【作者】 谭洁；

【导师】 岳意定；

【作者基本信息】 中南大学 ， 管理科学与工程， 2010， 博士

【摘要】 主权财富基金(Sovereign Wealth Fund,简称SWF)是指由一国政府以本国的外汇储备为资金来源,通过运用外汇对外长期投资来实现收益最大化的专业投资机构。作为国际金融市场一类崭新的有影响力的机构投资者,主权财富基金主要来源于外汇储备盈余、自然资源出口盈余和国际援助基金,其管理模式主要由中央银行直接管理、设立专门投资机构管理。从上个世纪末开始,各个发展中国家以及部分的发达国家开始关注主权财富基金,试图通过充裕或者过剩的国家储备,在国家维持外汇市场化的情况下进行干预、通过调节贸易差额来拉动经济增长或跨代平滑国家财富、支持国家发展战略等。中国投资有限公司(China Investment Cooperation,简称中投公司)是我国目前唯一的一家主权财富基金,它的设立是中国政府积极开展外汇储备管理的重要一步,但是目前对于主权财富基金的研究成果,多数都是停留在概念、起源、种类、规模等描述性的分析上,而在投资策略、绩效评估以及风险管理方面的研究较薄弱。国际金融危机的发生使得国际投资环境更加恶化,如何在这样的大环境中有效的规避风险实现投资效益最大化,这方面的研究对于中国主权财富基金而言是至关重要的。本文以中国主权财富基金的风险管理为研究对象,对比分析了三支国外主权财富基金的风险管理方法,剖析了中国主权财富基金风险管理的不足。通过识别中国主权财富基金风险的类型并运用联合函数来确定其主要的风险的边缘分布、推导出具体的风险测度公式,在模糊层次分析法的基础上,引入网络层次分析法和神经网络对中国主权财富基金风险进行评估,增强了模型的科学性和评估能力。最后对中国主权财富基金的风险防范与控制提出了相应的建议。本文主要的研究成果如下：(1)分析了主权财富基金的形成、发展趋势,系统总结了主权财富基金的研究成果。通过对主权财富基金风险的理论研究,并结合风险管理的程序与框架,对主权财富基金风险的内涵、特征及其成因进行了研究,系统性分析了中国主权财富基金的风险管理。(2)通过对新加坡、俄罗斯以及挪威的主权财富基金的风险管理方法进行研究,总结了它们较成功的经验,总结出对我国主权财富基金风险管理的一些启示,这些启示将对中国主权财富基金未来的发展起到很宝贵的促进作用。在此基础上对比分析了我国主权财富基金的风险管理的现状,同时从宏观环境方面、风险控制能力以及组织结构的安排这三个角度总结出中国主权财富基金风险管理中存在的一些亟待解决的问题。(3)总结分析了中国主权财富基金风险识别的基本原则、方法以及识别过程。根据对中国主权财富基金风险类型的研究,运用联合函数来测度其主要的风险,主要包括确定各个风险的边缘分布、推导出具体的风险测度公式,为后面的评估模型的确立奠定基础。在风险测度的基础上分析了中国主权财富基金的风险表现及特征。(4)根据中国主权财富基金缺少事前信息的实际情况,以及投资动机的前瞻性、战略性特点,着重利用模糊层次分析法建立一种风险评估模型,达到事前事后信息的收集处理、并具备综合风险评估的功能,力求客观全面地评估中国主权财富基金的风险,并将这一评估模型应用到投资风险评估分析中,结果证明采用模糊综合风险评估分析衡量投资决策风险克服了其他风险测算方法只能评判单一风险的局限性,能够对影响投资决策的各类风险因素进行系统的评判衡量,判定结果更加客观、合理,具有一定的实用价值。此外,本文把网络层次分析法(ANP)运用到中国主权财富基金的风险评估中,进一步完善其指标评估体系,提高其可操作性,对ANP法确定的权重进行敏感性分析。最后提出了一种智能的模型——神经网络,将其与模糊综合风险评估的结合,用具体实例说明了该方法的可行价值。(5)本文从风险防范和风险控制两条途径入手,通过建立中国主权财富基金风险预警系统,对指标进行量化和综合评价分析来监测可能产生风险的特征和动向从而对风险进行有效的防范于控制。同时,研究中国主权财富基金风险的分散措施并在此分析的基础上为中投公司的管理者提出政策性建议。更多还原

