【作者】 万志刚；

【导师】 蒋芝花；

【作者基本信息】 长沙理工大学 ， 会计学， 2010， 硕士

【摘要】 企业年金是我国养老保障体系的第二大支柱,其安全与完整直接关系到我国广大群众的切身利益和多层次养老保障体系的建设。我国2006年正式允许企业年金基金进入资本市场,实行多元化投资运营,以确保基金保值增值。然而企业年金基金进入资本市场,必然面临各种基金投资风险,如何有效地管理和控制企业年金基金投资所面临的风险,便成为学术和理论界关注的重点问题。预警是进行风险控制最有效的手段,因此,加强企业年金基金投资风险预警研究,对防范和化解企业年金基金投资风险,保证企业年金基金安全,提高企业年金基金管理水平具有重要意义。本文旨在建立具有科学性、适用性和可操作性的企业年金基金投资风险预警系统。首先,对企业年金基金投资的风险因素进行了深入的分析,并阐述了近年来新出现的金融风险管理工具VaR(Value at Risk)或称风险价值法,再论述企业年金基金投资风险预警中引入VaR的必要性。其次,分析了企业年金基金投资风险预警系统的构建基础,不仅提出构建企业年金基金预警系统的原理、思路和原则,还进一步阐述该系统的构成和运行步骤。再次,构建企业年金基金投资风险预警系统,其中包括引入VaR的企业年金基金投资风险预警指标预测子系统、基于模糊综合评价法的企业年金基金投资风险评价子系统、企业年金基金投资风险警报子系统和排警子系统的构建。最后,对引入VaR的企业年金基金投资风险预警系统进行了案例分析,以检验预警系统的可行性。更多还原

【Abstract】 Occupational Pension is the second important pillar of our pension system, which immediately concerns the vital interests of millions upon millions of people and the construction of multi-layer of pension system in China in terms of the safety and integrity. Occupational Pension funds, which adopted multiple investment and operation modes to ensure maintenance of and increase in the value of assets, was formally permitted to access to capital market in 2006. It must face many capital investment risks during the Occupational Pension funds entering into the capital market, however, the method to effectively manage and control risks faced during Occupational Pension funds investment has become a major concern. Forewarning is a forceful and effective measure for risk control, so it is of great importance for preventing and eliminating the risk of Occupational Pension funds investment, ensuring the safety of Occupational Pension funds, increasing the management level of Occupational Pension funds to strengthen research on Occupational Pension risk forewarning.This paper is aimed at establishing an Occupational Pension funds investment risk forewarning system that is scientific, applicable and operable. Firstly, it carried out deep analysis on possible risk factors during Occupational Pension funds investment, then introduced emerging financial risks management tool VaR (Value at Risk), and discuss the necessity of introducing VaR in the application of Occupational Pension funds investment risk forewarning system. Secondly, it analyzed the theory basis of Occupational Pension funds investment risk forewarning system, including the train of idea and principle, constitution and operation. Last but not least, it established the Occupational Pension funds investment risk forewarning system, including an Occupational Pension funds investment risk indicators forecasting subsystem which recommended VaR, an Occupational Pension funds investment risk assessment subsystem with the fuzzy mathematics appraisal method, the risk alarm subsystem and risk eliminate subsystem. Finally, it is the case study of Occupational Pension funds investment risk forewarning system which recommended VaR to test the feasibility of forewarning system.更多还原