| Since the National Social Security Fund establishment in2000, the social security fund balance is more and more. It is very important to keep its value, as it is a debt that must be repaid in the future. Therefore, the social security funds try to diversify investments. Alternative investment vehicles gradually increased, investment scope has expanded from domestic to foreign and investment mode has been innovated. However, it has brought another problem that investment risk was rapidly increasing. Therefore, it is very urgent to explore effective ways to avoid the risk.On the basis of summarizing domestic and international research results on social security funds, this paper studied how to manage investment risk according to the steps of "Risk analysis-Risk measurement-Risk prevention". Firstly, this paper analyzed the asset size, investment profile, portfolio and investment income of the social security funds, so that the readers had some basic knowledge about the development situation of social security funds. Secondly, based on the analysis of the current situation, this article revealed problems existing in the social security fund investment. Such as the investment structure was irrational, stock investment was too concentrated, professional investment managers lacked of effective competition, legal system is not perfect and so on. Then, it detestably analyzed the internal risks, like investment decision risk and operational risk, and the external risks, such as agency risk, market risk and moral hazard. Thirdly, selecting the investment rate of portfolios from April1,2014to March31,2015as sample data, this paper fitted GARCH-VaR model. And based on GARCH-VaR model estimated, this article predicted VaR evaluation of portfolios in the next three periods, to guide investment plan in the future. Finally, for the problems and the risks existing in social security funds investment, according to the risk prediction, this paper proposed targeted risk countermeasures. |
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