本文關(guān)鍵詞： 養(yǎng)老金入市 委托代理風(fēng)險(xiǎn) 資本市場(chǎng)風(fēng)險(xiǎn) 風(fēng)險(xiǎn)評(píng)估 風(fēng)險(xiǎn)管控策略　出處：《浙江大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：養(yǎng)老金作為職工退休后重要的待遇保障,起到促進(jìn)社會(huì)公平、調(diào)節(jié)社會(huì)經(jīng)濟(jì)發(fā)展的作用,而且作為機(jī)構(gòu)投資者,養(yǎng)老金可以引導(dǎo)市場(chǎng)進(jìn)行長(zhǎng)期價(jià)值投資,實(shí)現(xiàn)與資本市場(chǎng)的良性互動(dòng),對(duì)國(guó)民經(jīng)濟(jì)發(fā)展具有重大貢獻(xiàn)。但是,隨著我國(guó)老齡化進(jìn)程加速,制度轉(zhuǎn)軌造成的隱性債務(wù)逐漸顯性化,導(dǎo)致個(gè)人賬戶空賬運(yùn)行,而且保守的養(yǎng)老金運(yùn)營(yíng)方式造成投資收益率偏低,養(yǎng)老金實(shí)際上已經(jīng)面臨入不敷出的困境,通過養(yǎng)老金入市實(shí)現(xiàn)保值增值的目標(biāo)迫在眉睫。盡管政策上已經(jīng)拓寬養(yǎng)老金投資渠道,但是養(yǎng)老金作為老百姓的"養(yǎng)命錢",必須保障運(yùn)營(yíng)安全性,謹(jǐn)防入市可能面臨的各類風(fēng)險(xiǎn)。本文基于此,全面分析我國(guó)養(yǎng)老金入市現(xiàn)狀,指出目前養(yǎng)老金管理過程中存在財(cái)政兜底缺口、個(gè)人賬戶空賬運(yùn)行和投資收益率偏低等問題,并且從委托代理和資本市場(chǎng)兩個(gè)角度,探討未來養(yǎng)老金市場(chǎng)化運(yùn)營(yíng)面臨的風(fēng)險(xiǎn)點(diǎn)。明確養(yǎng)老金入市風(fēng)險(xiǎn)后,本文主要從定性和定量層面研究我國(guó)養(yǎng)老金入市的風(fēng)險(xiǎn)管控策略。從定性層面,由于我國(guó)養(yǎng)老金入市一直提倡建設(shè)"中國(guó)版401K計(jì)劃",而401K計(jì)劃是美國(guó)養(yǎng)老金入市中最典型的代表之一,因此本文針對(duì)美國(guó)養(yǎng)老金已經(jīng)成功入市的401K和IRA計(jì)劃展開具體分析,再結(jié)合我國(guó)養(yǎng)老金實(shí)際投資運(yùn)營(yíng)的現(xiàn)狀,總結(jié)可供我國(guó)借鑒的養(yǎng)老金運(yùn)營(yíng)和監(jiān)管模式經(jīng)驗(yàn);從定量層面,由于我國(guó)養(yǎng)老金缺乏投資經(jīng)驗(yàn)數(shù)據(jù),但是我國(guó)社保基金已經(jīng)入市多年并且取得了較為成功的投資管理經(jīng)驗(yàn),而且相關(guān)政策文件明確規(guī)定社�；饡�(huì)可受托管理養(yǎng)老金,所以養(yǎng)老金與社保基金未來投資風(fēng)險(xiǎn)偏好相似。本文鑒于此,運(yùn)用VaR模型對(duì)社�；鹑胧酗L(fēng)險(xiǎn)進(jìn)行評(píng)估,從定量層面為養(yǎng)老金市場(chǎng)化運(yùn)營(yíng)提供良好的投資和風(fēng)險(xiǎn)管控建議。最后,本文綜合借鑒國(guó)內(nèi)外經(jīng)驗(yàn),歸納基本結(jié)論,并結(jié)合我國(guó)養(yǎng)老金實(shí)際管理現(xiàn)狀,總結(jié)適用于我國(guó)養(yǎng)老金入市的政策建議,從而為將來養(yǎng)老金平穩(wěn)安全的入市,實(shí)現(xiàn)保值增值的目標(biāo),提供科學(xué)的理論支持。
[Abstract]:As an important salary guarantee for employees after retirement, pensions play a role in promoting social equity and regulating social and economic development. As institutional investors, pensions can guide the market to invest in long-term value. The realization of benign interaction with the capital market makes a great contribution to the development of the national economy. However, with the acceleration of the aging process of our country, the recessive debt caused by the system transition gradually becomes dominant, which leads to the operation of the empty account of the individual account. Moreover, the conservative operation of pensions results in a low return on investment, and pensions have in fact been faced with the dilemma of living beyond their means. It is urgent to achieve the goal of maintaining and increasing the value of pensions by entering the market. Although the policy has widened the channels for pension investment, as the "livelihood money" of ordinary people, it is necessary to ensure the safety of operation. Based on this, this paper analyzes the current situation of pension entry in China, and points out that there are some problems in the process of pension management, such as the financial gap, the running of personal accounts and the low return on investment, etc. And from the perspective of principal-agent and capital market, the paper discusses the risk points of the future market-oriented operation of pension. This paper mainly studies the risk control strategy of China's pension market from the qualitative and quantitative aspects. Since China has always advocated the construction of "China 401K plan", and 401K plan is one of the most typical representatives of the American pension market, this paper analyzes the 401K and IRA plans which have been successfully entered the market. Combined with the actual investment and operation of pension in China, this paper summarizes the experience of pension operation and supervision model that can be used for reference in our country, from the quantitative level, because of the lack of investment experience data of pension in China, However, China's social security fund has been in the market for many years and has gained relatively successful experience in investment management. Moreover, the relevant policy documents clearly stipulate that the social security fund can be entrusted with the administration of pensions. Therefore, pension and social security fund investment risk preference in the future is similar. In view of this, this paper uses VaR model to evaluate the risk of social security fund entering the market. From the quantitative level, it provides good investment and risk control suggestions for the market-oriented operation of pension. Finally, this paper synthetically draws lessons from domestic and foreign experience, summarizes the basic conclusions, and combines with the actual management situation of pension in China. This paper summarizes the policy suggestions applicable to the entry of pension into the market in our country, thus providing scientific theoretical support for the future entry of pension into the market smoothly and safely, and for realizing the goal of maintaining and increasing the value of the pension.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F842.67;F832.51

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