养老保险基金投资营运风险管理的探索

【作者】 刘榆风；

【导师】 林义； 傅代国；

【作者基本信息】 西南财经大学 ， 金融学， 2002， 硕士

【摘要】 养老保险基金投资管理是20世纪90年代以来国际社会保障领域研究的热门课题。如何对其进行风险管理也相应地成为关注的焦点。构建合理的风险管理机制对实现养老保险基金的保值、增值起着重要的作用。正是基于这样的原因，我选择养老保险基金投资运营风险管理的探索这个题目，力图多角度、全方位地对养老保险基金投资的风险管理进行探讨，希望能够对我国这方面的研究工作做一点贡献。一、 论文的基本思路论文立足于我国的经济和政策环境现状，以我国的资本市场为研究平台，以养老保险基金投资运营中面临的各种风险为基础搭建全文的逻辑构架。分析存在的问题，寻求解决的办法，探讨了我国养老保险基金投资运营风险管理的理论和实务操作问题。目前，世界人口老龄化的问题早已对养老保险基金提出了新的挑战，无论发达国家或发展中国家在日益严峻的人口老龄化下，越来越关注着本国的养老金制度。中国经济学界对养老保险基金的研究比较集中在如何完善“统帐结合”的部分积累模式，以及由现收现付制向部分积累制转轨中需解决的一系列问题，如成本的负担问题，基金缺口的弥补问题等等。对养老保险基金的投资运营及其风险管理方面的研究相对少一些。但是养老保险基金的投资运营问题随着现收现付制向基金制的最终转换日益呈现出重要性。基于这些情况，论文所研究的重点是养老保险基金投资运营的风险管理架构。通过透析我国养老保险基金投资所面临的各种风险，探讨了如何构建我国养老保险基金投资的风险管理机制，营造投资运营的平台，以及在此平台下如何切实有效的保障养老保险基金的投资，实现基金的保值、增值。二、 论文的主要内容本文主要采用实证法与规范法相结合，演绎法与归纳法相结合，<WP=3>制度分析的方法以及比较借鉴的方法来进行论文的研究和写作。论文在内容上分为三章。第一章是对养老保险基金投资运营中面临的风险进行分析。第二章构成了论文的重心：对我国养老保险基金投资运营的风险管理机制的构建。由于养老保险基金入市问题的争议性，专门列为一章做一些探讨。第一章是对养老保险基金投资风险的分析，可分为三节。第一节是对基金的投资环境风险的分析；第二节是对具体投资业务风险因素的分析；第三节是对投资管理风险因素的分析。通过对以上三方面分析研究，希望对养老保险基金投资中面临的风险有一个较为全面的认识和把握。养老保险基金是在资本市场中进行投资运营的，资本市场完善与成熟程度直接影响着养老保险基金投资收益的实现。充分认识资本市场存在的风险对投资决策的制定是非常重要的。完整的资本市场概念包括长期借贷市场、债券市场、股票市场、基金市场和产权市场。由于我国资本市场的发展是缓慢和滞后的，存在着结构失衡、监管不当、非市场化等缺陷，因而造成了养老保险基金投资风险的增大。而资本市场的重要组成部分——证券市场有着更大的风险。证券市场风险可以划分为系统性风险和非系统性风险两大类。中国股市的系统性风险主要表现在市场股权的人为分割，产权不可自由流动；股市的泡沫成分重；监管不严及证券交易机制的不健全等方面。而非系统性风险主要有经营风险和财务风险，非系统性风险可以通过投资组合进行分散，而系统性风险无法通过分散化投资进行规避。近年来兴起的基金市场，也是未来养老保险基金投资的重要场合，所以论文对基金市场的风险也进行了简单的分析。一般地，养老保险基金可以投资于有价证券、贷款、房地产和海外投资。西方发达国家的养老保险基金的投资重点大多集中在有价证券上。而我国养老保险基金的投资受到严格限制，只能购买国债或存入银行，不能用于风险性较高的投资。随着养老保险基金保值增值压力的增大和我国投资环境的好转，放松投资限制，允许投资于多样化的投资工具是大势所趋。证券市场将是养老保险基金投资的重要领<WP=4>域。证券投资主要体现在股票投资和债券投资上，两种投资面临着不同的风险。债券投资存在着利率风险、投资风险、违约风险、通货膨胀风险；而股票投资面临着股利收益不确定风险和股票价格不确定风险。在了解了风险的性质后，对风险进行衡量是风险管理的重要环节。有价证券的投资风险衡量可以采取指标法和数量分析法。对债券投资风险衡量多采用指标法，而对股票投资风险衡量采用数量分析，具体又可分为价差率法、离差法、灵敏度分析和VAR风险衡量法。养老保险基金投资运营中还面临着管理风险。养老保险基金投资的管理形式主要有直接投资型、部分委托型和全部委托型三种。部分委托和全部委托型中都存在着委托代理风险，而在直接投资型方式下则面临投资成本过高的问题。通过第一章对养老保险基金投资中面临的环境风险、投资业务风险和管理风险进行分析后，论文的第二章对养老保险基金投资的风险管理机制进行了构建，由风险约束机制、风险分散机制、风险监督机制和风险保护机制四部分组成。风险约束机制是由对受托人、投资管理人和保管人的定位构架而成。受托人、投资管理人和保管人在养老基金的投资运营中起着至关重要的作用，对他们的准确定位可以在一定程度上减轻委托代?更多还原

