Dissertation
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China’s Basic Old-age Insurance Fund Stress Tests

Author YinShengXian
Tutor LiuChang
School Southwestern University of Finance and Economics
Course Finance
Keywords Pension insurance fund Stress tests Value at Risk Risk research
CLC
Type Master's thesis
Year 2013
Downloads 25
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Old-age insurance system is the most important part in our social insurance system, one successful basic pension system related to our political stability and economic development. Fund is the basic old-age insurance system, and the decisive factor of the basic old-age insurance system. In recent years, as the conversion of China’s basic old-age insurance system from the PAYG system to a partially funded system, the fund accumulation cycle becomes longer than before, and the fund size is increasing. The security of basic endowment fund operations has became one of the major topic of high concern of theory and practice department.Stress test what is the necessary complement of value-at-risk (VAR) has developed into an integral part of the risk management of financial institutions. Pressure test can be used for quantitative and qualitative analysis financial institutions or portfolio risk exposure under various extreme scenarios. On the one hand, the stress test can help financial institutions to identify potential risks. On the other hand, stress testing can also provide an effective reference value for the national financial regulators supervision of commercial banks.China Banking Regulatory Commission required China’s commercial banks to carry out the research work of the pressure test in their bank in2003, in response to the call the project of the International Monetary Fund and the World Bank. The project included the changes in non-performing loans, reserve adjustment, exchange rate fluctuations, changes in interest rates on commercial bank’s capital adequacy ratio and the level of performance.Unfortunately, so far no one use this method to study China’s pension insurance risk. The author uses the pressure test to consider the risk level of the portfolio under the severe impact of the Pension Fund in China.After analyzing the respective advantages and disadvantages of the historical scenario analysis, scenario analysis and Var scenario analysis, The author combines the advantages of the three methods to construct a workable pressure test model. And carry out stress tests for China’s basic old-age insurance fund by this model. Finally, we given the specific recommendations on how to use the stress tests as the day-to-day risk management tool.We build a suitable for the actual situation in China comprehensive stress test model framework what has a good operability.By the comparative of advantages and disadvantages of Historical scenario analysis, assuming the scenario analysis and Var scenario analysis, we build a pressure test model by fusion advantage of the three analytical methods.

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