VaR Method and It’s Practice Value in Risk Management of Chinese Insurance Investment
|School||Southwestern University of Finance and Economics|
|Keywords||Insurance Investment VaR Risk Management Variance - covariance matrix method|
With the continuous development of China's insurance industry has become an important factor for the survival and development of the insurance company, as one of the two pillars of the insurance business of insurance investment. In recent years, the insurance funds continue to broaden investment channels, especially accelerating the pace of investment in the capital market. The capital adequacy ratio of commercial banks focus on different Insurance industry as a business risk, solvency requirements are particularly stringent. Insurance investment business as an important guarantee of the solvency of the insurance company, not only have a good profit but also to focus on effective risk control. VaR (Value at Risk) method is rooted in the early 1990s, major financial disaster, a disaster that occurred in the financial departments of California, Orange County, Barings Bank, UK, Germany Metal Co., Ltd., Japan and Japan banks and other financial institutions incidents. The common lesson of these events is to result in the loss of billions of dollars due to the lack of supervision and management of financial risks. In response to this problem, the financial institutions and managers using the VaR method, which is a straightforward method to quantify market risk. This method has been widely used in the market risk management of commercial banks. The VaR based, to measure the market risk of financial institutions and to determine the appropriate capital adequacy level requirements by the Basel Committee on Banking Supervision in 1995, shows that the VaR method practical and widespread. The insurance company is an important financial subjects facing insurance investment market risks and financial institutions in general there are similarities, the VaR method it can be introduced in the insurance investment risk management. The focus of this study is to: (1) VaR method used in the theoretical basis of the insurance investment risk management, that the special nature of the insurance company in the use of VaR method; (2) VaR method how specific applications in insurance company investment risk management; ( 3) VaR methods of investment in China's insurance risk management challenges, as well as the perfect insurance investment risk management system policy recommendations. The main content of this article: Chapter 1: Introduction. The purpose of this part of the thesis and research background, research status and literature review, research purpose and research methods, research ideas and structural framework for a more detailed elaboration. Chapter II: VaR method - used to measure the market risk of the mainstream financial community tools. In this section as the logical starting point of this article, and risk management tools and the focus falls on the mainstream tools used to measure the market risk VaR method this financial sector. Details a the VaR method defined its specific application areas of impact factor calculation principle, as well as VaR method and its extension. Chapter III: The VaR method is applied to the theoretical basis of the insurance investment risk control. In this section as the theoretical basis of the full text of the first analysis of investment in China's insurance status and existing problems and further discuss the specific application of the VaR method in China's insurance investment risk control. Including: for the insurance company's assets, liabilities management; tools as the insurance company's information disclosure; insurance company investment performance evaluation tools. Chapter IV: An Empirical Study of VaR method is applied to the control of the insurance investment risk. The part of the use of empirical research specific derivation of the model, the model is applied to the Ping An Insurance Company and Pacific Insurance Company's investments instance, analysis of two major investment of insurance funds listed insurance companies. Chapter V: research findings and policy recommendations - based on the analysis of the results of the above model. Combined with empirical results based on the first four parts of the bedding from theory to empirical, analysis of capital investment in the status quo of China's insurance issues and ways to improve the method, and strive to achieve the overall combination of theory and practice. Major innovation of this paper and less than: (a) The main innovation of this paper as a mainstream form of risk management tools, VaR method has been widely used in the commercial banking market risk management, and has formed a relatively complete step, this paper aims to mainstream risk management tools to the introduction of the insurance investment risk management system for analysis. , VaR method from market risk faced by the comprehensive evaluation of various angles insurance investment, not only to provide risk management information, insurance companies planning the allocation of resources can be more convenient to measure operating performance. However, due to the insurance investment in China started relatively late and inadequate investment structure in the country, the real VaR method in the research and practical operation of the insurance investment business in very short supply. In this context, the VaR method introduced the field of insurance investment research provides a modeling and quantitative approach to risk management, and innovation. (B) The main insufficient domestic fewer VaR method with the insurance investment business combination of theoretical research that can be referenced by the author in the process of writing Chinese literature is very limited, the model calculated mainly refer to the relevant foreign language books , making the setting and calculation of the model with the actual situation of our country there is a certain gap; insurance investment increasingly diversified market risk brought new challenges to measure risk, VaR method to a simple numeric or interval estimate a certain confidence maximum loss of value of the level of extreme risk, but the diversity of market risk so that the measure of risk with unified metrics difficulties. In summary, this paper Summary VaR model based on the mainstream model of risk management applied to the insurance fund investment performance evaluation and Ping An Insurance Company and Pacific Insurance Company Investment instance, which of the two listed insurance companies analysis of the investment of insurance funds, and then proposed the establishment of the basic idea of ??insurance investment risk management system suitable for China's national conditions and its development strategy.