本文選題：保險(xiǎn)資金　切入點(diǎn)：債券投資　出處：《西北農(nóng)林科技大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：近年來,我國保險(xiǎn)行業(yè)高速發(fā)展,保險(xiǎn)資金投資業(yè)務(wù)已經(jīng)成為關(guān)系保險(xiǎn)公司生存和保險(xiǎn)行業(yè)發(fā)展的重要因素。債券以其收益穩(wěn)定的特點(diǎn),與保險(xiǎn)資金安全性、收益性等運(yùn)用原則相匹配,成為保險(xiǎn)資金運(yùn)用的主要渠道,并能較好地滿足保險(xiǎn)資金運(yùn)用要求。因此,債券投資的風(fēng)險(xiǎn)極大程度影響著保險(xiǎn)公司的安全經(jīng)營和保險(xiǎn)行業(yè)的健康發(fā)展。然而,當(dāng)前保險(xiǎn)資金債券投資面臨著投資風(fēng)險(xiǎn)認(rèn)知不足、風(fēng)險(xiǎn)評(píng)估方法使用不當(dāng)、風(fēng)險(xiǎn)管控體系薄弱等一系列問題,監(jiān)管部門對(duì)保險(xiǎn)公司的投資能力和風(fēng)控能力也提出了更高要求�；谏鲜霰尘�,既滿足保險(xiǎn)公司自身盈利需求,又符合監(jiān)管部門風(fēng)險(xiǎn)管控要求,既能有效評(píng)估投資風(fēng)險(xiǎn),又能實(shí)現(xiàn)保險(xiǎn)資金保值增值,是當(dāng)前保險(xiǎn)行業(yè)亟需解決的重要問題。VaR作為一項(xiàng)風(fēng)險(xiǎn)管理工具,能夠有效地對(duì)單項(xiàng)資產(chǎn)和投資組合作出風(fēng)險(xiǎn)評(píng)估,對(duì)保險(xiǎn)公司的風(fēng)險(xiǎn)度量和監(jiān)管部門的風(fēng)險(xiǎn)管控有著重要幫助。本文將VaR方法引入保險(xiǎn)資金債券投資的風(fēng)險(xiǎn)評(píng)估,利用VaR參數(shù)法中方差——協(xié)方差的方法,選擇近三年間750個(gè)交易日的債券指數(shù),依據(jù)我國當(dāng)前保險(xiǎn)資金債券投資結(jié)構(gòu),對(duì)國債、企債、金融債、央票和中期票據(jù)五種債券及其債券組合的日收益率風(fēng)險(xiǎn)進(jìn)行評(píng)估,量化出了不同債券種類及其債券組合對(duì)保險(xiǎn)資金可能產(chǎn)生的最大損失。通過研究,論文最終得到了以下結(jié)論:在不同債券種類相互無關(guān)聯(lián)的前提下,保險(xiǎn)資金投資債券的收益率風(fēng)險(xiǎn)大小依次為:企債、中期票據(jù)、金融債、國債、央票;在綜合考慮關(guān)聯(lián)度、我國保險(xiǎn)資金債券投資結(jié)構(gòu)、單一債券對(duì)投資組合的風(fēng)險(xiǎn)貢獻(xiàn)的基礎(chǔ)上,某種債券對(duì)債券組合的風(fēng)險(xiǎn)影響程度從大到小依次為:金融債、企債、國債、央票、中期票據(jù)。結(jié)合上述結(jié)論,論文對(duì)保險(xiǎn)資金債券投資的風(fēng)險(xiǎn)防范提出了對(duì)策建議。
[Abstract]:In recent years, with the rapid development of China's insurance industry, the investment of insurance funds has become an important factor related to the survival of insurance companies and the development of the insurance industry. The principle of income matching becomes the main channel for the use of insurance funds, and can better meet the requirements of the use of insurance funds. The risk of bond investment greatly affects the safe operation of the insurance company and the healthy development of the insurance industry. However, at present, the insurance fund bond investment is faced with a lack of awareness of the investment risk, and the risk assessment method is not properly used. A series of problems, such as weak risk control system, have been put forward by the regulatory authorities for the investment ability and wind control ability of insurance companies. Based on the above background, the insurance companies can meet their own profit needs. As a risk management tool, VaR is an important problem in the insurance industry, which meets the requirements of regulatory risk control and can effectively evaluate investment risk and realize the maintenance and appreciation of insurance funds. This paper introduces the VaR method into the risk assessment of insurance fund bond investment, which can effectively evaluate the risk of individual assets and portfolio, and is of great help to the risk measurement of insurance companies and the risk management of regulatory authorities. By using the method of variance-covariance in VaR parameter method, the bond index of 750 trading days in the past three years is selected. According to the investment structure of China's current insurance fund bond, the bond, enterprise bond, financial debt, and so on. The daily yield risk of five bonds and their bond portfolios of central and medium-term notes is evaluated to quantify the maximum possible loss to insurance funds caused by different bond types and their bond portfolios. Finally, the paper draws the following conclusions: on the premise that different bond types are not related to each other, the yield risk of insurance fund investment bond is: enterprise debt, medium-term note, financial debt, national debt, central note; On the basis of the investment structure of China's insurance fund bonds and the risk contribution of a single bond to the portfolio, the degree of risk impact of a certain bond on the bond portfolio is: financial debt, enterprise debt, national debt, central note, etc. Combined with the above conclusions, the paper puts forward some countermeasures and suggestions on the risk prevention of the investment of insurance funds and bonds.
【學(xué)位授予單位】：西北農(nóng)林科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F842.4;F832.51
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本文編號(hào)：1640752