiǎn)公司償付能力的影響，以此為基礎(chǔ)，對(duì)保險(xiǎn)公司的投資市場(chǎng)風(fēng)險(xiǎn)現(xiàn)狀進(jìn)行分析，論述經(jīng)濟(jì)資本與投資市場(chǎng)風(fēng)險(xiǎn)的關(guān)系。通過(guò)對(duì)比多種金融風(fēng)險(xiǎn)測(cè)度方法，，選取Wang變換測(cè)度投資市場(chǎng)風(fēng)險(xiǎn)，對(duì)Wang變換起源、性質(zhì)、應(yīng)用進(jìn)行了剖析。在此基礎(chǔ)上，構(gòu)建Wang變換投資市場(chǎng)風(fēng)險(xiǎn)經(jīng)濟(jì)資本測(cè)度模型，對(duì)模型的原理、要素以及實(shí)現(xiàn)進(jìn)行分析。最后，以某有代表性財(cái)產(chǎn)保險(xiǎn)公司的資金運(yùn)用狀況為個(gè)案進(jìn)行分析。為排除2007年金融危機(jī)的影響，本文選取2010年1月~2013年4月為度量區(qū)間，以國(guó)債、金融債、企業(yè)債、證券投資基金、股票五種資產(chǎn)為研究對(duì)象，界定收益率低于同期銀行存款收益率的情況為損失。鑒于各指數(shù)收益率的特征，用GARCH擬合各指數(shù)收益率，以Frank Copula捕捉各資產(chǎn)相關(guān)關(guān)系，最后通過(guò)Wang變換對(duì)整體的損失分布進(jìn)行調(diào)整以測(cè)度經(jīng)濟(jì)資本。 實(shí)證結(jié)果表明，基于Wang變換測(cè)度的經(jīng)濟(jì)資本要大于VaR，以VaR測(cè)度投資市場(chǎng)風(fēng)險(xiǎn)經(jīng)濟(jì)資本易低估損失，而Wang變換對(duì)損失分布進(jìn)行調(diào)整，提高了投資市場(chǎng)風(fēng)險(xiǎn)經(jīng)濟(jì)資本測(cè)度的準(zhǔn)確性。
[Abstract]:In recent years, China's insurance industry has developed rapidly and accelerated competition in the industry. Under the pressure of competition, the underwriting profits of insurance companies have declined, and the use of insurance funds has become more and more important. With the relaxation of investment channels, The main bodies have increased the use of insurance funds. Although insurance companies have a variety of investable instruments, most companies allocate assets to a small number of instruments, such as bank deposits, securities, stocks, etc., and the investment structure is not reasonable. There is a greater risk in the use of insurance funds. Our country's regulatory bodies have made more stringent regulations on the bond grades in which insurance funds can be invested, which has greatly reduced the credit risk of insurance investments. Market risk becomes the main risk of insurance investment. It is of great theoretical and practical significance to measure the risk of investment market effectively to carry out effective risk management measures and to improve the overall income of insurance companies. This paper studies the investment market risks faced by property insurance companies in the use of funds. Firstly, it analyzes the influence of investment market risks on the solvency of property insurance companies. This paper analyzes the present situation of investment market risk of insurance company, discusses the relationship between economic capital and investment market risk, selects Wang transform to measure investment market risk, and analyzes the origin and nature of Wang transformation by comparing various financial risk measurement methods. On the basis of this, we construct the Wang transform investment market risk economic capital measurement model, and analyze the principle, elements and implementation of the model. In order to rule out the influence of the financial crisis in 2007, this paper selects January 2010 ~ April 2013 as the measurement range, and takes the national debt, financial debt, corporate debt, securities investment fund as the measurement range, taking the capital utilization status of a representative property insurance company as a case study, in order to exclude the impact of the financial crisis in 2007. Five kinds of assets of stock are taken as the object of study, and the situation that the rate of return is lower than that of bank deposit in the same period is defined as the loss. In view of the characteristics of the yield of each index, the paper uses GARCH to fit the yield of each index, and uses Frank Copula to capture the relationship between each asset. Finally, the overall loss distribution is adjusted by Wang transform to measure economic capital. The empirical results show that the economic capital based on Wang transform is larger than that of VaR, and the risk economic capital of investment market based on VaR is easy to underestimate the loss, while the Wang transformation adjusts the loss distribution. Improved the investment market risk economic capital measurement accuracy.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F842.3;F272.3

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