基于市場化運營的養(yǎng)老保險基金資產(chǎn)配置研究
發(fā)布時間：2019-02-17 12:24
【摘要】：隨著養(yǎng)老保險制度改革的進一步推進，統(tǒng)賬結(jié)合制下養(yǎng)老保險基金資產(chǎn)配置效率的提高成為新時期亟需解決的重要議題。高通貨膨脹，市場利率走低以及單一的投資渠道很大程度上限制了中國養(yǎng)老保險基金投資收益的提高，不利于制度的可持續(xù)發(fā)展。若能夠堅持公平與效率，安全與穩(wěn)定原則，穩(wěn)步探索可持續(xù)發(fā)展的市場化運營模式，審慎拓寬養(yǎng)老保險基金的投資范圍，將有助于提高養(yǎng)老保險基金的收益水平，因此本文將在人口老齡化以及通貨膨脹居高不下的現(xiàn)實背景下，研究探討市場化運營模式下我國養(yǎng)老保險基金的最優(yōu)資產(chǎn)配置。 本文首先對國內(nèi)外養(yǎng)老保險基金投資運營的相關(guān)文獻進行了系統(tǒng)梳理。國外關(guān)于養(yǎng)老保險的研究始于對制度模式的探討以及養(yǎng)老保障制度再分配效應(yīng)的研究。隨著制度的不斷演進，過渡到對養(yǎng)老金投資運營管理的探索與研究。國內(nèi)關(guān)于養(yǎng)老保險基金的研究首先是養(yǎng)老保險制度轉(zhuǎn)軌過程中的制度選擇問題；其次，是制度變遷過程中的基金缺口以及隱性債務(wù)研究；最后，是新時期對于養(yǎng)老保險基金投資運營管理問題的探討。在研究的具體過程中，，由于體制的差異，國內(nèi)外研究方法與結(jié)果也存在差異，但是國內(nèi)外關(guān)于養(yǎng)老保障問題的研究，目的都是制度的可持續(xù)發(fā)展以及社會的公平與效率。 理論研究部分首先基于單指數(shù)市場模型對我國養(yǎng)老保險基金的市場化運營模式進行理論分析。結(jié)果顯示完全市場化運營模式下，資產(chǎn)持有率受通貨膨脹以及資本市場利率的共同影響。部分市場化運營模式下，當(dāng)通貨膨脹率小于資本市場收益率時，無風(fēng)險資產(chǎn)持有率同通貨膨脹率反向變動。其次，利用VaR與RAROC指標(biāo)構(gòu)建了風(fēng)險調(diào)整后的均值-VaR模型作為實證模擬的模型基礎(chǔ)。 實證部分利用模擬估值等方法，對不同市場化運營模式下的養(yǎng)老保險基金投資組合以及資產(chǎn)配置進行實證測算，并模擬了戰(zhàn)略型資產(chǎn)配置方式的動態(tài)調(diào)整過程。結(jié)果顯示：部分市場化條件下投資組合的VaR值均小于完全市場化模式，RAROC大于完全市場化模式。同時，養(yǎng)老保險基金對風(fēng)險資產(chǎn)的偏好程度也有所差異，更偏向于能夠帶來穩(wěn)定收益的固定收益類資產(chǎn)，而對股票資產(chǎn)表現(xiàn)出一定的謹(jǐn)慎原則。 最后，根據(jù)分析結(jié)果提出了相應(yīng)的政策建議，在制定養(yǎng)老保險投資策略的過程中，明確的投資目標(biāo)以及風(fēng)險預(yù)測是養(yǎng)老保險基金資產(chǎn)配置的關(guān)鍵環(huán)節(jié)，應(yīng)該逐步擴大養(yǎng)老保險基金的投資范圍。加強與專業(yè)基金管理機構(gòu)的合作，以提高自身養(yǎng)老保險基金投資運營的專業(yè)化水平，同時監(jiān)管制度的完善以及投資運營管理相關(guān)法律法規(guī)的制定將有助于投資風(fēng)險的有效控制。
[Abstract]:With the further development of the reform of the pension insurance system, the improvement of the asset allocation efficiency of the pension insurance funds under the combined system of unified accounts has become an important issue that needs to be solved in the new period. High inflation, low market interest rate and single investment channel greatly limit the improvement of investment income of Chinese pension insurance fund, which is not conducive to the sustainable development of the system. If we can adhere to the principles of fairness and efficiency, safety and stability, explore the market-oriented operation mode of sustainable development steadily, and prudently widen the investment range of pension insurance fund, it will help to improve the income level of pension insurance fund. Therefore, under the background of aging population and high inflation, this paper will study the optimal asset allocation of Chinese pension insurance fund under the market-oriented operation mode. In this paper, the investment and operation of pension funds at home and abroad are systematically combed. The research on endowment insurance abroad begins with the study of the system model and the redistribution effect of the old-age security system. With the continuous evolution of the system, the transition to the pension investment management exploration and research. The research on endowment insurance fund in China is firstly about the system selection in the process of transition of pension insurance system, secondly, about the fund gap and hidden debt in the process of institutional change. Finally, this paper discusses the investment and operation management of pension fund in the new period. In the specific process of the study, due to the differences in system, there are differences in research methods and results at home and abroad. However, the purpose of the research on old-age security at home and abroad is the sustainable development of the system and the fairness and efficiency of the society. Firstly, based on the single index market model, the theoretical analysis of the market-oriented operation mode of endowment insurance fund in China is carried out. The results show that the asset holding rate is affected by inflation and capital market interest rate under the completely market-oriented operation mode. In the partial market-oriented operation mode, when the inflation rate is less than the return rate of capital market, the risk-free asset holding rate changes inversely with the inflation rate. Secondly, the average VaR model after risk adjustment is constructed by using VaR and RAROC as the model foundation of empirical simulation. The empirical part uses the simulation valuation and other methods to measure the pension fund portfolio and asset allocation under different market-oriented operating modes and simulates the dynamic adjustment process of strategic asset allocation. The results show that the VaR value of the portfolio is lower than that of the complete marketization model, and the RAROC is larger than that of the complete marketization model under the condition of partial marketization. At the same time, the degree of pension fund preference to risk assets is also different, more inclined to the fixed income assets which can bring stable income, and shows a certain cautious principle to the stock assets. Finally, according to the results of the analysis, the corresponding policy recommendations are put forward. In the process of formulating the investment strategy of pension insurance, the clear investment target and risk prediction are the key link of the asset allocation of the pension insurance fund. Should expand endowment insurance fund investment range step by step. Strengthening the cooperation with professional fund management institutions to improve the professional level of investment and operation of pension insurance funds, at the same time, the improvement of supervision system and the establishment of relevant laws and regulations on investment operation management will contribute to the effective control of investment risk.
