本文關(guān)鍵詞：基于Copula-CoVaR的中國(guó)社保重倉(cāng)股系統(tǒng)性市場(chǎng)風(fēng)險(xiǎn)度量　出處：《上海師范大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 社保基金 CoVaR 風(fēng)險(xiǎn)相依 Copula函數(shù)

【摘要】：全國(guó)社會(huì)保障基金是國(guó)家中央政府集中的社會(huì)保障資金，作為我國(guó)重要的戰(zhàn)略?xún)?chǔ)備，已經(jīng)受到了學(xué)術(shù)界越來(lái)越多的關(guān)注。同時(shí)，社�；鹨裁媾R著諸多問(wèn)題，，其中最主要的是社保基金的保值增值問(wèn)題。隨著我國(guó)老齡化進(jìn)程的不斷加快，社會(huì)保障基金支出日益增加，僅僅依靠政府的財(cái)政補(bǔ)貼，已經(jīng)遠(yuǎn)遠(yuǎn)不能滿(mǎn)足對(duì)于社會(huì)保障基金的需求，只有通過(guò)更有效的進(jìn)行社保基金的投資運(yùn)作從而獲得更大的收益來(lái)支付日益增加的社�；鹦枨蟆�2001年以來(lái)，隨著通貨膨脹率的不斷增加，社�；鸬谋Ｖ翟鲋祮�(wèn)題也顯現(xiàn)出來(lái)，僅僅通過(guò)風(fēng)險(xiǎn)較低，但收益率也較低的銀行存款以及國(guó)債投資已經(jīng)很難滿(mǎn)足社�；鸬幕臼找媛室�。社會(huì)保障基金作為社會(huì)保險(xiǎn)事業(yè)的物質(zhì)基礎(chǔ)，在當(dāng)前嚴(yán)峻的形勢(shì)下，如果社保基金不能實(shí)現(xiàn)保值增值，當(dāng)出現(xiàn)支付危機(jī)時(shí)，社會(huì)保障基金的社會(huì)保障功能不能實(shí)現(xiàn)，社會(huì)保險(xiǎn)制度將無(wú)法正常運(yùn)行，勢(shì)必會(huì)影響整個(gè)社會(huì)的穩(wěn)定與發(fā)展。因此，社�；鸨仨毻貙捦顿Y渠道，來(lái)獲得更大的收益率從而達(dá)到保值增值的目的。從目前中國(guó)的金融環(huán)境而言，股票市場(chǎng)無(wú)疑成為了最直接最有效提高社保基金收益率的投資渠道。而股票市場(chǎng)在提供高收益率的同時(shí)，也給社�；鸬耐顿Y帶來(lái)了巨大的風(fēng)險(xiǎn)。 因此本文運(yùn)用統(tǒng)計(jì)學(xué)、金融學(xué)、風(fēng)險(xiǎn)管理的知識(shí)，強(qiáng)調(diào)理論與實(shí)際相結(jié)合，規(guī)范分析與實(shí)證分析相結(jié)合，定性和定量相結(jié)合的方法，對(duì)全國(guó)社會(huì)保障基金投資的風(fēng)險(xiǎn)度量問(wèn)題進(jìn)行研究。借用Matlab計(jì)算軟件，擬合最優(yōu)Copula模型，并引入新型風(fēng)險(xiǎn)度量指標(biāo)CoVaR。CoVaR考慮了極端風(fēng)險(xiǎn)的貢獻(xiàn)，而且可以有效度量系統(tǒng)風(fēng)險(xiǎn)對(duì)于標(biāo)的資產(chǎn)或資產(chǎn)組合的風(fēng)險(xiǎn)溢出程度，以Copula為出發(fā)點(diǎn)，擬合社保重倉(cāng)指數(shù)與滬深300指數(shù)的日收益率數(shù)據(jù)，分析社�；鹋c我國(guó)股市的相依關(guān)系，給出度量我國(guó)社�；鹜顿Y風(fēng)險(xiǎn)指標(biāo)CoVaR的Copula算法。相較于傳統(tǒng)的分位數(shù)回歸方法求CoVaR, Copula-CoVaR能夠精確地對(duì)風(fēng)險(xiǎn)溢出程度進(jìn)行測(cè)度，而且直觀的給出社�；鹋c滬深300指數(shù)之間的聯(lián)合分布。 本文量化了社�；鹜顿Y風(fēng)險(xiǎn)，為擴(kuò)寬社�；鹜顿Y渠道提供理論支持，在進(jìn)行除了銀行存款等形式的風(fēng)險(xiǎn)低的投資外，風(fēng)險(xiǎn)略高的投資方式需要有效的風(fēng)險(xiǎn)評(píng)價(jià)。根據(jù)我國(guó)社保重倉(cāng)指數(shù)的特點(diǎn)，構(gòu)建Copula函數(shù)，利用度量風(fēng)險(xiǎn)相依的指標(biāo)CoVaR，分析社保基金與我國(guó)股市的相依關(guān)系，給出度量我國(guó)社保基金投資風(fēng)險(xiǎn)的方法。自此基礎(chǔ)上，動(dòng)態(tài)管理對(duì)我國(guó)社�；鸬耐顿Y風(fēng)險(xiǎn)，并對(duì)投資組合進(jìn)行優(yōu)化分析。 通過(guò)Matlab計(jì)算，t-Copula函數(shù)最能描述社保重倉(cāng)指數(shù)與滬深300指數(shù)收益率之間的關(guān)系，通過(guò)對(duì)于社�；鹬貍}(cāng)近幾年的CoVaR的計(jì)算可以發(fā)現(xiàn)，社�；鸸善蓖顿Y很大程度上還是會(huì)受到滬深股市大環(huán)境的巨大影響，在更極端的情況下，社�；鹗盏斤L(fēng)險(xiǎn)的沖擊進(jìn)一步擴(kuò)大。
[Abstract]:The national social security fund is the national central government concentrated social security funds, as an important strategic reserve of our country, has been paid more and more attention by the academic community. At the same time, the social security fund also faces many problems. The most important one is the maintenance and increment of social security fund. With the aging process of our country accelerating, the social security fund expenditure is increasing day by day, only rely on the government financial subsidy. The need for social security funds is far from being met. Only through more effective investment and operation of the social security fund to obtain greater returns to meet the increasing demand for social security funds. Since 2001, as the rate of inflation continues to increase. The problem of maintaining and increasing the value of social security funds also appears, only through the lower risk. However, it is difficult to meet the basic rate of return requirements of social security fund, which is the material basis