我国养老保险基金风险管理研究

发布时间：2018-03-01 06:20

本文关键词： 养老保险基金投资风险风险管理政策建议　出处：《江西财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：金融危机以来，我国养老保险基金投资损失惨重，随着人口老龄化及我国养老保险基金巨额隐性债务成本的问题日益凸显，面对通货膨胀等因素的影响，养老金面临支付危机。此外，我国资本市场尚不完善，与养老保险基金投资运营相关的法律法规也不健全，给养老保险基金投资运营带来风险。如何有效防范和规避养老保险基金投资中的风险，确保养老保险基金实现保值增值，保证养老保险基金在可接受的风险水平下实现最佳的投资回报，就成为必须研究解决的课题。本文采用了比较分析法、定性与定量分析相结合的方法、实证与规范分析相统一的方法进行分析。以我国养老保险基金为研究对象，在描述我国养老保险基金投资运营模式、投资现状及问题的基础上，分析我国养老保险基金投资中存在的风险及其成因，结合国外养老保险基金投资运营模式及风险控制的措施，最后提出完善我国养老保险基金风险管理体系的模式选择及政策建议。本文的主要研究内容包括以下几个部分： 1.我国养老保险基金投资现状及存在的风险。这一部分首先阐述了我国养老保险基金的投资现状以及存在的主要问题，通过对基本养老保险基金、全国社会保障基金以及企业年金各自的运营模式分析，得出了以下结论：基本养老保险基金由于投资方式单一，受通货膨胀影响，，投资收益较低，甚至出现实际投资收益为负值的现象，同时基本养老保险基金管理机构松散，专业性较差，无法对养老保险基金实施有效监管；全国社会保障基金受资本市场指数波动的影响，存在投资组合风险。利用VaR法对全国社保基金投资风险进行度量，得出具体风险大小；企业年金的投资主要受到金融市场不稳定因素的影响，收益波动较大。其次分析了我国养老保险基金投资道德风险，着重阐述了我国养老保险基金投资道德风险的成因——委托人与代理人之间的信息不对称与目标不一致，以及养老保险基金投资运营过程中各主体即养老保险基金主办人、投资管理人、基金托管人的风险。 2.国外养老保险基金投资风险管理及其启示。这一部分主要分析了美国及智利的养老保险基金投资运营管理模式及其投资风险控制的具体措施。对于美国三大支柱的养老保险基金——美国联邦政府举办的老年和遗属社会保险信托基金下的社会保障基金、美国州和地方政府养老保险基金、私有退休基金各自的投资方式、投资工具、投资领域的分析，得出了美国对养老保险基金投资风险控制的具体措施，包括专业化的投资运营、多元化的投资策略以及完善的监管、法律体系。对于智力养老保险基金的运营，主要通过数据介绍了其投资组合的构成以及智利政府对基金投资方式的比例限制。智利对养老保险基金投资风险控制的措施主要有允许参保人自主选择私有化的养老保险基金管理公司、建立投资储备金和盈余储备金制度以及政府的间接性监管。最后提出了对我国养老保险基金投资风险管理的启示。 3.完善我国养老保险基金风险管理体系的模式选择及政策建议。本文的最后一部分是在分析我国养老保险基金投资风险的基础上，通过对国际上主要投资管理模式——完全集中的管理模式、分散管理模式以及适度集中的管理模式的分析，得出符合我国国情的养老保险基金投资管理模式即对具有公共性质的养老保险基金采取完全集中的管理模式，而对具有私有性质的养老保险基金采取适度集中的管理模式。最后提出完善我国养老保险基金投资风险管理的政策建议，包括发展多元化投资渠道、丰富养老保险基金投资产品、加大境外投资，加大我国养老保险基金指数化投资，加强我国养老保险基金投资的专业化管理，完善我国养老保险基金监管体系。
[Abstract]:Since the financial crisis, China's pension fund investment losses, with the aging of the population and the pension fund in China the huge hidden cost of debt problems have become increasingly prominent, facing the impact of inflation and other factors, facing the pension payment crisis. In addition, China's capital market is still not perfect, and the relevant laws and regulations of pension fund investment operation is not perfect, bring the risk of pension fund investment operation. How to effectively prevent and avoid the risks of pension fund investment, ensure that the endowment insurance fund to increase the value of pension funds, ensure to achieve the best return on investment in the acceptable level of risk, it is necessary to study and solve the problem.
This paper adopts the method of comparative analysis, qualitative analysis and quantitative analysis method, empirical analysis and normative analysis. The unified endowment insurance fund in China as the research object, the description model of China's pension fund investment operation, based on the current situation and problems of investment, risk analysis and its causes in China the pension insurance fund investment, the foreign pension insurance fund investment operation mode and risk control measures, finally put forward a sound system of risk management mode of pension fund in China and policy recommendations.
The main contents of this paper include the following parts:
1. of China's pension fund investment situation and existing risks. This part firstly describes the status of investment of endowment insurance fund in China and existing problems, based on the basic endowment insurance fund, the national social security fund and the enterprise annuity operation mode analysis, draws the following conclusions: the basic pension insurance fund the investment way is single, affected by inflation, investment income is low, even the actual investment income is negative, while the basic old-age insurance fund management institutions loose, professional is poor, unable to implement effective supervision of endowment insurance fund; national social security fund is affected by capital market volatility index, investment portfolio risk of investment. The national social security fund risk measurement using VaR method, the size of the risk; enterprise annuity investment mainly by the financial market Influence factors of instability, income fluctuations. Secondly, analysis of China's endowment insurance fund investment and moral hazard, emphatically elaborated our country endowment insurance fund investment and moral hazard causes asymmetric information and targets and agents are not consistent, and the pension insurance fund investment and operation process of the main pension insurance fund the sponsor, investment management, risk of fund custodian.
2. foreign pension insurance fund investment risk management and its enlightenment. This part mainly analyzes the specific measures of the United States and Chile's pension fund investment management and investment risk control for the United States. The three pillars of the pension insurance fund, social security fund, the federal government of the United States held the old age and survivors' social insurance trust fund under the the United States State and local government pension funds, private pension fund their investment, investment tools, investment analysis, come to the United States to risk control measures of pension fund investment, including specialized investment operation, diversified investment strategy and perfect supervision legal system for intellectual endowment insurance fund operation, mainly through the data introduces the composition of its portfolio and the Chilean government on investment funds ratio limit Chile. On the risk control of the investment of endowment insurance fund are the main measures to allow the insured to choose the privatization of pension fund management company, the establishment of investment reserves and surplus reserve system and the government's indirect supervision. Finally proposed to the Chinese pension insurance fund investment risk management.
The 3. model choice to improve the risk management system of pension fund in China and policy recommendations. The last part of this paper is based on the analysis of the investment risk of China's old-age insurance fund, the main international investment management mode completely centralized management mode, decentralized management model and analysis of moderately centralized management mode. The old-age insurance fund investment management pattern in line with China's national conditions to fully centralized management mode of the public nature of the endowment insurance fund, and to take appropriate centralized management mode of the private nature of the endowment insurance fund. Finally proposed consummates our country endowment insurance fund investment risk management policy recommendations, including the development of diversified investment channels rich, pension fund investment products, increase foreign investment, increase China's endowment insurance fund index investment, strengthen our country The professional management of the endowment insurance fund investment will improve the supervision system of the endowment insurance fund in China.

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.67;F832.51

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