| From the resumption of business since1980, the high-speed development of China’s insurance industry is one of the fastest growing industries in China. With the rapid development of China’s insurance industry, the use of insurance funds is also increasing. Until the end of2012, the use of insurance funds balance is6.85trillion. Under the premise of effective management and control risk, preserve and increase the value of the insurance funds is facing a challenge in the current period of insurance industry. The characteristics of the bond market and the basic principles of insurance funds together determine that the bond market is an important channel for the use of insurance funds, and is able to meet the requirements of the use of insurance funds. In July2012, the CIRC issued the Regulation on the insurance funds invest in bonds,which make the insurance funds invest in bonds fully relaxed, but also put forward higher requirements on the insurance company’s ability to invest and risk management.VaR is an abbreviation of the Value at Risk, also known as value-at-risk, and it means under conditions of normal market fluctuations, in a certain time period, under a given confidence level, the maximum possible losses of a risk asset or assets (investment) portfolio in determined period of time. Currently, VaR method as a risk management tool, has been widely applied to enterprise risk management. The VaR method can measure the risk of a single investment, and also measure the portfolio risk. And the extension of the VaR method can also carry out further analysis of the structure of the portfolio within the calculation, and business managers can effectively use VaR value of portfolio in risk management.This paper uses the VaR method in the bond investments to analysis of China’s insurance funds. The main content of this article is following this order.Chapterl introduces briefly discusses the background and significance of the research, reference and research ideas. With the rapid development of China’s insurance industry, the use of insurance funds balances also increased. At present, the use of funds has become the main source of insurance companies’profit. However, the investment income of insurance funds rate has been low, CIRC continue to broaden investment channels, which make the bond investments fully liberalized. But the risks have also increased. The VaR method applied to the risk management.The second chapter describes the basic theory of the use of insurance funds and bond investments. The characteristics of the bond market and the basic principles of insurance funds, together determine the bond market is the main channel of the use of insurance funds, and be able to meet the requirements of the use of insurance funds.The third chapter introduces the use of insurance funds in China’s history, status and the use of funds major way-investment in bonds. The beginning of this chapter introduces the changes of the regulatory policy. After that, it tells the size, the yield, structure, problems of the use of insurance funds. Finally, it focuses on the status of risk capital investment in bonds.Chapter IV presents the VaR methods theory and its application in the insurance funds, bond investments. In practical applications, the VaR method was introduced to China in the insurance industry as a risk management tools.Chapter V uses VaR method, empirical analysis of bond investment of insurance funds in China. First, select the variance-covariance method to calculate VaR. After that, selecting the representative bond index, using VaR method, in accordance with the proportion of bond investments in China, calculate portfolio VaR, incremental VaR, component VaR and marginal VaR.Chapter VI main content draw conclusions for this article:bonds as fixed income products, match with the insurance funds good. The income is not high, but relatively stable and able to meet the liquidity management needs. The main problem of the use of insurance funds in China:(1) lower the insurance capital gains rate and insufficient to support the liabilities.(2) The use of funds structure and liability structure does not match.(3) Equity investment fluctuations, mainly refers to the volatile securities and securities funds. The regulatory authorities may resolve the three insurance funds. When building a bond portfolio and managing risk, the insurance company can use the VaR method to improve the level of risk management and constantly enhance the level of insurance funds’using. The recommendations of this paper are:the use of insurance funds in China should continue to attach importance to the bond market; strengthen research and development investment analysis tools and risk measurement tools; regulatory authorities should continue to broaden the channels of insurance funds’ using; insurance companies should establish an effective risk management system. |
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