我国保险资金运用的风险理论研究——基于VaR模型的实证分析

Risk Theoretical Research on the Use of Insurance Funds in China——Based on the Empirical Analysis of VaR Model

VaR作为一种动态风险管理方法,20世纪90年代中期兴起,并应用于一些大型金融企业,对金融工具市场风险进行测评,中国也应用在证券投资和银行监管中,表现出其较准确的风险预测性。将VaR引入中国保险资金运用的风险管理中,以有效提高资金运用的稳健性,并保障收益性和可持续性。采用实证和规范分析相结合的研究方法,筛选一段时期的历史数据,选择适合中国风险环境的VaR模型,对中国保险资金运用进行实证分析,并提出相关政策建议。

Since the mid -90s of the last century, VaR as a dynamic risk management approach has been applied in some large scale financial enterprises to measure the market risk of financial instruments. It is used in security investment and banking supervision in China and has shown its accurate risk predictability. The author believes that VaR can be applied in the risk management of China＇ s use of insurance funds to effectively improve the stability of fund application and secure the profitability and sustainability. Historical data of certain period and the VaR Model suits China＇ s risk environment are chosen by the author, and an empirical analysis is made on the application of China＇ s insurance funds by combining it with normative analysis. Some policy suggestions are made based on the analysis.