of social security, in the current severe situation. If the social security fund can not maintain and increase its value, when the payment crisis occurs, the social security function of the social security fund cannot be realized, and the social insurance system will not function normally. Therefore, the social security fund must broaden the investment channels to obtain a greater rate of return so as to achieve the purpose of maintaining and increasing the value of the value. From the current financial environment in China, the social security fund will inevitably affect the stability and development of the whole society. The stock market has undoubtedly become the most direct and most effective investment channel to raise the return rate of social security fund, and the stock market not only provides high yield, but also brings huge risk to the investment of social security fund. Therefore, this paper uses the knowledge of statistics, finance, risk management, emphasizing the combination of theory and practice, normative analysis and empirical analysis, qualitative and quantitative methods. This paper studies the risk measurement of the investment of the national social security fund, and uses the Matlab calculation software to fit the optimal Copula model. A new risk measurement index, CoVaR.CoVaR, is introduced, which considers the contribution of extreme risk, and can effectively measure the risk spillover degree of system risk to the underlying asset or portfolio. Taking Copula as the starting point, fitting the daily yield data of social security heavy position index and Shanghai and Shenzhen 300 index, and analyzing the dependence of social security fund and China's stock market. This paper presents a Copula algorithm to measure the investment risk index CoVaR of social security fund in China. Compared with the traditional quantile regression method, the CoVaR is obtained. Copula-CoVaR can measure the degree of risk spillover accurately, and intuitively gives the joint distribution of social security fund and CSI 300 index. This paper quantifies the investment risk of social security fund and provides theoretical support for broadening the investment channels of social security fund. Besides bank deposits and other forms of low-risk investment. According to the characteristics of China's social security heavy position index, the Copula function is constructed, and the index CoVaR is used to measure the risk dependence. Based on the analysis of the relationship between social security fund and China's stock market, this paper gives a method to measure the investment risk of social security fund in China, and on this basis, dynamically manages the investment risk of social security fund in our country. And carry on the optimization analysis to the investment portfolio. The calculation of t-Copula function by Matlab can best describe the relationship between the social security heavy position index and the yield of CSI 300 index. Through the calculation of the CoVaR of the social security fund in recent years, we can find that the investment of the social security fund stock will still be greatly affected by the environment of Shanghai and Shenzhen stock market, in more extreme circumstances. The social security fund receives the risk the impact further expands.
【學(xué)位授予單位】：上海師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F224;F832.51

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