The Research Of Investment Risk On Stock Market Of National Social Security Fund(NSSF)

NSSF as our residents’ life-saving money ", how to manage these funds to increase the value of our country is a major issue that must be faced and need to be resolved. Otherwise, the National Social Security Fund in the event of serious capital issues, it cannot provide adequate support for the payment of pensions, thus affecting the long-term stability of society. Investment scope of social security funds include bank deposits, bonds, securities investment funds, stocks, investment grade credit rating in more than corporate bonds, financial bonds and other securities. It rules that bank deposits and treasury investment ratio of not less than50%, corporate bonds, financial bonds not more than10%of securities investment funds, the proportion of equity investments not more than40%. China Social Security Fund in2001to actively invest into the stock market. The securities market is a high-risk high-yield market, in recent years, changes in investment income of NSSF are very intense. Due to the overall operation of China’s social security fund for social security health has a very significant impact, therefore, from the viewpoint of practical significance, risk management control of social security funds in the stock market investment is particularly important.This dissertation aims at researching and analyzing the risk of stock market investment behavior of Chinese Social Security Fund, based on which to give the corresponding risk management strategies and suggestions.This research following the general risk management procedure, take the modern financial risk management theory as reference:firstly introduce and retrospect the investment behavior of the NSSF and do risk identification, then mainly use the financial risk measurement system----VaR calculation method to give empirical analysis to measure the investment risk of NSSF. In the research, it focus on discuss the feasibility of different VaR measure methods to measure social security fund securities investment behavior, concludes the suitable methods for measure the China’s social security fund stock market investment risk, so that to quantitatively analysis and research in the risk our country faced in the operation of the social security fund (NSSF). In the end, according to the empirical research, this dissertation gives advice of China’s social security fund operation in stock market investment and related regulatory policy suggestions.