Study On The Management Of Investment Risk Of The Social Pension Fund

Where is investment, there is risk. In the global financial crisis, the global pension fund investment had incurred a disastrous loss that is more than 5.5 trillion U.S. dollars, and China's social security fund investment laid in loss of 6.79% of equity assets in 2008. So that, it is a common issue for the world to strengthen risk control and management of pension fund investments and implement the goal of increasing the value of pension fund. Especially, our pressure of increasing the value of pension fund is greater because that the danger of pension payment will take place in the future owing to a huge hidden cost of debt in our pension fund, an accelerating aging population trend and other factors. Meanwhile, China's pension system reform needs to be further deepened, and the laws and regulations of pension fund investment are not perfect yet, the capital markets which the market environment for the pension investment still remains to be further improved. All of the above also mean that China's pension funds will face more and greater risks. Therefore, how to effectively control the risks of investment and how to ensure the goal of increasing the value of our pension fund, is becoming a major issue for us to do research and solve.The paper used the system theory approach to first analyze a variety of systemic risk and non-systematic risk existing in the pension fund investment process, and introduced the popular VaR risk measurement methods in the world, and further lead it in the pension fund investment risk empirical analysis. On this basis, according to the existing policies and regulations of pension fund investment management, the paper constructed the model of optimal allocation for our pension fund assets by Markowitz's modern portfolio theory, also configured an empirical analysis, and obtained a conclusion that we should make a different asset allocation according to the difference of nature and status of pension funds, and adjust appropriately the configuration of the various pension assets in proportion to the cycle of economic development. This paper also proposed that we should make the discretion of pension fund supervision model according to China's specific conditions, through comparing and analyzing, and also learning from the successful model of the foreign pension funds and investment management.The study results will help to improve the risk management of pension fund investment, and promote China's pension system sustainable and healthy development.