發(fā)布時間：2018-04-26 23:33

  本文選題：經(jīng)濟(jì)資本 + 公允價值��； 參考：《西南財經(jīng)大學(xué)》2013年碩士論文

【摘要】：經(jīng)濟(jì)資本概念自從出現(xiàn)以來便得到了快速發(fā)展,并在商業(yè)銀行領(lǐng)域得到了廣泛應(yīng)用,證明其在風(fēng)險管理方面存在重要的作用。而對于保險公司而言,經(jīng)濟(jì)資本還是一種全新風(fēng)險管理理念,尤其是財險公司,更沒有太多的成功經(jīng)驗(yàn)可供借鑒。但在經(jīng)濟(jì)全球化和金融混業(yè)經(jīng)營的大背景下,經(jīng)濟(jì)資本在整個金融行業(yè)的大范圍推廣是必然趨勢。經(jīng)濟(jì)資本作為一種先進(jìn)的風(fēng)險管理技術(shù),實(shí)現(xiàn)了風(fēng)險與資本的有效整合,對于提高保險公司的風(fēng)險管理水平具有重要意義。同時,通過引入經(jīng)過風(fēng)險調(diào)整的資本收益率(RAROC)可以對財險公司經(jīng)營績效進(jìn)行有效評估,進(jìn)一步提高風(fēng)險防范水平。 與此同時,最近十幾年來全球經(jīng)濟(jì)一體化趨勢愈演愈烈,而2008年全球范圍內(nèi)金融危機(jī)的爆發(fā),使人們重新認(rèn)識到公允價值計量屬性的重要性。國際上一些重大的會計機(jī)構(gòu)紛紛出臺相應(yīng)的會計準(zhǔn)則,要求各金融企業(yè)按公允價值計量資產(chǎn)負(fù)債價值。我國也緊跟國際步伐,對公允價值計量做了相應(yīng)的要求。但財險公司經(jīng)營內(nèi)容與其他行業(yè)存在本質(zhì)的不同,其負(fù)債具有特殊性,將公允價值計量屬性引入財險公司負(fù)債評估中存在一定的困難。本文試圖為財險公司負(fù)債公允價值的評估提供一個有效的方法,并指出公允價值計量是財險公司經(jīng)濟(jì)資本評估的重要前提,通過這種方法將經(jīng)濟(jì)資本和公允價值整合在一起,以期為財險公司風(fēng)險管理框架的構(gòu)建提供幫助。 第一章“前言”簡要闡明了本文選題的背景和意義,回顧了國內(nèi)外在相關(guān)領(lǐng)域的研究現(xiàn)狀,最后指出了本文的創(chuàng)新之處。 第二章“經(jīng)濟(jì)資本——財險公司風(fēng)險管理新趨勢”,主要指出了經(jīng)濟(jì)資本對于財險公司風(fēng)險管理過程的重要性。首先,根據(jù)國際精算師協(xié)會(IAA)提供的分類方法對保險企業(yè)面臨的風(fēng)險進(jìn)行了分類,并簡單介紹了財險公司風(fēng)險管理的主要工具,然后提出了經(jīng)濟(jì)資本概念,指出經(jīng)濟(jì)資本在財險風(fēng)險管理中的作用。 第三章“公允價值——經(jīng)濟(jì)資本評估的重要前提”,指出只有對財險公司資產(chǎn)和負(fù)債同時進(jìn)行公允價值評估才能使經(jīng)濟(jì)資本在財險公司風(fēng)險管理中發(fā)揮重要作用。本章首先對公允價值計量屬性的優(yōu)缺點(diǎn)進(jìn)行了簡單的分析,然后對財險公司負(fù)債公允價值的評估進(jìn)行探討,并選取凈現(xiàn)值法作為財險公司負(fù)債公允價值評估的正確方法。最后,將公允價值計量運(yùn)用到經(jīng)濟(jì)資本評估中,為財險公司風(fēng)險管理提供新的思路。 第四章“經(jīng)濟(jì)資本視角下的財險公司風(fēng)險管理”,主要討論經(jīng)濟(jì)資本在財險公司風(fēng)險管理實(shí)踐中的具體應(yīng)用。首先指出資產(chǎn)負(fù)債管理是財險公司風(fēng)險管理的基本理念,然后將財險公司的利潤來源分為兩大職能中心——承保中心和投資中心,并利用管理控制系統(tǒng)中的轉(zhuǎn)移價格概念將兩者聯(lián)系起來,最后分別對兩大中心面臨的風(fēng)險進(jìn)行經(jīng)濟(jì)資本評估和績效管理。 第五章“案例分析”,通過具體的案例來說明考慮了公允價值計量后的財險公司經(jīng)濟(jì)資本評估,以此驗(yàn)證經(jīng)濟(jì)資本與公允價值之間的聯(lián)系,以及兩者在財險公司風(fēng)險管理中的作用,最后根據(jù)案例分析結(jié)果對財險公司在公允價值計量模式下的經(jīng)濟(jì)資本管理提出了相關(guān)的建議。
[Abstract]:Since the emergence of the concept of economic capital, the concept of economic capital has been rapidly developed and widely used in the field of commercial banks. It has proved that it has an important role in risk management. For insurance companies, economic capital is a new risk management concept, especially the financial insurance company, and there is not much successful experience to borrow. However, under the background of economic globalization and financial mixed operation, it is an inevitable trend that economic capital is popularized in the wide range of the whole financial industry. As an advanced risk management technology, economic capital has realized the effective integration of risk and capital. It is of great significance to improve the risk management level of insurance companies. The introduction of risk adjusted capital return (RAROC) can effectively assess the performance of property insurance companies, and further enhance the level of risk prevention.
At the same time, the trend of global economic integration in the last decade has become more and more intense, and the outbreak of the global financial crisis in 2008 has made people re aware of the importance of the fair value measurement attribute. Some of the major international accounting institutions have issued corresponding accounting standards for financial enterprises to measure assets at fair value. The debt value. China also follows the international pace, and makes the corresponding requirements for the fair value measurement. However, the management content