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Design Of Improved Model Of Risk Budgeting And Its Application Study In Enterprise Annuity Investment

Posted on:2015-01-07Degree:DoctorType:Dissertation
Country:ChinaCandidate:Y F WangFull Text:PDF
GTID:1269330425476956Subject:Financial engineering and risk management
Abstract/Summary:PDF Full Text Request
Risk management innovation effect in institutional investment is discussed, Chinese enterprise annuity investment risk management characteristics is summarized, the topic of risk budgeting theory model level improvement and application in Chinese enterprise annuity investment is put forward. Introduced with the function of prediction control method, risk budgeting model is optimized and improved. Based on control theory for modeling risk budgeting, improved risk budgeting model suitable for institutional investors is designed, using a predictive feedback instead of the conventional feedback analysis. Improved model is applied to Chinese enterprise annuity investment, and the framework of enterprise annuity investment risk budgeting management is designed; in risk distribution part, double risk allocation system connected the stakeholders is designed, the risk measurement system is built and new measurement indicator (unit revenue risk indicator) is proposed, and the specific risk distribution mode is designed; in risk control part, combined with ISO31000standard, core-satellite risk budgeting control method faced to enterprise annuity investment is studied, and management fee incentive and derivatives application problems are discussed; empirical analysis for above research is studied, and direction of enterprise annuity comprehensive risk budgeting is proposed. Corresponding suggestions in enterprise annuity investment policy according to the research conclusion are put forward.
Keywords/Search Tags:investment risk management, risk budgeting, forecasting, Chineseenterprise annuity
PDF Full Text Request
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