【摘要】：養老金計劃(pension plan)是一種保障勞動者在退休之后維持基本生活水平的社會保障制度。養老金計劃包含兩種基本的形式,固定收益型(DB)和固定繳款型(DC)。兩者的區別在于DB養老金計劃的參與者所領取到的養老金的金額是確定的,而DC養老金計劃的參與者領取到的養老金金額要視養老金計劃的投資收益而定。為維護養老金計劃安全有效的持續運轉,實現養老金計劃保值增值的目標,養老金計劃就必須進行各種投資活動。但養老金計劃的社會公益性又需確保養老金計劃投資的安全性,因此對養老金計劃進行有效的風險管理是有必要的。養老金計劃所擁有的資本代表養老金計劃對風險的抵御能力,是養老金計劃持續運行的保障。資本管理是對養老金計劃的資本的來源與用途進行管理,資本管理將風險與資本科學的整合起來,是一種先進的風險管理的手段。資本配置方法是資本管理和風險管理中的重要方法,合理的資本配置可以有效的緩和投資可能帶來的風險。正是因為資本配置方法在資本管理和風險管理方面的重要意義,資本配置方法也越來越多。區別于傳統的資本配置方法,百分層資本配置方法并不會對尾部風險過多關注,百分層資本配置方法依靠條件擊穿概率對所有的損失情形都進行資本配置,這是一種全面有效的資本配置方法。本文首先闡述DB養老金計劃的概念和DB養老金計劃投資所面臨的風險。然后介紹了百分層資本和百分層資本配置,針對百分層資本配置模型中VaR風險度量方法對風險事件的尾部風險度量不足的問題,采用CVaR風險度量方法來度量損失額超過VaR的事件風險,實現對風險的全面度量,構建CVaR風險度量方法下的百分層資本配置模型,結合Pareto分布,給出損失分布服從Pareto分布的VaR和CVaR計算式,并給出相應的資本配置公式。結合統計數據,運用統計分析軟件Eviews8.0、Matlab2014b和R語言,給出具體實例分析驗證模型的實用性。本文進一步運用極值POT模型來擬合極端事件的風險分布,在CVaR風險度量方法下研究極端事件風險的百分層資本配置問題,并采用Bootstrap方法來彌補尾部估計數據較少的缺陷,然后通過百分層資本配置模型得到風險資本配置量,并給出一個實例分析。在文章的最后,我們總結了研究內容,并結合研究成果對下一步的研究進行了展望。
[Abstract]:The pension scheme (pension plan) is a social security system that guarantees workers a basic standard of living after retirement. Pension plans consist of two basic forms, fixed income (DB) and fixed contribution (DC). The difference between the two is that the amount of the pension received by the participants in the DB pension scheme is certain, while the amount received by the participants in the DC pension scheme depends on the return on investment in the pension plan. In order to maintain the safe and effective operation of the pension plan and realize the goal of maintaining and increasing the value of the pension plan, the pension plan must carry out various kinds of investment activities. However, the social welfare of pension plan needs to ensure the security of pension plan investment, so it is necessary to carry on the effective risk management to the pension plan. The capital possessed by pension plan represents the ability of pension plan to resist risks and is the guarantee of its continuous operation. Capital management is the management of the source and use of the pension plan capital management integrates risk with capital science and is an advanced means of risk management. Capital allocation method is an important method in capital management and risk management. Reasonable capital allocation can effectively mitigate the risk of investment. Because of the importance of capital allocation methods in capital management and risk management, capital allocation methods are becoming more and more. Different from the traditional capital allocation method, the capital allocation method does not pay too much attention to the tail risk. The capital allocation method relies on the conditional breakdown probability to allocate the capital for all the loss cases. This is a comprehensive and effective method of capital allocation. This paper first describes the concept of DB pension plan and the risk of DB pension plan investment. Then it introduces the capital allocation of 100 layers and 100 layers, aiming at the problem that the VaR risk measurement method is insufficient to measure the tail risk of the risk event in the capital allocation model of 100 layers. The CVaR risk measurement method is adopted to measure the event risk in which the amount of loss exceeds the VaR, and the overall risk measurement is realized. The 100-layer capital allocation model under the CVaR risk measurement method is constructed and combined with the Pareto distribution. The formulas of VaR and CVaR for loss distribution from Pareto distribution are given, and the corresponding capital allocation formulas are given. Combined with the statistical data and using the statistical analysis software Eviews8.0,Matlab2014b and R language, a practical example is given to verify the practicability of the model. In this paper, the extreme POT model is further used to fit the risk distribution of extreme events. Under the CVaR risk measurement method, the problem of capital allocation of extreme event risk is studied, and the Bootstrap method is used to compensate for the shortage of tail estimation data. Then, the allocation of venture capital is obtained by using the capital allocation model of 100 layers, and an example is given. At the end of the paper, we summarize the research content and prospect the next research.
【學位授予單位】：安徽工程大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F842.67

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