社会保障基金入市风险分析

Analysis of the risk of social security funds entering stock market

社保基金入市后,由于自身特殊性质以及我国股票市场的特殊环境,面临着诸多风险,为了实现社保基金入市后盈利性与安全性的均衡,必须实行有效的风险管理。均值—方差模型、β系数模型、VaR模型和CVaR模型在度量资产的风险中有着广泛的应用。均值—方差和β系数分析均表明,社保基金组合的系统性风险小于整个大盘的风险;各股VaR和CVaR值加权明显大于组合的值,也说明了投资组合可分散风险。

The entrance of the social security funds to stock market faces many risks because of its special characteristics and the special environments of Chinas stock market. In order to achieve the balance of social security funds between the profitability and safety of social security funds after their entrance to stock market, it is necessary to practise effective risk management. Mean - variance model, β coefficient model, VaR model and CVaR model are widely applied in the measurement of asset risk, and mean - varanee model and β coefficient analysis indicate that the systematic risk of social security funds is smaller than that of whole stock market. VaR and CVaR weight of each share is obviously bigger than their combination, which reveals that investment combination can separate the risk.