穿透式监管下的保险业资产风险:监管框架设计与实证发现

Asset Risks of the Insurance Sector under the Look-through Supervision: Design of the Supervision Framework and Empirical Discovery

在金融业混业经营、金融风险交叉频繁的背景下,防范和化解保险业另类投资的风险,治本之方是坚持和深化市场化导向的金融改革,实现风险的市场穿透。但在我国金融市场发展程度尚未达到市场穿透所需的深度和广度的情况下,仍需依靠监管和行政的力量实施监管穿透,从而有效地管控交叉性金融风险。本文借鉴国内外穿透原则在偿付能力和资本监管领域的实践经验,尝试构建对保险资产风险的穿透式监管框架,并以40家具有代表性的保险机构作为研究对象,实证分析保险业的资产风险。结果表明:保险业大类资产配置结构和风险组合特性在穿透前后差异不大;保险资金投资结构较为简单、底层资产相对清晰,整体投资杠杆较低,嵌套结构多为实现税务筹划、收益分配、隔离/控制风险等目的,在统计学意义上,未发现保险资金存在放大杠杆、变异风险、空转资金或绕道投资以规避监管等行为。保险机构作为负责任的机构投资者,以价值投资和稳健投资为主,为实体经济提供了长期稳定资金。最后,本文为穿透式监管的后续落地提出了几点配套措施建议。

Under the background of financial mixed operation and frequent cross-transmission of financial risks,the key to guarding against and dissolving alternative investment risks of the insurance sector lies with market-oriented financial reform and look-through supervision of risks.However,the current development stage of the financial mar ket in China isn't optimal for look-through supervision due to its underdeveloped depth and width.As a result,regu latory and administrative forces are still needed to conduct look-through supervision for effectively controlling inter crossing risks.The paper learned from international experiences in look-through supervision of solvency adequacy and capital,and constructed a tentative look-through supervision framework for insurance asset risks.Then it used 40 typical insurance firms to empirically analyze the asset risk of the insurance sector.The results show:the asset category allocation structure and characteristics of risk portfolios aren't very different before or after look-through,the investment portfolios of insurance funds are quite straight-forward,underlying assets are clearly defined,the le verage is fairly low as a whole,and most of the embedding is for tax planning,return distribution,and control or isolation of risks,etc..From the perspective of statistics,no regulatory evasion behaviors such as leverage amplifica tion,risk mutation,idle capital,or bypassing investment,and so on.As responsible institutional investors,insurers conduct value-oriented and prudent investments,providing steady long-term funds for the real economy.In the end,the paper offered suggestions on how to implement look-through supervision.