本文選題：流動(dòng)性風(fēng)險(xiǎn)　切入點(diǎn)：壓力測試　出處：《湖南大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：流動(dòng)性風(fēng)險(xiǎn)一直是商業(yè)銀行風(fēng)險(xiǎn)管理的重要內(nèi)容之一。同樣作為負(fù)債經(jīng)營的金融機(jī)構(gòu)，壽險(xiǎn)公司也面臨著流動(dòng)性風(fēng)險(xiǎn)，尤其是在近幾年壽險(xiǎn)業(yè)分紅險(xiǎn)集中滿期和退保風(fēng)險(xiǎn)加大的情況下，壽險(xiǎn)公司面臨著巨大的流動(dòng)性需求。當(dāng)壽險(xiǎn)公司對保險(xiǎn)給付或退保金等其他現(xiàn)金支出不能及時(shí)支付時(shí)，流動(dòng)性風(fēng)險(xiǎn)就出現(xiàn)了。因此，對壽險(xiǎn)公司進(jìn)行流動(dòng)性風(fēng)險(xiǎn)管理是非常有必要的。 流動(dòng)性風(fēng)險(xiǎn)的衡量通常有指標(biāo)分析法和現(xiàn)金流量法兩種。指標(biāo)分析法是靜態(tài)方法，反映金融機(jī)構(gòu)某個(gè)時(shí)點(diǎn)上的流動(dòng)性水平及其風(fēng)險(xiǎn)狀態(tài)；現(xiàn)金流量法是動(dòng)態(tài)方法，反映金融機(jī)構(gòu)一段時(shí)間內(nèi)的流動(dòng)性狀況�，F(xiàn)金流量法考慮了客戶行為以及金融機(jī)構(gòu)獲得流動(dòng)性的能力，相對靜態(tài)指標(biāo)來說是比較合適的流動(dòng)性風(fēng)險(xiǎn)衡量方法。 本文把壓力測試運(yùn)用到現(xiàn)金流量法中，觀察壽險(xiǎn)公司在壓力情景下的流動(dòng)性狀況，，根據(jù)壓力測試的結(jié)果進(jìn)行流動(dòng)性風(fēng)險(xiǎn)管理。文章詳細(xì)分析了對壽險(xiǎn)公司流動(dòng)性風(fēng)險(xiǎn)進(jìn)行壓力測試的步驟，并選定了某兩家壽險(xiǎn)公司（A公司和B公司）進(jìn)行了具體的應(yīng)用研究。實(shí)證部分本文選取流動(dòng)性缺口作為衡量A公司和B公司流動(dòng)性風(fēng)險(xiǎn)的衡量指標(biāo)，確定了生存給付、退保率、新單保費(fèi)為影響這兩家公司流動(dòng)性風(fēng)險(xiǎn)的風(fēng)險(xiǎn)因子，用假設(shè)情景法設(shè)計(jì)壓力情景，對兩家公司進(jìn)行了壓力測試。通過對這兩家公司進(jìn)行壓力測試，觀察其在壓力情景下的流動(dòng)性狀況，判斷這兩家公司在壓力情景下出現(xiàn)流動(dòng)性風(fēng)險(xiǎn)的可能性。測試結(jié)果表明，影響A公司流動(dòng)性風(fēng)險(xiǎn)的主要風(fēng)險(xiǎn)因子為生存給付及退保率；在短期內(nèi)即使在極端不利情景下，A公司的流動(dòng)性也是充足的，不會(huì)出現(xiàn)流動(dòng)性風(fēng)險(xiǎn)；在長期持續(xù)的壓力情景下，A公司可能會(huì)出現(xiàn)流動(dòng)性風(fēng)險(xiǎn)；因?yàn)闈M期給付無法避免，所以A公司必須防范退保風(fēng)險(xiǎn)，采取措施避免退保危機(jī)的出現(xiàn)。影響B(tài)公司流動(dòng)性風(fēng)險(xiǎn)的主要風(fēng)險(xiǎn)因子為退保率和新業(yè)務(wù)保費(fèi)收入，在短期和長期壓力測試中B公司的流動(dòng)性都是充足的，不會(huì)出現(xiàn)流動(dòng)性風(fēng)險(xiǎn)，但是B公司還是要防范退保風(fēng)險(xiǎn)，積極提高保費(fèi)收入。 文章最后對我國壽險(xiǎn)公司應(yīng)用壓力測試進(jìn)行風(fēng)險(xiǎn)管理和壽險(xiǎn)公司進(jìn)行流動(dòng)性風(fēng)險(xiǎn)管理提出了幾點(diǎn)建議。
[Abstract]:Liquidity risk has always been one of the important contents of risk management in commercial banks. As a financial institution operating in debt, life insurance companies also face liquidity risks. Especially in recent years, life insurance companies are faced with a huge demand for liquidity under the circumstances of concentrated dividend payouts and increased risk of withdrawal. When life insurance companies are unable to pay their insurance payments or other cash payments, such as refund funds, in a timely manner, Therefore, it is necessary to manage the liquidity risk of life insurance companies. The measurement of liquidity risk is usually divided into two kinds: index analysis method and cash flow method. Index analysis method is a static method, which reflects the liquidity level and its risk state at a certain point in a financial institution, while the cash flow method is a dynamic method. The cash flow method takes into account the behavior of customers and the ability of financial institutions to obtain liquidity. It is a more suitable method to measure liquidity risk compared with static indicators. In this paper, the stress test is applied to the cash flow method to observe the liquidity of the life insurance company under the stress situation. Based on the results of the stress test, the paper analyzes the steps of testing the liquidity risk of the life insurance company in detail. In the empirical part, the liquidity gap is selected as the measure of liquidity risk of A company and B company, and the survival payment rate and reinsurance rate are determined. The new single premium, as a risk factor affecting the liquidity risk of the two companies, designed the stress scenarios using the hypothetical scenario approach and conducted stress tests on the two companies. The liquidity status of the two companies under the stress scenario was observed and the possibility of liquidity risk in the two companies was judged. The test results showed that the main risk factors affecting liquidity risk of company A were survival payment and the rate of reinsurance. In the short term, even in extreme adverse scenarios, the liquidity of company A is sufficient and there is no liquidity risk; in a long-term and continuous stress scenario, the liquidity risk may arise; because the full payment cannot be avoided, So Company A must guard against the risk of reinsurance and take measures to avoid the crisis. The main risk factors affecting the liquidity risk of Company B are the rate of withdrawal and the premium income of new business. In both short-term and long-term stress tests, the liquidity of Company B is sufficient and there will be no liquidity risk. However, Company B should guard against the risk of withdrawal and actively increase the premium income. Finally, some suggestions are put forward for life insurance companies to apply stress test to risk management and life insurance companies to carry out liquidity risk management.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F842.3

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