引入VaR的企业年金基金投资风险预警系统研究
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摘要
企业年金是我国养老保障体系的第二大支柱,其安全与完整直接关系到我国广大群众的切身利益和多层次养老保障体系的建设。我国2006年正式允许企业年金基金进入资本市场,实行多元化投资运营,以确保基金保值增值。然而企业年金基金进入资本市场,必然面临各种基金投资风险,如何有效地管理和控制企业年金基金投资所面临的风险,便成为学术和理论界关注的重点问题。预警是进行风险控制最有效的手段,因此,加强企业年金基金投资风险预警研究,对防范和化解企业年金基金投资风险,保证企业年金基金安全,提高企业年金基金管理水平具有重要意义。
本文旨在建立具有科学性、适用性和可操作性的企业年金基金投资风险预警系统。首先,对企业年金基金投资的风险因素进行了深入的分析,并阐述了近年来新出现的金融风险管理工具VaR(Value at Risk)或称风险价值法,再论述企业年金基金投资风险预警中引入VaR的必要性。其次,分析了企业年金基金投资风险预警系统的构建基础,不仅提出构建企业年金基金预警系统的原理、思路和原则,还进一步阐述该系统的构成和运行步骤。再次,构建企业年金基金投资风险预警系统,其中包括引入VaR的企业年金基金投资风险预警指标预测子系统、基于模糊综合评价法的企业年金基金投资风险评价子系统、企业年金基金投资风险警报子系统和排警子系统的构建。最后,对引入VaR的企业年金基金投资风险预警系统进行了案例分析,以检验预警系统的可行性。
Occupational Pension is the second important pillar of our pension system, which immediately concerns the vital interests of millions upon millions of people and the construction of multi-layer of pension system in China in terms of the safety and integrity. Occupational Pension funds, which adopted multiple investment and operation modes to ensure maintenance of and increase in the value of assets, was formally permitted to access to capital market in 2006. It must face many capital investment risks during the Occupational Pension funds entering into the capital market, however, the method to effectively manage and control risks faced during Occupational Pension funds investment has become a major concern. Forewarning is a forceful and effective measure for risk control, so it is of great importance for preventing and eliminating the risk of Occupational Pension funds investment, ensuring the safety of Occupational Pension funds, increasing the management level of Occupational Pension funds to strengthen research on Occupational Pension risk forewarning.
This paper is aimed at establishing an Occupational Pension funds investment risk forewarning system that is scientific, applicable and operable. Firstly, it carried out deep analysis on possible risk factors during Occupational Pension funds investment, then introduced emerging financial risks management tool VaR (Value at Risk), and discuss the necessity of introducing VaR in the application of Occupational Pension funds investment risk forewarning system. Secondly, it analyzed the theory basis of Occupational Pension funds investment risk forewarning system, including the train of idea and principle, constitution and operation. Last but not least, it established the Occupational Pension funds investment risk forewarning system, including an Occupational Pension funds investment risk indicators forecasting subsystem which recommended VaR, an Occupational Pension funds investment risk assessment subsystem with the fuzzy mathematics appraisal method, the risk alarm subsystem and risk eliminate subsystem. Finally, it is the case study of Occupational Pension funds investment risk forewarning system which recommended VaR to test the feasibility of forewarning system.
本文旨在建立具有科学性、适用性和可操作性的企业年金基金投资风险预警系统。首先,对企业年金基金投资的风险因素进行了深入的分析,并阐述了近年来新出现的金融风险管理工具VaR(Value at Risk)或称风险价值法,再论述企业年金基金投资风险预警中引入VaR的必要性。其次,分析了企业年金基金投资风险预警系统的构建基础,不仅提出构建企业年金基金预警系统的原理、思路和原则,还进一步阐述该系统的构成和运行步骤。再次,构建企业年金基金投资风险预警系统,其中包括引入VaR的企业年金基金投资风险预警指标预测子系统、基于模糊综合评价法的企业年金基金投资风险评价子系统、企业年金基金投资风险警报子系统和排警子系统的构建。最后,对引入VaR的企业年金基金投资风险预警系统进行了案例分析,以检验预警系统的可行性。
Occupational Pension is the second important pillar of our pension system, which immediately concerns the vital interests of millions upon millions of people and the construction of multi-layer of pension system in China in terms of the safety and integrity. Occupational Pension funds, which adopted multiple investment and operation modes to ensure maintenance of and increase in the value of assets, was formally permitted to access to capital market in 2006. It must face many capital investment risks during the Occupational Pension funds entering into the capital market, however, the method to effectively manage and control risks faced during Occupational Pension funds investment has become a major concern. Forewarning is a forceful and effective measure for risk control, so it is of great importance for preventing and eliminating the risk of Occupational Pension funds investment, ensuring the safety of Occupational Pension funds, increasing the management level of Occupational Pension funds to strengthen research on Occupational Pension risk forewarning.
