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Research on Optimal Allocation of the Social Security Pension Fund Assets Based on the CDaR Model

Author: ZhangWen
Tutor: LvZhiYong
Course: Quantitative Economics
Keywords: social security pension funds investment risk management CDaR model
CLC: F224
Type: Master's thesis
Year: 2014
Downloads: 3
Quote: 0
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Under the double pressures of the social security pension fund revenue andexpenditure gap widening and the aging of the population, the future pension payment riskhas become an issue of common concern both in academic circles and ordinary workers inour country for the past of few years. To expand the scale of pension investment, improveinvestment yield many valuable Suggestions are put forward. However, due to the lack ofinvestment operation experience in social security pension fund, investment supervisionsystem is not perfect, relevant laws and regulations system is not perfect, the riskmanagement method is relatively backward and so on, these deficiencies caused a lot ofproblems in the pension fund investment operation of social security, this makes theeffective investment strategies and risk control, and insurance that China’s pension fund toachieve the goals of preserve or increase the value, become a problem urgently needed tosolve.Start with the analyze of all kinds of systematic risk and unsystematic risk in theprocess of the fund investment that may exist, this paper introduces the VaR and CVaR,CDaR risk measurement methods which is popular in current international, compares theircharacteristics, and comes to an conclusion that CDaR model is more suitable for the riskmanagement of the social security pension fund investment. on this basis, the paperestablished the asset allocation model with policy constraints, through empirical analysis,proposes the asset allocation scheme of our country’s social security pension fund. Thepaper’s research results will help to improve the level of risk management of pension fundinvestment in our country, promote the sustained and healthy development of China’sold-age insurance system.This article is divided into five parts:The first chapter is for introduction, details the purpose, background and significance,research methods, research framework, innovation of the paper.The second chapter is about basis of the relevant theory. introduces the basic conceptof social security pension fund investment, investment situation and policies regulations.then reviews some research status of domestic and foreign related problems. The third chapter of this paper divide the investment risks of social security pensionfund into system risk and non-system risk, on the basis, the paper lists several kinds of riskmeasurement methods which can spread risk, then analyze and compares the advantagesand disadvantages of the risk measurement method.The fourth chapter is the establishment of a social security pension fund assetallocation model and empirical analysis. Using the CDaR method which the third chapterputs forward, and the investment policy regulation of China’s current social securitypension fund, the paper established the model, through the empirical analysis, proposesasset allocation scheme of our country social security pension fund.The fifth chapter is conclusion and prospect. Summarizes the main conclusions theresearch limitation of this study, and purposes further research problems needs study.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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