The Research On The Market Risk Management Of Insurance Fund Investment Under The C-ROSS Rules

With the continuous development of the insurance industry, the major insurance companies formed to cover the business and insurance funds investment business as the core of the two pillars. The investment of insurance funds is not only micro level of insurance company's management, but also plays a important role in the development, progress and improvement of the insurance industry on the macro level. Insurance funds through reasonable way, robust, effective, properly to invest in the use and increasing the value of asset management, to enhance the continued strength of the stable going and ensure adequate reimbursement ability to deal with uncertain future events. Investment of insurance funds as part of the insurance company's core business, reflects the core competitiveness of the insurance company, its robust development of the insurance industry and social economic operation were of great significance.Any income is at the same time with the risk, the risk management of insurance funds investment is an important part of the use of insurance funds. Because of its liabilities, the feature of returning, the feature of being long-term and other special features, investment to ensure that it remains enough income, flowability, safety, the importance of insurance fund investment risk management self-evident. The international financial risk conduction is more and more rapid, the impact is more great, the impact on insurance funds has become fiercer, for the reason, risk management should be paid more requirements.In 2015, China risk oriented solvency system(hereinafter referred to as"C-ROSS") formally promulgated and implemented, the use of insurance funds has entered a new stage. C-ROSS "aimed to create a risk oriented solvency system, to prevent systemic risk and regional risk, but also pay attention to examine the efficiency of investment; built quantitative capital requirement qualitative regulation requirements and the market restraint mechanism of the three pillars as the core of the supervision system. Insurance companies are facing to scale oriented system "Provisions on the management of solvency of insurance companies" to risk oriented C-ROSS system transformation, for the investment of insurance funds," claim "rules, the minimum capital required for a variety of investment tools is simple according to the scale of investment and C-ROSS rules of insurance investment risk management consciousness and ability request, each kind of investment channels will face different risk minimum capital, the "C-ROSS" file in detail gives the correlation coefficient matrix between all kinds of investment tools minimum capital. This shift will be on how to effectively use the large stock of the insurance funds, used to improve the efficiency of insurance funds, how to do well in the risk management, how to build the optimal portfolio, how to take this opportunity to improve insurance funds management of risk management ability is a significant problem for the insurance practitioners.RAROC (Adjusted Return on Capital Risk) is that the risk adjusted capital gains, the core idea is to use the risk of revenue to adjust, with adjusted earnings to evaluate the situation of a business's comprehensive income. RAROC will future expected risk of loss quantification for current cost, i.e., the expected loss and to adjust the current income, then consider future unexpected loss, used to measure the economic capital, said the economic capital is bear the unexpected losses, the minimum capital reserves. RAROC can be from the perspective of the overall qualitative measure and comparison of China's financial institutions to business risk and operational efficiency, and for investors to make investment decisions to provide help.The C-ROSS rules and RAROC have common ground, both of them emphasize the importance of risk management. Specific to the investment of insurance funds, the C-ROSS will quantify the risk on the minimum capital requirements to regulatory insurance company investment behavior, portfolio management is also affected. RAROC will be incorporated into the measurement of investment income, rather than just look at the return on assets, the expected loss adjusted earnings and economic capital ratio as an effective indicator of the evaluation of investment performance. And the C-ROSS can be associated with the RAROC point lies in the economic capital, the concept in C-ROSS is a risk factor for minimum capital, both are equal in value, reflect the is to cover the risk of assets required amount of reserve capital. In C-ROSS framework, according to the provisions of the C-ROSS file, all risk minimum capital is equal to economic capital, so here RAROC calculation can be used directly subordinated second generation "rules of minimum capital calculation methods and various provisions. So the measure of RAROC method, combined with C-ROSS rules, and the the rules and data, earnings and risk evaluation for the investment of insurance funds, tools, application for insurance funds investment tool, investment and risk management, have a positive significance.The establishment and implementation of the C-ROSS will have a profound change on the utilization of insurance funds and risk management, the" risk oriented "core idea and" restrain back-end philosophy requires insurance companies to establish a more complete and reasonable system of risk appetite and risk supervision system; the "release front end" philosophy of requirements of asset allocation of insurance company to take full account of the income, risk and capital occupancy, and make full use of the correlation coefficient matrix to do a good job in the hedge portfolio risk and jointly doing well in investment of insurance funds use and risk management.