This paper is aimed at establishing an Occupational Pension funds investment risk forewarning system that is scientific, applicable and operable. Firstly, it carried out deep analysis on possible risk factors during Occupational Pension funds investment, then introduced emerging financial risks management tool VaR (Value at Risk), and discuss the necessity of introducing VaR in the application of Occupational Pension funds investment risk forewarning system. Secondly, it analyzed the theory basis of Occupational Pension funds investment risk forewarning system, including the train of idea and principle, constitution and operation. Last but not least, it established the Occupational Pension funds investment risk forewarning system, including an Occupational Pension funds investment risk indicators forecasting subsystem which recommended VaR, an Occupational Pension funds investment risk assessment subsystem with the fuzzy mathematics appraisal method, the risk alarm subsystem and risk eliminate subsystem. Finally, it is the case study of Occupational Pension funds investment risk forewarning system which recommended VaR to test the feasibility of forewarning system.
引文
[1] Artzner P, Delbaen Mathematical Finance F, Eber J M, Heath D. Coherent measures of risk[J], 1999, 9(3):203-228
[2] David Blake, Andrew J.G. Cairns, Kevin Dowd. Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase. Insurance: Mathematics and Economics, 2001,(29):187-215
[3] Steven Haberman, Elena Vigna. Optimal investment strategies and risk measures in defined contribution pension schemes. Insurance: Mathematics and Economics, 2002,(31):35-69
[4] Brummelimis R. Principal Component Value at Risk[J]. Mathematical Finance 2002, 12:78-82
[5] Wi11iam Beaver, Financial Ratios as Predictors of Failure, [J].Empirical Research in Accounting, Selected Studies, 1966 (Institute of Professional Accounting January, 1967):71-111
[6] Altman E L Financial ratios, discriminant analysis and the prediction of corporate bankruptcy[J]. Journal of Finance, 1968(9):89-94
[7] Odour,M.D.and R.Sharda.Meural Network Model for Bankruptcy Prediction In Proceedings of the International Joint Conference on Neural Network Tool.[J].Financial Management, 1990,6:136-138
[8] Feng Yu Lin,Sally McClean. A Data Mining Approach to the Prediction of Corporate Failure[J].Knowledge-Based Systems.2001(43):189-195
[9] R.J. kuo, An intelligent sales forecasting system through integration of artificial neural networks and fuzzy neural networks with fuzzy weight elimination. Neural Networks, 2002:909-925
[10]劳动和社会保障部社会保险研究所,博时基金管理有限公司.中国企业年金制度与管理规范.北京:中国劳动和社会保障出版社,2002:135-163
[11]吴世农,陈斌.风险度量方法与金融资产配置模型的理论和实证研究[J].经济研究,1999, 9:30-38