【Abstract】 Corresponded with private wealth, sovereign wealth funds (SWFs) mainly refers to a separate pools of government-owned or government-controlled financial assets that include some international assets, which accumulated from a specific tax and budget allocation, renewable natural resource revenues and the international balance of payments surplus, etc. SWFs mainly come from foreign exchange reserves, a surplus of natural resources, export earnings and the International Assistance Fund etc. SWFs often managed directly by Central Banks, which set up some specific investment organazations. From 19th century end, most developing countries and some developed countries started to pay attention to SWFs, trying to spur economic growth by adjusting and intervening in the trade balance, or inter-generational smoothing of national wealth or support national development strategy through sufficient or excess national reserves.As an influential new institutional investors in the international financial market, SWFs especially China SWF attracted the attention of global financial market, but the researches on SWFs are mainly stayed in SWFs’descriptive analysis, such as concept, type and size etc. When SWFs has become increasingly active, the paper hopes to supplement and reinforce risk management of China SWF in theory, make effective risk management stragegy, so as to improve China SWF by some useful theoretical guidance and ideas.Based on the theoretical study of risk management, the paper takes China SWF as the research object. It combines with Copula, fuzzy analytic hierarchy process, and econometric analysis methods, compared and used some successful foreign SWFs risk management approaches for reference, focuced on analysis of China SWF’s risk identification, measurement, and risk assement. The paper uses application analysis on the risk assement. At last, the paper puts forward suggestions on risk management of China SWF.Main results of this paper are as follows:(1)This paper systemically and fully summarizes the formation and development process of SWF, its definition, its relationship with the official foreign exchange reserves, as well as its motivation and type. The paper systematicly and comprehensively summed up the research results on risk and risk management, and SWFs. From a theoretical point, the paper analyzed the risk management of SWFs.(2)This paper analyzes the management system of Sinapore, Russia amd Noway’s SWFs, especially their risk management, summed up their successful experience. It compared with risk management of China SWF, described the establishment, development, entire organizational structure, investment categories of China SWF, particularly its risk management problems. Summarized comprehensively all factors of risk management of China SWF, the paper points out three deficiencies:one is macro-environment, and second is organizational structure, three is risk control.(3) This paper systematically and completely carries out relevant research of risk identification of China SWF, which includes the identifcaion of content, basic principles, basic methods and the process. It points out risks and its categories of China SWF. Combined with the risk characteristics of China SWF, it puts forward risk measurement methods of China SWF. The paper analyzes and derives some major risk, such as market risk, credit risk, operational risk, etc., which provides a theoretical basis for the establishment of risk assessment model.(4) According to China SWF characteristics, such as it lacks of prior information on the real situation, and prospective and strategic on investment motives, the paper uses a fuzzy evaluation method to establish a risk assessment model, so as to pre-and post collection of information processing, and have a comprehensive risk assessment capabilities, and strive to objectively comprehensive scientific assessment of the risks of China SWF. This result can analyze the reliability of this evaluation which specifically reflects the risk level for the evaluation of the distribution of grades of membership by the gap of B five elements:the difference of the maximum value with other value, the risk attached to the greater degree of reliability, and vice versa. Finally, the paper applied this assessment model to risk assessment analysis of investment. (5) As China SWF has great importance to China, as well as to the global economy, it should be focused on by government and financial institutions, both attach great importance to close cooperation. They guard against market risks from the occurrence and mitigate the consequences of two ways to start with, in order to promote the healthy development of China SWF, maintain stable operation of China and the global economy. This paper establishes China SWF risk early warning system through quantitative indicators and comprehensive evaluation and analysis to monitor the possible risk characteristics and trends. At the same time, the paper explores the risk of dispersion measurement of China SWF through the CIC’s portfolio, strategic investment strategy, internal and external control. Finally makes some policy recommendations for the management of CIC.更多还原