【學(xué)位授予單位】：重慶大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F842.67
本文編號：2425162
[Abstract]:With the further development of the reform of the pension insurance system, the improvement of the asset allocation efficiency of the pension insurance funds under the combined system of unified accounts has become an important issue that needs to be solved in the new period. High inflation, low market interest rate and single investment channel greatly limit the improvement of investment income of Chinese pension insurance fund, which is not conducive to the sustainable development of the system. If we can adhere to the principles of fairness and efficiency, safety and stability, explore the market-oriented operation mode of sustainable development steadily, and prudently widen the investment range of pension insurance fund, it will help to improve the income level of pension insurance fund. Therefore, under the background of aging population and high inflation, this paper will study the optimal asset allocation of Chinese pension insurance fund under the market-oriented operation mode. In this paper, the investment and operation of pension funds at home and abroad are systematically combed. The research on endowment insurance abroad begins with the study of the system model and the redistribution effect of the old-age security system. With the continuous evolution of the system, the transition to the pension investment management exploration and research. The research on endowment insurance fund in China is firstly about the system selection in the process of transition of pension insurance system, secondly, about the fund gap and hidden debt in the process of institutional change. Finally, this paper discusses the investment and operation management of pension fund in the new period. In the specific process of the study, due to the differences in system, there are differences in research methods and results at home and abroad. However, the purpose of the research on old-age security at home and abroad is the sustainable development of the system and the fairness and efficiency of the society. Firstly, based on the single index market model, the theoretical analysis of the market-oriented operation mode of endowment insurance fund in China is carried out. The results show that the asset holding rate is affected by inflation and capital market interest rate under the completely market-oriented operation mode. In the partial market-oriented operation mode, when the inflation rate is less than the return rate of capital market, the risk-free asset holding rate changes inversely with the inflation rate. Secondly, the average VaR model after risk adjustment is constructed by using VaR and RAROC as the model foundation of empirical simulation. The empirical part uses the simulation valuation and other methods to measure the pension fund portfolio and asset allocation under different market-oriented operating modes and simulates the dynamic adjustment process of strategic asset allocation. The results show that the VaR value of the portfolio is lower than that of the complete marketization model, and the RAROC is larger than that of the complete marketization model under the condition of partial marketization. At the same time, the degree of pension fund preference to risk assets is also different, more inclined to the fixed income assets which can bring stable income, and shows a certain cautious principle to the stock assets. Finally, according to the results of the analysis, the corresponding policy recommendations are put forward. In the process of formulating the investment strategy of pension insurance, the clear investment target and risk prediction are the key link of the asset allocation of the pension insurance fund. Should expand endowment insurance fund investment range step by step. Strengthening the cooperation with professional fund management institutions to improve the professional level of investment and operation of pension insurance funds, at the same time, the improvement of supervision system and the establishment of relevant laws and regulations on investment operation management will contribute to the effective control of investment risk.
【學(xué)位授予單位】：重慶大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F842.67
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