【Abstract】 Since 1990’s, the investment management of pension funds is one of the hot issues in the social security research, accordingly the risk management of pension funds investment being put on the order of the day. Based on this point, pulsing a willingness to contribute my energy to risk management in China, I choose "risk management in the investment operation of pension fund" as the topic of my research, attempting to analyze and discuss the risk management of pension fund investment comprehensively and profoundly in the theoretical and practical levels.Based on the reality of current Chinese political, economic and social systems, taking the capital market in our country as research platform, the author constructs logical architecture of this paper according to kinds of risks that may be confronted with in pension fund investment operation. Analyzing prevailing problem, exploring the settle ways, and discussing the theoretical and practical problems in the risk management of pension fund investment in China. These are the expected objects of why to write this paper.The article is divided into three parts. Chapter one mainly analyzes the risks faced in the pension fund investment. The first part is necessary preparation for the discussion of the second part. The content of chapter two is the core of the article, which is structuring the risk management mechanism of pension fund investment in China. The chapter three is roughly researching on pension fund investing in the stock market. Since it is a more disputable topic, it is discussed independently.Because pension fund invests in the capital market, the degree of the completeness and maturity of capital market manipulates the realization of investment profit directly. Thus a better understanding on capital market risk has significant meaning to investment-policy decision. Because capital market has many defects such as unbalanced structure,<WP=7>inappropriateness of management, improper supervision etc, it enlarges the investment risk. Furthermore the important part of capital market - the security market has greater risks. The risk in security market can be divided into system risk and non-system risk. The system risk can be distributed through portfolio management, while it won’t be dodged for the non-system risk by investing in diversification. Non-system risks display in breaking up the market in man-made, equities can’t flow freely, foam economy appears in stock market, and security trade system is not sound. System risks in stock market are management risk and finance risk.Generally speaking, pension fund invests in securities, mortgage loan, real estate and oversea investment. The pension fund in the west-developed countries is invested chiefly in securities. It is strictly restricted on the pension fund investment in China. The only invest instrument that can be selected are treasury bonds and deposits, any risky instrument can’t be used. Under the pressure of preservation and appreciation of the pension funds and investment environment taking a favorable turn, it is the general trend of loosening investment restrictions and permitting pension fund to invest in various instruments. Thus security market will be the active field of investment. Security investments include stock investment and bonds investment. Different instrument faced different risks. Bonds investment faces interest rate risk, reinvesting risk, breaking contract risk, and inflation risk, while stock instruments face dividend indefinite risk and price indefinite risk. After understanding the nature of risks, it is the important step in risk management to measure the risk. Risk measurement of security tools can adopt quantitative analysis and target analysis. The third part of this chapter discusses the agency problem that existed in pension fund investment management. Pension fund management can adopt three formats: direct investment format, partial<WP=8>delegation format and complete delegation format. In the late two formats, there exists agency problem. While in t更多还原