【作者】 张佩；

【导师】 林义；

【作者基本信息】 西南财经大学 ， 社会保险与经济保障， 2010， 博士

【摘要】 在人口老龄化、经济全球化以及社会经济转型的背景下,建立什么样的社会保障制度以适应市场经济和时代发展的要求,从价值目标到制度安排再到具体操作都缺乏明确的指向。《社会保险法》的广受争议以及出台的举步维艰正是对这一现状的最真实写照。企业年金作为养老保障体系中的第二支柱,其战略意义再怎么强调都不为过。这不仅体现在企业建立企业年金所产生的巨大的经济效益和社会效益,还体现在企业年金要与基本养老保险协调发展以解决退休职工的后顾之忧,也体现在企业年金要对职业年金的建立和发展起到良好的示范效应。从1991年《国务院关于企业职工养老保险制度改革的决定》(国发[1991]33号)首次提出“国家提倡、鼓励企业实施补充养老保险”至今,企业年金的建立已有近20年的时间。近20年来,企业年金的制度框架基本形成,市场运营机制初步建立,但也存在覆盖率低和发展不平衡等诸多问题,企业年金仍处于初期发展阶段。企业年金作为基本养老保险的补充,只有保持较好的收益率,才能吸引更多的企业和职工参加企业年金计划,这也决定了企业年金比基本养老保险投资的领域更宽、工具更多,所面临的投资决策更加复杂。在一定程度上可以说,企业年金风险管理水平决定了企业年金作用的发挥。虽然中国企业年金的发展还处于初期阶段,也有待于政府对企业年金在整个养老保障体系中地位的定型,但是认识到企业年金风险管理的重要性,对于企业年金基金管理机构在激烈的市场竞争中脱颖而出和受益人权益保护至关重要。在经济全球化、金融一体化迅速发展的今天,企业年金面临的风险越来越多且相互影响,风险涉及的范围越来越广且超越了国界。2007年下半年以来,由美国次贷引发的金融危机给全球养老金带来很大冲击。此次金融危机表明,损失不再是由单一风险引发的,而是由市场风险和信用风险等多种风险共同造成的。在后金融危机背景下,过去那种将不同类型的风险简单相加得到总风险的做法是不能准确衡量和把握总风险的,因为简单相加忽略了风险之间的相互作用。通常,风险之间的相互作用使得风险之间表现出一定的相关性,这些相关性一般不是简单的线性相关,而是动态的非线性相关,如何准确衡量风险之间的相关性是管理多种风险的关键所在。然而,受制于中国企业风险管理理论研究和实践应用相对滞后的现状,处于发展初期的中国企业年金在运作过程中没有科学的风险管理标准可依,更没有形成完善的风险管理体系。全面风险管理以市场风险、信用风险和操作风险等单个风险的管理为基础和前提,强调风险之间的相关性。全面风险管理理论研究和实践应用在国外都取得了一定的进展,并引起了中国理论界和实务界的关注,但是对全面风险管理进行系统研究的并不多,全面风险管理在企业年金的研究还处于萌芽阶段。如何结合中国企业年金的特点以及国情构造中国企业年金全面风险管理是本文试图要解决的课题。本文在对全面风险管理理论进行详细阐释的基础上,结合中国企业年金风险管理的现状,初步构建了中国企业年金全面风险管理的框架。然后,对企业年金全面风险管理的核心——风险衡量与整合进行了深入的研究。最后,分别论述了以企业年金基金管理机构资产配置与绩效评估为主体、以风险监管为促进、以市场约束为重要组成部分的中国企业年金全面风险管理实施机制。本文的主要创新点如下：第一,本文在借鉴目前国际上主流的全面风险管理理论的基础上,针对中国企业年金风险管理的缺陷,初步构建了中国企业年金全面风险管理的框架。在中国,无论对于监管部门,对于建立企业年金计划的企业,还是对于企业年金基金管理机构而言,企业年金都属于新生事物。在企业年金发展的初期,建立一个相对完善的全面风险管理框架是当务之急。第二,企业年金全面风险管理与治理、内部控制相融合。企业年金全面风险管理与企业年金治理、企业年金内部控制有着密不可分的联系,合理界定三者关系是正确研究企业年金全面风险管理的基础。中国企业年金治理结构存在缺陷直接制约了企业年金风险管理水平的发挥,因而企业年金全面风险管理的完善首先需要理清企业年金治理结构中各方当事人的责任。企业年金治理对于企业年金全面风险管理的重要性不言而喻,只有企业年金治理达到相对完善的程度,中国企业年金全面风险管理才有可能踏上健康发展的道路。然而中国企业年金治理状况令人担忧,治理缺陷非常明显,制约着企业年金全面风险管理的有效实施。第三,把风险衡量与整合纳入相关性衡量与整合模型构建的统一框架下。企业年金风险衡量与整合涵盖了两个不同层次的“组合”思想,第一个层次是同一种风险之间,第二个层次是不同类型风险之间。无论风险衡量,还是风险整合,都涉及相关性的衡量与整合模型的构建。本文在对相关性进行衡量,对整合模型进行构建的基础上,对其在企业年金领域中的应用进行了研究。首先,衡量了企业年金面临的市场风险和信用风险；其次,对企业年金市场风险和信用风险进行了整合。第四,在制度、技术和文化的统一框架下,阐述企业年金全面风险管理在中国的应用。从中国企业年金的发展现状看,虽然实施全面风险管理的条件还不成熟,但是认识到全面风险管理是一种先进的管理理念,而不是具体的风险管理方法或技术,可以在实施企业年金全面风险管理的过程中不断完善,为企业年金全面风险管理在中国的应用指明了方向。文化重于制度,制度重于技术的发展思路也告诉我们,在借鉴西方全面风险管理制度和技术的同时,不能忽视制度和技术所依赖的文化土壤。更多还原

