Risk Analysis And Measurement Of China’s Social Security Fund To Enter The Capital Market

China’s social security fund since its inception, the size of funds has madeconsiderable progress, according to the2012annual report shows that the scale ofcapital fund has reached1106.037Billion Yuan, at the same time, China’s financialmarket has become more mature and effective, the social security fund to enter thecapital market and seek to preserve and increase the value of the increasingly highdemand. The relationship between how to better understand and handle the socialinsurance fund investment risk and return is the current social events and focus. Thewriting of this paper focuses on two aspects, first: the risk of social security fund in themarket analysis, second: Social Security Fund in the market risk measure. On the basisof the above discussion how to a risk averse way to avoid risks, to achieve better socialsecurity funds into the city to preserve and increase the value of.In the second chapter, by the method of integrating theory with practice isdiscussed, the cause of social security funds into the city made a multi angle analysis,on the basis of the money market fund scale and the relation analysis, learning fromthe foreign scholars and funding for the Agency proposed expanding scale suggestion.The third part analyzes the risk of social security funds to enter the capital market andtheme measure method, firstly the theory analysis of the social security fund in themarket risk, then carries on the elaboration to the risk of social security funds to enterthe capital market from the three aspects of risk meaning, general causes and specialcauses of risk. How to measure the risk, this paper introduces two methods,mathematical model analysis method and the performance index analysis method.The fourth part is the empirical part of the paper, this part through two kinds ofmethods of risk of social security fund is analyzed, the value at risk (VaR) model andthe conditional value at risk (CVaR) model of the social security fund weightscombination makes the risk analysis, the weight stock portfolio return higher than themarket portfolio but the risk is also higher than the market portfolio. VaR method andCVaR method can only show the size of the risk, and can not reflect the relationshipbetween risk and return, then introduces the Sharp index, Toreno index and M2index.Through the analysis of the performance index of investment portfolio of socialsecurity fund in the stock market the uplink and downlink interval of two, found in thestock market’s performance is superior to the market, and the stock market downturn,most of the fund portfolio risk return performance did not reach the expected effect. The last part of the thesis, the theory and empirical analysis are summarized, andthe research of each chapter summarizes the results, and then puts forward some adviceon the social insurance fund investment and supervision in china.