基于固定收益养老金相关风险度量的百分层资本配置研究
发布时间：2018-12-31 07:40
【摘要】：养老金计划(pension plan)是一种保障劳动者在退休之后维持基本生活水平的社会保障制度。养老金计划包含两种基本的形式,固定收益型(DB)和固定缴款型(DC)。两者的区别在于DB养老金计划的参与者所领取到的养老金的金额是确定的,而DC养老金计划的参与者领取到的养老金金额要视养老金计划的投资收益而定。为维护养老金计划安全有效的持续运转,实现养老金计划保值增值的目标,养老金计划就必须进行各种投资活动。但养老金计划的社会公益性又需确保养老金计划投资的安全性,因此对养老金计划进行有效的风险管理是有必要的。养老金计划所拥有的资本代表养老金计划对风险的抵御能力,是养老金计划持续运行的保障。资本管理是对养老金计划的资本的来源与用途进行管理,资本管理将风险与资本科学的整合起来,是一种先进的风险管理的手段。资本配置方法是资本管理和风险管理中的重要方法,合理的资本配置可以有效的缓和投资可能带来的风险。正是因为资本配置方法在资本管理和风险管理方面的重要意义,资本配置方法也越来越多。区别于传统的资本配置方法,百分层资本配置方法并不会对尾部风险过多关注,百分层资本配置方法依靠条件击穿概率对所有的损失情形都进行资本配置,这是一种全面有效的资本配置方法。本文首先阐述DB养老金计划的概念和DB养老金计划投资所面临的风险。然后介绍了百分层资本和百分层资本配置,针对百分层资本配置模型中VaR风险度量方法对风险事件的尾部风险度量不足的问题,采用CVaR风险度量方法来度量损失额超过VaR的事件风险,实现对风险的全面度量,构建CVaR风险度量方法下的百分层资本配置模型,结合Pareto分布,给出损失分布服从Pareto分布的VaR和CVaR计算式,并给出相应的资本配置公式。结合统计数据,运用统计分析软件Eviews8.0、Matlab2014b和R语言,给出具体实例分析验证模型的实用性。本文进一步运用极值POT模型来拟合极端事件的风险分布,在CVaR风险度量方法下研究极端事件风险的百分层资本配置问题,并采用Bootstrap方法来弥补尾部估计数据较少的缺陷,然后通过百分层资本配置模型得到风险资本配置量,并给出一个实例分析。在文章的最后,我们总结了研究内容,并结合研究成果对下一步的研究进行了展望。
[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.
【学位授予单位】：安徽工程大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F842.67
[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.
【学位授予单位】：安徽工程大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F842.67
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