Risk Budgeting And Control Method Research Of Social Insurance Funds Investment In China

It is the common concerning problem for all countries, which practice social insurance to improve the investment efficiency of social insurance funds. And the key of improving the investment efficiency is improving the level of risk management. So, the risk management of social insurance funds investment has been more and more focused. The world developed countries whose head is The US, as the reason of its early process in social insurance funds investment management and matured capital market, has accumulated lots of successful experiences in the social insurance funds investment and advanced techniques in risk management. Recently, a new dynamic technique in risk management, which developed after VAR -Risk Budgeting, has aroused more and more notice of aboard institution investors, and has large application foresee, especially in the investment of social insurance funds. With the reform of social insurance system of China developing, the investment of social insurance funds is becoming the focus for the each side of society. Based on the lately pace of social insurance funds investment and capital market which is new security market, the level of risk management in social insurance is low and has poor ability in risk management. It exists large differences in the China's social insurance investment especially in the risk management between the advanced investments. Besides it, investment of social insurance of China lagged in the tool, measures and techniques of risk management to financial institution such as the bank and investment funds of our country.So, the dissertation attempt to use the risk budgeting, an advanced technique in the risk management which is dynamic and combined the process and result, in the investment of China's social insurance to improving the efficiencies of social insurance.Based on the principle of risk budgeting and the analysis of the actuality in the investment of social insurance between China and abroad, the dissertation illuminate the necessarily of using the risk budgeting in the investment of China's social insurance. Then, through the analysis, the thesis provided the method of estimating the parameter which including the ratio of expectation return, variance and covariance in the portfolio of security. The thesis also introduces and chooses the decision model of security portfolio. Based on the theory of Markowitz's modern investment combined the actuality of China's capital market and investment of social insurance, through the asset collocation, the risk budgeting and risk control, the dissertation analyzed the feasibility of using the risk budgeting in the China's investment of social insurance. Besides this, based on the Markowitz's mean-variance model, using the method of William Sharpe's new mean-variance model analysis method and Barton Waring's active risk budgeting model, through dealing with asset and risk allocation at the same time, The thesis provided the value of strategy risk and active risk budget under given the proportion of strategy and tactics asset allocation, also discussion for taking the liability into account and not taking the liability into account. In the end, the dissertation discussed the risk control problem of social insurance funds investment.