【Abstract】 Under the background of aging population, economic globalization, and socio-economic transformation, how to establish social security system to adapt to the market economy and the development of times lacks clear pointing on value targets, institutional arrangements, and specific operations. The much controversy on "Social Insurance Law" and its difficult publish are the most realistic portrayal to this situation. As the second pillar of old age security, the strategy meanings of enterprise annuity no matter how emphasized are not overstated. This is not only reflected in the generated huge economic and social benefits of the establishment of enterprise annuity, but also the coordinated development between basic old age insurance and enterprise annuity to solve the worries of retired workers, but also a demonstration effect for occupational pension.It has been nearly 20 years since "The State Council on Decisions about Workers’Old Age Insurance of Enterprises" (Guo Fa [1991]33) first proposed "the nation promotes and encourages enterprises to implement supplementary old age insurance". During the past 20 years, it has basically formed the institutional framework and initially established the market-oriented operation mechanism. However, the coverage is low and the development is uneven. Enterprise annuity is still in early stage.As the supplementary of basic old age insurance, enterprise annuity only maintain good returns that can attract more enterprises and workers to join enterprise annuity plans. Compared with basic old age insurance, enterprise annuity has wider investment area and more tools, therefore, more complex investment decisions. Investment faces risk, however, it is impossible to avoid investment risks completely. To some extent, the level of risk management determines the role of enterprise annuity. Although enterprise annuity of China is still in early stage, recognizing the importance of enterprise annuity risk management is impetus for enterprise annuity fund institutions standing out in the fierce market competition and protecting the interests of the beneficiaries.In ongoing rapid development of economic globalization and financial integration, the risks faced by enterprise annuity are increasing and influencing with each other. At the same time, the risks cover a wider field and exceed boundaries. Since the second half of 2007, financial crisis triggered by subprime mortgage of America has brought a great impact on global pension. The financial crisis shows that loss is no longer caused by a single risk, but by various risks. Under the context of post-crisis, it is inaccurate to measure the total risk using a simple summation of different types of risks, because it ignores risk interactions. Generally, risk interactions show some correlations. These correlations are usually not simple linear, but dynamic nonlinear. How to measure risk correlations is the key to manage the risks. However, subject to the lagged situations of theories and applications, enterprise annuity risk management has not formed scientific standards and sound system.ERM emphasizes risk correlations on the basis of managing market risk, credit risk, and operational risk separately. ERM has made some progresses in foreign countries and causes our attention, but few people in China study ERM systematically and the application of ERM in enterprise annuity of China is still in early stage. This paper tries to construct enterprise annuity ERM of China according to the characteristics of enterprise annuity and national conditions.Based on the detailed interpretations of ERM theories, this paper constructs preliminarily Chinese enterprise annuity ERM framework according to the situations of enterprise annuity risk management. Then, this paper goes into the core of enterprise annuity ERM which is risk measurement and risk integration. Finally, this paper constructs the implementation mechanism of enterprise annuity ERM, including institutions, government supervision, and market discipline.The main innovations of this paper are as follows:First, drawing on the current mainstream of international ERM theories, aiming at the defects of enterprise annuity risk management of China, this paper constructs preliminarily an enterprise annuity ERM framework of China. Enterprise annuity is a new thing no matter for the supervision authority, the enterprises having established enterprise annuity plans, or enterprise annuity fund management institutions. Therefore, at the early stage of the development of enterprise annuity, it is important to establish a relatively complete enterprise annuity ERM framework.Second, this paper merges enterprise annuity ERM, governance and internal control. Enterprise annuity ERM has inseparable link with governance and internal control, therefore, reasonable relationship definition is the right research basis for enterprise annuity ERM. The paper holds that enterprise annuity governance includes enterprise annuity ERM, while enterprise annuity ERM includes enterprise annuity internal control. This paper argues that enterprise annuity governance structure deficiencies restrict the exertion of enterprise annuity ERM level. Therefore, complete enterprise annuity ERM first needs define the responsibilities of the parties in the governance structure. Enterprise annuity governance is very important for enterprise risk ERM. Only enterprise annuity governance is relatively complete that enterprise annuity ERM can develop healthily.Third, under the unified framework of correlation measurement and integration model construction, this paper analyzes risk measurement and risk integration together. Enterprise annuity risk measurement and integration covers two different layers of portfolio. First is between the same risks, while second is between different types of risks. Risk measurement and risk integration both involve correlation measurement and integration model construction. On the basis of measuring enterprise annuity market risk and credit risk, this paper integrates both of them.Fourth, analyze the application of enterprise annuity ERM in China in the unified framework of institution, technique and culture. From the development state of Chinese enterprise annuity, although the implementation conditions are not yet mature, recognizing ERM as an advanced management concepts, rather than specific risk management methods or techniques points out the application direction. Culture is important than institution, while institution is important than technique. This development idea tells us that when drawing on western ERM institution and technique, we should not ignore culture soil relied by institution and technique.更多还原