Investment Risk And Performance Evaluation Of Social Insurance Fund Based On Copula And RAROC Model

Since the social insurance funds has entered the market,the practical and theoretical fields have deeply discussed some important issues,such as how to measure the risks and returns of direct investment and entrusted investment model,and how to optimize the investment model.In August 2015,the State Council formally promulgated the "The basic old-age insurance fund investment managementapproach".It clearly defined the mode,object and proportions of social insurance fund investment,and the new policy has also prompted scholars from all walks of life to study how to improve the risk measurement and overall performance appraisal of the social security fund investment.This paper takes the institutional change of 2015 as the research background,and the differential investment model of social insurance fund as the breakthrough point.And on the basis of the existing research on the investment risk and performance appraisal of the social insurance fund,we use the GARCH-Copula model which is more suitable for the time series of financial assets to measure the investment risk of the social insurance fund,and use the RAROC model which considers the risk to evaluate the performance of the social insurance fund.Through the analysis of the change of the risk aversion rate and RAROC value before and after the policy release,to investigate the differences in the two model of social insurance fund and the effect of the implementation of the new policy.And then put forward some relevant suggestions based on the internal control theory requirements of the "administrative institutions internal controlstandard implementation guideline".The structure of this paper is as follows:The first part is the introduction.This part mainly expounds the theoretical background and significance of the research,and then introduces the research content,method,frame and innovation of the article to have a holistic grasp of the article.The second part is the present research status at home and abroad.This part mainly arranges the present research from three aspects,includes the social insurance fund investment model,risk measurement and performance appraisal,and then there is a brief review of the status of the research.The third part is the definition and theoretical basis of the concept.Firstly,this part explains some related concepts includes the market investment of social insurance fund,differential investment portfolio and performance appraisal.Then,it also introduces the computational model this paper uses,includes the autoregressive model(consists of GARCH model)and Copula model which are used to measure risks,as well as the RAROC model for performance appraisal.The fourth part is the research design.Firstly,this part explicates the calculation formula of each model and the meaning of the related variables on the basis of the brief introduction of the models above,and the steps of this paper are introduced as whole.Secondly,the selection of the sample,the data source and the processing method of the data are also explained.The fifth part is the empirical analysis.This paper selects the 79 investment portfolios held by the social insurance fund during 2003-2017 year as samples.First,we calculate the rate of return of the first ten stocks held by each portfolio and consider its stability and ARCH effect.Then we measure the risk and evaluate the income of each portfolio based on the Copula model and RAROC model.And finally,we make a detailed comparison and analysis of the difference of the investment patten,the year of investment and the combination difference,and the difference of the new policy before and after the release of the new policy.The sixth part is the research conclusion and policy suggestion.We conclude some conclusions through the results of the above empirical calculation.First,the social insurance fund can obtain better returns than the market when the market performance is poor.Second,the two investment models can both avoid risks to a certain extent and the effects are both good,but the entrusted investment model is better than direct investment model in both numerical and stable aspects.Third,the entrusted investment model has achieved an ideal effect in risk control under different years and different portfolios,while the performance is greatly influenced by the macro-economic environment.Fourth,after the promulgation of the new policy in 2015,the investment scale of the social insurance fund was significantly higher and more biased towards the model of entrustment investment,and the yield exceeded the CSI 300 index yield for the first time in 2015.This paper puts forward some policy recommendations which are not mature enough based on the results of the investment risk measurement and performance appraisal of the social insurance fund,and points out the limitations and shortcomings of this paper,and also puts forward further research directions.The innovation of this paper is as follows:First,this paper makes innovations in the use of research models.On the basis of the first revision of the existing mean variance model,CAPM model,VaR model and the Cornish-Fisher method,this paper uses the time-varying Copula model and the RAROC correction model to modify the data of the investment portfolios of the social insurance fund.Then realize the mutual check and data correction of various measure models and hope to achieve more accurate and more valuable research conclusions and enhance the robustness of the research conclusions.Second,the results of risk measurement and performance evaluation are combined to illustrate the problem.Most of the previous papers only focus on risk measurement or performance evaluation to analyze the investment situation of social security funds under the different mode.This paper combines the two to prove each other,uses GARCH-Copula model to measure risk,uses RAROC model to evaluate performance,and illustrates the different effects of social security funds in different investment modes through multi-angle comparative analysis.Third,take the promulgation and implementation of the latest policies and systems as the research background.This paper is based on the promulqution and implementation of the latest policy "The basic old-age insurance fund investment managementapproach" and the "comprehensive implementation performance appraisal”proposed by the 19th CPC.It also makes a comparative analysis on the investment risk and performance of the social insurance fund under the difference mode,and enriches the related research in this field.