The Risk Assessment Of Chinese Insurance Funds' Bond Investment Based On VaR

In recent years,China's insurance industry has been developing rapidly,and the insurance fund investment business has become an important factor in the development of the insurance company's survival and insurance industry.Bonds to the characteristics of its earnings stability and the safety of insurance funds,profitability,such as using the principle of matching,become the main channel of insurance fund use,and can well meet the requirements of use of insurance funds.As a result,the risk of bond investing greatly affects the safety of insurance companies and the health of the insurance industry.However,the current bond investment are faced with the risk of investment of insurance funds insufficiency,the risk assessment method using improper,weak risk control system and a series of problems,regulators to the insurance company's investment ability and risk control are also put forward higher requirements.Based on the above background,not only meet the demand of the insurance company profits,and conform to the requirements of the regulatory risk control,which can effectively evaluate the investment risk,and to realize the value of insurance funds,is the current insurance industry needs to be an important issue.VaR as a risk management tool,can effectively to individual assets and portfolio risk assessment,risk measurement and supervision department of insurance company's risk control is very important to help.This article introduces the VaR method of bond investment of insurance funds risk assessment,using VaR method variance-covariance method,choose bond index in nearly three years 750 days,according to the current structure of bond investment of insurance funds in our country,the Treasury bonds,corporate debt,debt-financed,bill and medium-term notes five kinds of bonds and bond portfolio risk assessment day returns,to quantify the different types of bonds and bond portfolios on the possible maximum loss of insurance funds.Through research,the thesis finally gets the following conclusion:in different types of bonds under the premise of unrelated to each other,bond yields of insurance funds investment risk as follows:corporate bonds,medium-term notes,debt-financed,Treasury,bill;Considering correlation degree,structure of bond investment of insurance funds in our country,a single bond contribution to portfolio risk,on the basis of a bond for bond portfolio risk influence from big to small in the order:debt-financed,enterprise bonds,Treasury bonds,bill,medium-term notes.In combination with the above conclusion,the paper puts forward some countermeasures for the risk prevention of insurance fund bond investment.