本文選題：企業(yè)年金基金 + 投資風險�。� 參考：《西南財經(jīng)大學》2013年碩士論文

【摘要】：隨著全球老齡化趨勢的不斷加劇、各國公共養(yǎng)老金制度的財務(wù)危機,多層次的養(yǎng)老保險體系正在不斷的被各國政府重視和完善。企業(yè)年金作為第二層次補充養(yǎng)老保險的重要性也在日益突出。它在完善養(yǎng)老保險制度、分擔政府養(yǎng)老責任以及提高退休職工的生活水平方面發(fā)揮著越來越重要的作用。目前世界各國絕大數(shù)國家的私人養(yǎng)老金計劃,也就是企業(yè)年金計劃大都采用基金積累制模式,隨著企業(yè)年金的不斷發(fā)展必定積累起龐大的基金資產(chǎn),這就決定了企業(yè)年金基金從建立之初就會與金融市場有著千絲萬縷的聯(lián)系。一方面企業(yè)年金基金的發(fā)展將會推動資本市場的發(fā)展和創(chuàng)新；另一方面,企業(yè)年金基金的投資績效和風險控制水平依賴于資本市場的完善以及基金投資工具的適用性。 但是包括中國在內(nèi)的世界資本市場風云變幻,各類風險充斥,威脅著企業(yè)年金基金的安全,特別是在2008年金融危機爆發(fā)給養(yǎng)老基金帶來重大的損失之后,引起各界對政府監(jiān)管的職責和批評,企業(yè)年金基金的保值增值、風險控制問題始終成為企業(yè)年金基金管理的熱點問題。而本文就是在此背景下主要討論了企業(yè)年金基金投資風險控制的思路和方法探索,根據(jù)既定的理論數(shù)據(jù)文獻基礎(chǔ)上,進行整理分析研究。 論文共分為六章,具體內(nèi)容和觀點如下： 第一章分析我國企業(yè)年金基金和風險管理的基本理論,以及中國企業(yè)年金基金投資管理的原則和現(xiàn)狀。企業(yè)年金基金投資基本原則是安全性、效益性和流動性標準,但是論文從企業(yè)年金基金的性質(zhì)和資本市場出發(fā),提出在遵循基本原則的前提下,企業(yè)年金還有遵循長期投資、價值投資、責任投資。在企業(yè)年金基金的風險管理理論中,論文分析研究了傳統(tǒng)的風險管理理論和現(xiàn)代風險管理理論,這些都是企業(yè)年金基金風險控制的基礎(chǔ)理論。第一章的最后分析研究了我國當今企業(yè)年金基金投資的現(xiàn)狀,主要存在著投資主體“空殼化”、投資風險控制水平較低、監(jiān)管力度不夠的現(xiàn)狀。 第二章分析研究了金融危機對世界包括中國在內(nèi)的養(yǎng)老金的影響,并在此背景下,反思企業(yè)年金基金投資風險過程中應(yīng)注意的問題。金融危機對企業(yè)年金基金造成的直接影響就是資產(chǎn)的大幅度縮水,越是權(quán)益性投資比重大的損失越是嚴重,而同時也造成企業(yè)年金基金積累制由DB型向DC型的轉(zhuǎn)變。但是對于中國的企業(yè)年金基金投資并未受金融危機過多影響,形勢比較樂觀,這個要得利于我國相對封閉的資本市場和企業(yè)年金基金投資實行嚴格的數(shù)量限制的監(jiān)管模式。但是從世界范圍來說,這次的金融危機值得我們對企業(yè)年金基金投資管理的反思：安全和效益的抉擇；監(jiān)管與金融創(chuàng)新的博弈；多元化投資渠道的方向；雇主、雇員、政府三者在投資損失中的責任等。 第三章從中國的實際出發(fā),分析影響中國企業(yè)年金基金投資風險控制的內(nèi)部和外部因素。外部因素主要包括中國證券市場和政府監(jiān)管兩個方面；其中,政府監(jiān)管主要體現(xiàn)在對企業(yè)年金基金投資管理的監(jiān)管和對金融市場的監(jiān)管兩個方面。而中國企業(yè)年金基金投資管理的混業(yè)經(jīng)營和金融混業(yè)經(jīng)營背景,不適合現(xiàn)如今我國正在實行的分業(yè)經(jīng)營監(jiān)管模式,金融混業(yè)背景下的企業(yè)年金基金監(jiān)管迫在眉睫。而在企業(yè)年金基金投資內(nèi)部影響因素則是我國基金信托投資管理模式中存在的道德風險和逆選擇以及投資主體空殼化問題。 第四章則從具體的技術(shù),包括風險度量技術(shù)和資產(chǎn)負債管理技術(shù)在中國的實施情況做出一些分析和思考。國際上對于金融的度量主要有方差或半方差法、VaR、CVaR等,但是對于各自都有自身的一些弊端。而對中國企業(yè)年金基金投資管理普遍實施的資產(chǎn)負債管理,本文再結(jié)合中國企業(yè)年金基金自身特點和情況,提出了應(yīng)當從制度建設(shè)、技術(shù)運營和創(chuàng)新方面以及人才的培養(yǎng)和引進加以實施,值得注意的是人才標準應(yīng)是技術(shù)和素質(zhì)的雙要求,以及在從基金管理人方向企業(yè)年金基金投資風險預算的探索思路。 第五章從世界范圍來具體分析了美國DC型私人養(yǎng)老金計劃、智利和香港地區(qū)企業(yè)年金基金投資風險控制的經(jīng)驗和教訓,在對其監(jiān)管制度的分析、投資渠道的選擇以及政府的責任等方面研究了各自的模式。最后提出了增加企業(yè)年金基金市場化運作的競爭機制、政府合理的投資收益擔保機制、企業(yè)年金基金投資監(jiān)管機制的調(diào)整和個人投資選擇權(quán)的參與等。 最后一章,論文提出了應(yīng)在企業(yè)年金基金在整個投資風險控制的過程中,首先完善我國企業(yè)年金基金投資擔保機制,從擔保方式的選擇,擔�；鸬姆e累、擔保的標準等方面都提出了思路；加強對企業(yè)年金基金投資的監(jiān)管,強化企業(yè)年金基金入市風險控制與風險監(jiān)管以及適時的調(diào)整監(jiān)管模式的思路；加強企業(yè)年金基金投資風險的預警機制的思路等。 本文可能的創(chuàng)新處： 對于企業(yè)年金基金投資風險控制的相關(guān)問題,國內(nèi)外都較多的研究,但是與其他文獻相比,論文可能的創(chuàng)新之處有： 對于企業(yè)年金基金投資風險控制的相關(guān)問題,國內(nèi)外都研究的比較多,但是與其他文獻相比,論文可能的創(chuàng)新之處有：(1)論文研究了在金融危機的背景下,在對國際包括中國企業(yè)年金基金投資狀態(tài)的分析整理,提出了對后金融危機背景下,對于企業(yè)年金基金投資風險控制的一些反思和思考,比如安全和效益的博弈、創(chuàng)新與監(jiān)管的博弈、多元投資渠道的開拓方向以及雇主、雇員和政府在企業(yè)年金基金投資風險損失的責任等；(2)論文在根據(jù)企業(yè)年金基金自身的性質(zhì)和中國資本市場的情況,提出在企業(yè)年金基金投資在遵循基本的投資的安全性、流動性、效益型的原則基礎(chǔ)上,強調(diào)了還需遵循長期投資、價值投資和責任投資的原則；(3)論文對企業(yè)年金基金投資風險的度量方法進行了分析總結(jié),并得出各自的優(yōu)缺點以及在實踐運用中的不足之處,同時指出在完善中國企業(yè)年金基金資產(chǎn)負債管理的一些建議和思考；(4)最后在對國內(nèi)外企業(yè)年金基金投資風險控制的經(jīng)驗上提出自己的一些政策建議,企業(yè)年金基金投資擔保模式的建議；監(jiān)管模式的調(diào)整；強化企業(yè)年金基金入市風險控制的監(jiān)管；風險預警機制的完善以及人才的培養(yǎng)引進等。
