發(fā)布時(shí)間：2018-12-31 07:40

【摘要】：養(yǎng)老金計(jì)劃(pension plan)是一種保障勞動(dòng)者在退休之后維持基本生活水平的社會(huì)保障制度。養(yǎng)老金計(jì)劃包含兩種基本的形式,固定收益型(DB)和固定繳款型(DC)。兩者的區(qū)別在于DB養(yǎng)老金計(jì)劃的參與者所領(lǐng)取到的養(yǎng)老金的金額是確定的,而DC養(yǎng)老金計(jì)劃的參與者領(lǐng)取到的養(yǎng)老金金額要視養(yǎng)老金計(jì)劃的投資收益而定。為維護(hù)養(yǎng)老金計(jì)劃安全有效的持續(xù)運(yùn)轉(zhuǎn),實(shí)現(xiàn)養(yǎng)老金計(jì)劃保值增值的目標(biāo),養(yǎng)老金計(jì)劃就必須進(jìn)行各種投資活動(dòng)。但養(yǎng)老金計(jì)劃的社會(huì)公益性又需確保養(yǎng)老金計(jì)劃投資的安全性,因此對(duì)養(yǎng)老金計(jì)劃進(jìn)行有效的風(fēng)險(xiǎn)管理是有必要的。養(yǎng)老金計(jì)劃所擁有的資本代表養(yǎng)老金計(jì)劃對(duì)風(fēng)險(xiǎn)的抵御能力,是養(yǎng)老金計(jì)劃持續(xù)運(yùn)行的保障。資本管理是對(duì)養(yǎng)老金計(jì)劃的資本的來源與用途進(jìn)行管理,資本管理將風(fēng)險(xiǎn)與資本科學(xué)的整合起來,是一種先進(jìn)的風(fēng)險(xiǎn)管理的手段。資本配置方法是資本管理和風(fēng)險(xiǎn)管理中的重要方法,合理的資本配置可以有效的緩和投資可能帶來的風(fēng)險(xiǎn)。正是因?yàn)橘Y本配置方法在資本管理和風(fēng)險(xiǎn)管理方面的重要意義,資本配置方法也越來越多。區(qū)別于傳統(tǒng)的資本配置方法,百分層資本配置方法并不會(huì)對(duì)尾部風(fēng)險(xiǎn)過多關(guān)注,百分層資本配置方法依靠條件擊穿概率對(duì)所有的損失情形都進(jìn)行資本配置,這是一種全面有效的資本配置方法。本文首先闡述DB養(yǎng)老金計(jì)劃的概念和DB養(yǎng)老金計(jì)劃投資所面臨的風(fēng)險(xiǎn)。然后介紹了百分層資本和百分層資本配置,針對(duì)百分層資本配置模型中VaR風(fēng)險(xiǎn)度量方法對(duì)風(fēng)險(xiǎn)事件的尾部風(fēng)險(xiǎn)度量不足的問題,采用CVaR風(fēng)險(xiǎn)度量方法來度量損失額超過VaR的事件風(fēng)險(xiǎn),實(shí)現(xiàn)對(duì)風(fēng)險(xiǎn)的全面度量,構(gòu)建CVaR風(fēng)險(xiǎn)度量方法下的百分層資本配置模型,結(jié)合Pareto分布,給出損失分布服從Pareto分布的VaR和CVaR計(jì)算式,并給出相應(yīng)的資本配置公式。結(jié)合統(tǒng)計(jì)數(shù)據(jù),運(yùn)用統(tǒng)計(jì)分析軟件Eviews8.0、Matlab2014b和R語言,給出具體實(shí)例分析驗(yàn)證模型的實(shí)用性。本文進(jìn)一步運(yùn)用極值POT模型來擬合極端事件的風(fēng)險(xiǎn)分布,在CVaR風(fēng)險(xiǎn)度量方法下研究極端事件風(fēng)險(xiǎn)的百分層資本配置問題,并采用Bootstrap方法來彌補(bǔ)尾部估計(jì)數(shù)據(jù)較少的缺陷,然后通過百分層資本配置模型得到風(fēng)險(xiǎn)資本配置量,并給出一個(gè)實(shí)例分析。在文章的最后,我們總結(jié)了研究內(nèi)容,并結(jié)合研究成果對(duì)下一步的研究進(jìn)行了展望。
[Abstract]:The pension scheme (pension plan) is a social security system that guarantees workers a basic standard of living after retirement. Pension plans consist of two basic forms, fixed income (DB) and fixed contribution (DC). The difference between the two is that the amount of the pension received by the participants in the DB pension scheme is certain, while the amount received by the participants in the DC pension scheme depends on the return on investment in the pension plan. In order to maintain the safe and effective operation of the pension plan and realize the goal of maintaining and increasing the value of the pension plan, the pension plan must carry out various kinds of investment activities. However, the social welfare of pension plan needs to ensure the security of pension plan investment, so it is necessary to carry on the effective risk management to the pension plan. The capital possessed by pension plan represents the ability of pension plan to resist risks and is the guarantee of its continuous operation. Capital management is the management of the source and use of the pension plan capital management integrates risk with capital science and is an advanced means of risk management. Capital allocation method is an important method in capital management and risk management. Reasonable capital allocation can effectively mitigate the risk of investment. Because of the importance of capital allocation methods in capital management and risk management, capital allocation methods are becoming more and more. Different from the traditional capital allocation method, the capital allocation method does not pay too much attention to the tail risk. The capital allocation method relies on the conditional breakdown probability to allocate the capital for all the loss cases. This is a comprehensive and effective method of capital allocation. This paper first describes the concept of DB pension plan and the risk of DB pension plan investment. Then it introduces the capital allocation of 100 layers and 100 layers, aiming at the problem that the VaR risk measurement method is insufficient to measure the tail risk of the risk event in the capital allocation model of 100 layers. The CVaR risk measurement method is adopted to measure the event risk in which the amount of loss exceeds the VaR, and the overall risk measurement is realized. The 100-layer capital allocation model under the CVaR risk measurement method is constructed and combined with the Pareto distribution. The formulas of VaR and CVaR for loss distribution from Pareto distribution are given, and the corresponding capital allocation formulas are given. Combined with the statistical data and using the statistical analysis software Eviews8.0,Matlab2014b and R language, a practical example is given to verify the practicability of the model. In this paper, the extreme POT model is further used to fit the risk distribution of extreme events. Under the CVaR risk measurement method, the problem of capital allocation of extreme event risk is studied, and the Bootstrap method is used to compensate for the shortage of tail estimation data. Then, the allocation of venture capital is obtained by using the capital allocation model of 100 layers, and an example is given. At the end of the paper, we summarize the research content and prospect the next research.
【學(xué)位授予單位】：安徽工程大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F842.67

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