Pension Fund Risk Measurement And Asset Allocation Based On The Duration Perspective

The progress of medical treatment and the improvement of quality of life have increased the life expectancy of human beings,and the aging of population is gradually emerging.On the other hand,the declining fertility rate of the population and the declining number of new children will reduce the future labor force population and increase the dependency ratio greatly.At the same time,the pension system of our country and developed countries is different,from the point of view of scale remains to be development,but the more prominent problem is the expansion of the pension fund gap and pension fund income is too low,may not be enough to cope with China's rapidly aging population problem in the future.China's primary endowment insurance,such as enterprise annuity,personal commercial endowment insurance and other supplementary endowment insurance,is small and has not developed.To reform the endowment insurance system in our country,in addition to the development of enterprise annuity and personal commercial endowment insurance,strengthen the combination of pension funds and capital market,makes the pension funds in the premise of absolute safety,to maintain and appreciate.In this paper,based on the theory of long period,when the pension funds only stocks,bonds,bank deposits as investment targets,will be used to bond the research theory of the long period of use of the stock market and bank deposit,by measuring stocks,bonds,bank deposits,long period,can according to the proportion of pension fund asset management configuration,weighted get pension fund assets duration,make the assets duration of pension funds and debt duration match,find the reasonable asset allocation,to achieve the purpose of reduce risk.For long period,through the capital asset pricing model(CAPM)and equity free cash flow theory of duration FCFE model was extended to the stock market,the stock as a perpetual bond,at the same time,the company operating in the process of free cash flow as the cash flow of the bond,through the stock market will be divided into two parts,fixed number of year of the limited life and the infinite,and based on the consensus expectations investors,stock for a long time period.Finally,the paper draw the conclusion:reasonable asset allocation in the subject matter of the three kinds of investment,reduces endowment insurance assets duration and liabilities duration gap,so as to minimize the uncertainty of the future caused by changes in the discount rate,reduce liquidity risk,for the safety of pension fund in the future and development is of great significance.