[Abstract]:With the increasing trend of the global aging, the financial crisis of the public pension system in various countries, the multi-level pension system is being paid attention to and perfected by the governments of various countries. The importance of the enterprise annuity as the second level supplemental pension insurance is becoming more and more important. It is playing a more and more important role in improving the living standard of retired workers. At present, the private pension plan of the vast number of countries in the world, that is, the enterprise annuity plan mostly adopts the model of fund accumulation, and will accumulate the huge fund assets with the continuous development of the enterprise annuity, which determines the enterprise annuity fund. On the one hand, the development of the enterprise annuity fund will promote the development and innovation of the capital market. On the other hand, the investment performance and risk control level of the enterprise annuity fund depends on the perfection of the capital market and the applicability of the capital investment tools.
However, the world capital market, including China, is changeable, all kinds of risks are flooded, threatening the security of the enterprise annuity fund, especially after the 2008 financial crisis has brought great losses to the pension fund, which has caused the responsibility and criticism of the government supervision, the value of the enterprise annuity fund is maintained and added, and the risk control is always the problem. It has become a hot issue in the management of enterprise annuity fund, and this paper is the main discussion of the thinking and method of the risk control of the enterprise annuity fund investment in this context, and carries out an analysis and Analysis on the basis of the established theoretical data literature.
The thesis is divided into six chapters. The specific contents and viewpoints are as follows:
The first chapter analyzes the basic theory of enterprise annuity fund and risk management, and the principle and present situation of the investment management of Chinese enterprise annuity fund. The basic principles of the enterprise annuity fund investment are security, benefit and liquidity standard. However, the paper, starting from the nature and capital market of the enterprise annuity fund, proposes to follow the basic principles. Under the premise, the enterprise annuity also follows the long-term investment, the value investment, the responsible investment. In the risk management theory of the enterprise annuity fund, the thesis analyzes and studies the traditional risk management theory and the modern risk management theory, these are the basic theories of the risk control of the enterprise annuity fund. The current situation of investment in enterprise annuity fund is mainly due to the "empty shell" of investment entities, low level of investment risk control and inadequate supervision.
