多因素模型下的风险预算分析及其在我国的应用

Risk Budgeting Analysis Based on Multi-factor Model and Research on Its Application in China

以风险配置为核心风险预算技术,是一种全新的投资组合管理技术,在国内也还是一个新概念。因此,如何与国内机构投资者的资产管理业务相结合,并指导和应用于投资组合管理过程,是本文要解决的问题。文章结合国内实际从利率因素的研究开始,分析和确定多因子的选择,建立起类别资产配置的多因子模型,探讨资产负债框架下的战略风险预算过程,为机构投资者建立风险管理前移的风险预算模式提供决策参考。

Risk budgeting, which based on the risk allocation, is a new technique of portfolio management, and is still a new concept in China. Therefore, it is meaningful to discuss the topic of applying risk bugeting to the asset management for domestic institutional investors in this paper. We start research from the data of China yield curve, then analyse and find the main component of yield curve and other assets, building the multifactor model of assets allocation. Finally we discuss the strategic asset allocation under the framework of assets and liabilities. So we can provide the investors the decision reference with risk budgeting model of risk management in furture risk management practice