of the financial insurance company is different from other industries, its liabilities are special. There are some difficulties in introducing the fair value measurement attribute to the liability assessment of the financial insurance company. The value evaluation provides an effective method, and points out that the fair value measurement is an important prerequisite for the financial capital evaluation of the financial insurance company. Through this method, the economic capital and the fair value are integrated together, in order to provide help for the construction of the risk management framework of the financial insurance company.
The first chapter, "preface" briefly expounds the background and significance of this topic, reviews the research status of the relevant fields at home and abroad, and finally points out the innovation of this article.
The second chapter, "economic capital - a new trend of risk management for financial insurance companies", mainly points out the importance of economic capital to risk management process of financial insurance companies. First, according to the classification methods provided by the international actuary Association (IAA), the risks faced by the insurance companies are classified, and the risk management owners of the financial insurance companies are briefly introduced. Tools, and then put forward the concept of economic capital, pointing out the role of economic capital in risk management of property insurance.
The third chapter, "the important premise of fair value - economic capital evaluation", points out that only the fair value assessment of assets and liabilities of the financial insurance companies can make the economic capital play an important role in the risk management of the financial insurance companies. The assessment of the fair value of the liability company is discussed, and the net present value method is selected as the correct method for the fair value evaluation of the liability company. Finally, the fair value measurement is applied to the evaluation of economic capital to provide a new way of thinking for the risk management of the financial insurance company.
The fourth chapter, "risk management of financial insurance companies from the perspective of economic capital", mainly discusses the specific application of economic capital in risk management practice of financial insurance companies. First, it points out that asset liability management is the basic idea of risk management of financial risk companies, and then divides the source of profits into two major functional centers - the underwriting center and the investment. The capital center, and uses the transfer price concept in the management control system to link the two. Finally, the economic capital evaluation and performance management of the risks faced by the two centers are respectively carried out respectively.
In the fifth chapter, "case analysis", a specific case is used to illustrate the economic capital assessment of the financial insurance company after the fair value measurement, in order to verify the relationship between the economic capital and the fair value, as well as the role of the two in the risk management of the financial insurance companies. Finally, according to the results of the case analysis, the financial companies are measured in the fair value measurement model. Economic capital management under the formula put forward relevant suggestions.

【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F842.3;F275

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