Research On National Social Security Fund Investment Portfolio Based On Tail Risk

China's population aging trend is gradually becoming serious.As of 2017,the number of elderly people in China is 159 million,accounting for 15.9% of the labor force.In order to alleviate the pressure of increasing social security expenditure caused by population aging,China in 2000 The National Social Security Fund was established in August.Due to the late establishment of the National Social Security Fund,its management level is lower than that of developed countries,and there is a great pressure on the preservation and appreciation of social security funds.In addition,because the social security fund has a great impact on the lives of the aging population in China,the social security fund needs to be particularly protected against the possibility of huge losses,and the difficulty of maintaining and increasing value is further enhanced.This paper takes the National Social Security Fund as the research object,and studies the investment portfolio of social security funds considering the tail risk based on the new financial risk measurement method.This paper first compares the traditional and new development of various financial risk metrics.Because the traditional indicators that characterize the tail risk do not satisfy the sub-additive and the average risk of the tail cannot be reflected in the VaR,the expected loss is selected.ES)describes the tail risk of the national social security fund portfolio;secondly introduces the establishment and solution process of the mean-ES model;againdetermines the investment target of the social security fund by analyzing the nature of different financial assets: bank deposit,national debt,Corporate bonds,stocks and funds are used to reflect the correlation between different investment targets.Then,empirical analysis is carried out.None of the four assets passed the normal test,and there is an ARCH effect.Based on various information criteria,the GARCH(1,1)-st model is finally used to describe the marginal distribution of each asset's return rate.On this basis,the Copula function is introduced,and the dependency structure of each asset in Vine Copula is selected from various Copula functions by AIC criterion,and the yield of investment target is established by Copula-GARCH(1,1)-st model.Modeling.The Monte Carlo simulation is used to obtain the future return rate of each asset,and combined with the mean-ES model and the national social security fund's various asset investment ratio limits,the national social security fund portfolio with the lowest ES value is calculated under different yields and confidence levels..Finally,in order to verify whether the combination of Copula-GARCH model and mean-ES model is effective for the prevention of extreme risks of social security funds in China,five kinds of financial assets before 2008 are selected.Based on the method proposed in this paper,a portfolio is calculated and substituted into 2008.According to the actual data of the year,it is found that the yield is much higher than the actual rate of return of the social security fund in 2008,effectively avoiding large losses.In the end,the following conclusions are drawn: First,due to the security considerations of social security funds,the proportion of high-yield and high-risk assets cannot be greatly increased or the proportion of low-yield and low-risk assets can be reduced in the face of the pressure of social security fund preservation and appreciation.And need to find more high-quality assets,such as expanding the types of overseas assets and increasing the proportion of overseas assets investment.Second,the government departments need to appropriately loosen the restrictions on the proportion of bank deposits and treasury bonds,increase the proportion of investment in financial assets such as funds,and continue to increase the proportion of entrusted investment to obtain moreinvestment income.Third,the combination of Copula-GARCH model and mean-ES model can better deal with extreme risks,and can provide an investment tool for China's social security funds to avoid huge losses under extreme risks.Fourth,under the premise of ensuring the safety of social security fund investment,the Social Security Fund Board needs to continue to implement diversified investment and obtain the optimal asset allocation portfolio.