The second chapter analyzes the impact of the financial crisis on the pension of the world, including China, and in this context, to reflect on the problems that should be paid attention to in the process of investment risk in the enterprise annuity fund. The direct impact of the financial crisis on the enterprise annuity fund is the large shrinkage of the assets, the more the equity investment is more than the significant loss. At the same time, it also causes the transformation of enterprise annuity fund accumulation from DB type to DC type. However, the investment of Chinese enterprise annuity fund has not been influenced too much by the financial crisis. The situation is more optimistic. This will benefit from the strict regulatory model of the relatively closed capital market and the investment of the enterprise annuity fund. But in the world, the financial crisis deserves our reflection on the investment management of the enterprise annuity fund: the choice of security and efficiency; the game of supervision and financial innovation; the direction of diversified investment channels; the three parties of employers, employees and government in the loss of investment.
The third chapter analyzes the internal and external factors affecting the risk control of Chinese enterprise annuity fund investment from the reality of China. The external factors mainly include the two aspects of China's securities market and government supervision, and the government supervision is mainly embodied in the supervision of the investment management of the enterprise annuity fund and the regulation of two parties to the financial market. The mixed operation and financial mixed operation background of the Chinese enterprise annuity fund investment management is not suitable for the division management mode which is now being implemented in our country. The supervision of the enterprise annuity fund under the background of the financial mixed industry is imminent. The internal influence factors of the investment of the enterprise annuity fund are the management models of the fund trust investment of our country. The moral hazard and adverse selection in the formula and the problem of shell of investors.
The fourth chapter makes some analysis and thinking from specific technology, including risk measurement technology and asset liability management technology in China. The measurement of finance mainly includes variance or semi variance method, VaR, CVaR, etc., but there are some disadvantages to each of them. According to the characteristics and conditions of the Chinese enterprise annuity fund, this paper puts forward that it should be implemented from the system construction, technical operation and innovation, and the training and introduction of talents. It is worth noting that the talent standard should be the dual requirements of technology and quality, and the year of the fund manager to the enterprise. The exploration of investment risk budget of gold fund.
The fifth chapter analyzes the American DC private pension plan, the experience and lessons of the investment risk control of the enterprise annuity fund in Chile and Hongkong, and studies the model of its regulatory system, the choice of investment channels and the responsibility of the government. Finally, it puts forward an increase in the enterprise annuity fund. The competition mechanism of the market operation, the reasonable government investment return guarantee mechanism, the adjustment of the investment supervision mechanism of the enterprise annuity fund and the participation of the individual investment choice.
In the last chapter, the paper puts forward that in the process of controlling the whole investment risk in the enterprise annuity fund, we should first perfect the investment guarantee mechanism of the enterprise annuity fund, and put forward the idea from the choice of the guarantee mode, the accumulation of guarantee fund, the standard of guarantee, and so on; strengthen the supervision of the investment of the enterprise annuity fund and strengthen the year of the enterprise. The thinking of the risk control and risk regulation of the gold fund and the timely adjustment of the supervision mode, and the thinking of strengthening the early warning mechanism of the investment risk of the enterprise annuity fund.
The possible innovation of this article:
There are many researches on the risk control of enterprise annuity fund investment both at home and abroad.
There are many researches on the risk control of the enterprise annuity fund investment risk, but compared with other literature, the possible innovations of the paper are as follows: (1) the paper studies the analysis and arrangement of the investment state of the Chinese enterprise annuity fund under the background of the financial crisis, and puts forward the background of the post financial crisis. Some reflection and thinking about the risk control of the enterprise annuity fund investment risk, such as the game of safety and benefit, the game of innovation and supervision, the development direction of the multiple investment channels and the responsibility of employers, employees and government in the investment risk of the enterprise annuity fund. (2) the paper is based on the nature and the nature of the enterprise annuity fund itself. On the basis of the principle of security, liquidity and benefit based on the basic investment, it emphasizes the principle of following the principle of long-term investment, value investment and responsible investment. (3) the paper analyses and summarizes the measurement methods of investment risk of the enterprise annuity fund, and draws a conclusion. At the same time, it points out some suggestions and Thoughts on improving the asset and liability management of Chinese enterprise annuity fund, and (4) finally, it puts forward some policy proposals and suggestions on the investment guarantee model of the enterprise annuity fund in the experience of the risk control of the domestic and foreign enterprise annuity fund investment. The adjustment of regulatory mode; strengthening the supervision of the risk control of enterprise annuity fund entering the market; perfecting the risk early warning mechanism and introducing talents into training.

【學位授予單位】：西南財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.48;F842.6

【參考文獻】

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