[12]叶青.基于GARCH和半参数法的VaR模型及其在中国股市风险分析中的应用[J].统计研究,2000, 12:25-29
[13]戴国强,徐龙炳,陆蓉. VaR方法对我国金融风险管理的借鉴及应用[J].金融研究,2000, 7:45-51
[14]陈守东,杨莹和马辉.中国金融风险预警研究[J].数量经济技术经济研究,2006, 7:88-90
[15]冯健身.社会保障基金将采用全新运作模式[J],经济研究参考,2002, 5:42-43
[16]潘峰,付强.模糊综合评价在水环境质量综合评价中的应用研究[J].环境工程,2002, 6:43-45
[17]张亚莉,杨乃定.企业人力资源风险模糊综合评价方法研究[J].管理工程学报,2002, 3:66-67
[18]刘伟,陶树人.模糊综合评价在煤炭产业安全中的应用[J].安全与环境学报,2005, 11:34-36
[19]傅湘,纪昌明.区域水资源承载能力综合评价—主成分分析法的应用[J].水资源与水工程学报,2006, 9:49-52
[20]陈莉.我国企业年金基金投资风险管理初探:[西南财经大学硕士学位论文].成都,2004: 16-29
[21]刘敬伟.养老保险基金在资本市场的投资模式与投资组合分析:[重庆大学硕士学位论文].重庆,2006: 36-42
[22]张鸣,陈震.投资管理.大连:东北财经大学出版社,2006,14-16
[23]赵昌文,俞乔.投资学[M].北京:清华大学出版社,2007: 11-30
[24] Y.Yakoubov,I.D.Wright:A Stochastic Approach to Risk Management and Decision Making in Defined Benefit Pension Schemes,Stochastic pensions valuation working party of the Institute of Actuaries British Actuarial Journal,2003,9(3) :108-111
[25] E.Philip Davis. Portfolio Regulation of Life Insurance Companies and Pension Funds[J].The Journal of Finance,2003:136-139
[26]杨军.我国证券公司风险管理研究:[武汉大学硕士学位论文].武汉,2005: 4-8
[27]李霞.企业年金市场化运作风险管理研究:[武汉大学硕士学位论文].武汉,2005: 8-11
[28]林义,彭雪梅,胡秋明.企业年金的理论与政策研究[M].成都:西南财经大学出版社,2006: 5-63
[29]姜荣.企业年金基金投资运作及风险监管:[天津财经大学硕士学位论文].天津,2008: 20-25
[30]邓大松,刘昌平.中国企业年金年度研究「M].北京:人民出版社,2004: 26-88
[31]杨燕绥.企业年金理论与实务.北京:中国劳动社会保障出版社,2003: 13-76
[32]林源.风险价值VaR模型在我国养老基金投资风险控制中的应用:[西南财经大学硕士学位论文].成都,2003: 18-21
[33]梁庆文.企业年金基金的风险管理研究:[中国科技大学博士学位论文].北京,2006: 33-46
[34]彭巧巧,王国辉.我国企业年金基金的投资风险管理研究[J].产业与科技论坛,2008: 222-224
[35]薛媛. VaR在证券市场风险测量中的应用:[北京交通大学硕士学位论文].北京,2006: 18-21
[36]许朔. VaR方法在中国证券市场风险研究中的应用:[天津大学硕士学位论文].天津,2003: 16-18
[37]李永志.融入VaR的上市公司财务风险评估及预警研究:[合肥工业大学硕士学位论文].合肥,2006: 19-33
[38]初宁宁.经济危机及其预警指标系统研究:[华东师范大学硕士学位论文].上海,2005: 28-30
[39]薛媛.我国开放式基金流动性风险预警机制研究:[东华大学硕士学位论文].上海,2004: 34-49
[40]何君光.我国证券公司风险控制研究:[重庆大学博士学位论文].重庆,2006: 112-115
[41]钟邃.城镇职工基本医疗保险统筹基金风险预警系统的探索性研究:[四川大学硕士学位论文].成都,2006: 70-74
[42]陈明.社会保障基金风险预警研究:[大连理工大学硕士学位论文].大连,2008: 43-48
[43]林源.模糊综合评价模型在养老基金投资风险控制中的应用[J].统计与决策,2006: 144-146
[2] David Blake, Andrew J.G. Cairns, Kevin Dowd. Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase. Insurance: Mathematics and Economics, 2001,(29):187-215
[3] Steven Haberman, Elena Vigna. Optimal investment strategies and risk measures in defined contribution pension schemes. Insurance: Mathematics and Economics, 2002,(31):35-69
[4] Brummelimis R. Principal Component Value at Risk[J]. Mathematical Finance 2002, 12:78-82
[5] Wi11iam Beaver, Financial Ratios as Predictors of Failure, [J].Empirical Research in Accounting, Selected Studies, 1966 (Institute of Professional Accounting January, 1967):71-111
[6] Altman E L Financial ratios, discriminant analysis and the prediction of corporate bankruptcy[J]. Journal of Finance, 1968(9):89-94
