【作者】 王一飞；

【导师】 丁日佳；

【作者基本信息】 中国矿业大学（北京） ， 金融工程与风险管理， 2014， 博士

【摘要】 讨论机构投资中风险管理创新的作用,总结中国企业年金投资风险管理的特点,提出对风险预算理论进行模型层面改进并研究其在中国企业年金投资中应用方法的课题。引入带有预测功能的控制方法,对风险预算进行模型层面的优化与改进,基于控制论对风险预算建模,运用预测性反馈分析代替常规反馈分析,设计适用于机构投资者的风险预算改进模型并进行实证分析。将中国企业年金投资作为改进模型的应用研究对象,设计企业年金投资风险预算管理的框架；在风险分配环节,设计联结各干系角色的双层风险分配体系,构建风险测度体系并提出单位收益风险指标这一新测度指标,设计风险的具体分配模式；在风险控制环节,结合IS031000国际标准,研究面向企业年金投资的核心-卫星风险预算控制方法,讨论管理费激励与衍生品应用问题；对上述研究进行实证分析,并提出企业年金全面风险预算的工作方向。根据研究结论对企业年金投资政策提出相应的建议。更多还原

【Abstract】 Risk management innovation effect in institutional investment is discussed, Chinese enterprise annuity investment risk management characteristics is summarized, the topic of risk budgeting theory model level improvement and application in Chinese enterprise annuity investment is put forward. Introduced with the function of prediction control method, risk budgeting model is optimized and improved. Based on control theory for modeling risk budgeting, improved risk budgeting model suitable for institutional investors is designed, using a predictive feedback instead of the conventional feedback analysis. Improved model is applied to Chinese enterprise annuity investment, and the framework of enterprise annuity investment risk budgeting management is designed; in risk distribution part, double risk allocation system connected the stakeholders is designed, the risk measurement system is built and new measurement indicator (unit revenue risk indicator) is proposed, and the specific risk distribution mode is designed; in risk control part, combined with ISO31000standard, core-satellite risk budgeting control method faced to enterprise annuity investment is studied, and management fee incentive and derivatives application problems are discussed; empirical analysis for above research is studied, and direction of enterprise annuity comprehensive risk budgeting is proposed. Corresponding suggestions in enterprise annuity investment policy according to the research conclusion are put forward.更多还原