本文選題：流動性風險　切入點：壓力測試　出處：《湖南大學》2014年碩士論文　論文類型：學位論文

【摘要】：流動性風險一直是商業(yè)銀行風險管理的重要內(nèi)容之一。同樣作為負債經(jīng)營的金融機構，壽險公司也面臨著流動性風險，尤其是在近幾年壽險業(yè)分紅險集中滿期和退保風險加大的情況下，壽險公司面臨著巨大的流動性需求。當壽險公司對保險給付或退保金等其他現(xiàn)金支出不能及時支付時，流動性風險就出現(xiàn)了。因此，對壽險公司進行流動性風險管理是非常有必要的。 流動性風險的衡量通常有指標分析法和現(xiàn)金流量法兩種。指標分析法是靜態(tài)方法，反映金融機構某個時點上的流動性水平及其風險狀態(tài)；現(xiàn)金流量法是動態(tài)方法，反映金融機構一段時間內(nèi)的流動性狀況�，F(xiàn)金流量法考慮了客戶行為以及金融機構獲得流動性的能力，相對靜態(tài)指標來說是比較合適的流動性風險衡量方法。 本文把壓力測試運用到現(xiàn)金流量法中，觀察壽險公司在壓力情景下的流動性狀況，，根據(jù)壓力測試的結果進行流動性風險管理。文章詳細分析了對壽險公司流動性風險進行壓力測試的步驟，并選定了某兩家壽險公司（A公司和B公司）進行了具體的應用研究。實證部分本文選取流動性缺口作為衡量A公司和B公司流動性風險的衡量指標，確定了生存給付、退保率、新單保費為影響這兩家公司流動性風險的風險因子，用假設情景法設計壓力情景，對兩家公司進行了壓力測試。通過對這兩家公司進行壓力測試，觀察其在壓力情景下的流動性狀況，判斷這兩家公司在壓力情景下出現(xiàn)流動性風險的可能性。測試結果表明，影響A公司流動性風險的主要風險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公司的流動性也是充足的，不會出現(xiàn)流動性風險；在長期持續(xù)的壓力情景下，A公司可能會出現(xiàn)流動性風險；因為滿期給付無法避免，所以A公司必須防范退保風險，采取措施避免退保危機的出現(xiàn)。影響B(tài)公司流動性風險的主要風險因子為退保率和新業(yè)務保費收入，在短期和長期壓力測試中B公司的流動性都是充足的，不會出現(xiàn)流動性風險，但是B公司還是要防范退保風險，積極提高保費收入。 文章最后對我國壽險公司應用壓力測試進行風險管理和壽險公司進行流動性風險管理提出了幾點建議。
[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.
【學位授予單位】：湖南大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F224;F842.3

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