[7] Odour,M.D.and R.Sharda.Meural Network Model for Bankruptcy Prediction In Proceedings of the International Joint Conference on Neural Network Tool.[J].Financial Management, 1990,6:136-138
[8] Feng Yu Lin,Sally McClean. A Data Mining Approach to the Prediction of Corporate Failure[J].Knowledge-Based Systems.2001(43):189-195
[9] R.J. kuo, An intelligent sales forecasting system through integration of artificial neural networks and fuzzy neural networks with fuzzy weight elimination. Neural Networks, 2002:909-925
[10]劳动和社会保障部社会保险研究所,博时基金管理有限公司.中国企业年金制度与管理规范.北京:中国劳动和社会保障出版社,2002:135-163
[11]吴世农,陈斌.风险度量方法与金融资产配置模型的理论和实证研究[J].经济研究,1999, 9:30-38
[12]叶青.基于GARCH和半参数法的VaR模型及其在中国股市风险分析中的应用[J].统计研究,2000, 12:25-29
[13]戴国强,徐龙炳,陆蓉. VaR方法对我国金融风险管理的借鉴及应用[J].金融研究,2000, 7:45-51
[14]陈守东,杨莹和马辉.中国金融风险预警研究[J].数量经济技术经济研究,2006, 7:88-90
[15]冯健身.社会保障基金将采用全新运作模式[J],经济研究参考,2002, 5:42-43
[16]潘峰,付强.模糊综合评价在水环境质量综合评价中的应用研究[J].环境工程,2002, 6:43-45
[17]张亚莉,杨乃定.企业人力资源风险模糊综合评价方法研究[J].管理工程学报,2002, 3:66-67
[18]刘伟,陶树人.模糊综合评价在煤炭产业安全中的应用[J].安全与环境学报,2005, 11:34-36
[19]傅湘,纪昌明.区域水资源承载能力综合评价—主成分分析法的应用[J].水资源与水工程学报,2006, 9:49-52
[20]陈莉.我国企业年金基金投资风险管理初探:[西南财经大学硕士学位论文].成都,2004: 16-29
[21]刘敬伟.养老保险基金在资本市场的投资模式与投资组合分析:[重庆大学硕士学位论文].重庆,2006: 36-42
[22]张鸣,陈震.投资管理.大连:东北财经大学出版社,2006,14-16
[23]赵昌文,俞乔.投资学[M].北京:清华大学出版社,2007: 11-30
[24] Y.Yakoubov,I.D.Wright:A Stochastic Approach to Risk Management and Decision Making in Defined Benefit Pension Schemes,Stochastic pensions valuation working party of the Institute of Actuaries British Actuarial Journal,2003,9(3) :108-111
[25] E.Philip Davis. Portfolio Regulation of Life Insurance Companies and Pension Funds[J].The Journal of Finance,2003:136-139
[26]杨军.我国证券公司风险管理研究:[武汉大学硕士学位论文].武汉,2005: 4-8
[27]李霞.企业年金市场化运作风险管理研究:[武汉大学硕士学位论文].武汉,2005: 8-11
[28]林义,彭雪梅,胡秋明.企业年金的理论与政策研究[M].成都:西南财经大学出版社,2006: 5-63
[29]姜荣.企业年金基金投资运作及风险监管:[天津财经大学硕士学位论文].天津,2008: 20-25
[30]邓大松,刘昌平.中国企业年金年度研究「M].北京:人民出版社,2004: 26-88
[31]杨燕绥.企业年金理论与实务.北京:中国劳动社会保障出版社,2003: 13-76
[32]林源.风险价值VaR模型在我国养老基金投资风险控制中的应用:[西南财经大学硕士学位论文].成都,2003: 18-21
[33]梁庆文.企业年金基金的风险管理研究:[中国科技大学博士学位论文].北京,2006: 33-46
[34]彭巧巧,王国辉.我国企业年金基金的投资风险管理研究[J].产业与科技论坛,2008: 222-224
[35]薛媛. VaR在证券市场风险测量中的应用:[北京交通大学硕士学位论文].北京,2006: 18-21
[36]许朔. VaR方法在中国证券市场风险研究中的应用:[天津大学硕士学位论文].天津,2003: 16-18
[37]李永志.融入VaR的上市公司财务风险评估及预警研究:[合肥工业大学硕士学位论文].合肥,2006: 19-33
[38]初宁宁.经济危机及其预警指标系统研究:[华东师范大学硕士学位论文].上海,2005: 28-30
[39]薛媛.我国开放式基金流动性风险预警机制研究:[东华大学硕士学位论文].上海,2004: 34-49
[40]何君光.我国证券公司风险控制研究:[重庆大学博士学位论文].重庆,2006: 112-115
[41]钟邃.城镇职工基本医疗保险统筹基金风险预警系统的探索性研究:[四川大学硕士学位论文].成都,2006: 70-74
[42]陈明.社会保障基金风险预警研究:[大连理工大学硕士学位论文].大连,2008: 43-48
[43]林源.模糊综合评价模型在养老基金投资风险控制中的应用[J].统计与决策,2006: 144-146