Applied Research Of VaR Methods For Chinese Insurance Funds Investment

In recent years , with the prosperity of china insurance market, it provides a sufficient capital source for insurance-funds investment .At the same time, the development of capital market and enhancing market policy diversify the channels of Insurance-funds investment. As a portfolio of practical application, insurance-funds investment is also faced with lots of unavoidable risk. VaR methods attract wide attention from the beginning of its birth in the field of risk management. It conforms to the requirements of safety and profitability to integrate the VaR methods into insurance-funds investment, so the study on this is done both at home and abroad. This paper is based on the principles of VaR methods, study insurance-funds investment from the perspective of VaR methods.At first, this paper describes the content relate to insurance funds, makes a brief introduction of insurance-funds investment in domestic and foreign, and then proposes the existing problems of insurance-funds investment in China. Secondly, the author simply describes VaR methods, including the producing of VaR, the calculating of VaR, related VaR tools and indicators for RAROC. Thirdly, the author constructs the model of insurance-funds investment, uses historical data of capital market and statistical software to calculate insurance investment portfolio of ,like VaR,Marginal VaR,Incremental VaR,Component VaR ,RAROC indicators and then makes related analysis. Finally, combining the limitations of VaR, the paper analyses constrains that the application of VaR in field of insurance-funds investment in china, and put forward reference advice.