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Research on the Risk Management of Social Security Fund Investment in China

Author: YangJing
Tutor: ShenPeiLong
School: Shanxi University of Finance
Course: Finance
Keywords: Social Security Fund Investment Historial Simuation Monte CarloSimulation Risk Management
Type: Master's thesis
Year: 2014
Downloads: 1
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With the further aggravation of the worldwide aging trend、economic crisis、inflation etc,and large historic debts、more gap, the social security fund payments crisishas become increasingly prominent, plus the rolling growth of the total amount of socialsecurity fund,the gradual expansion of the involved interests,so the pressure ofpreservation and appreciation gets bigger. At the same time,the social security fund isthe strategic reserve used for social security which is raised by the central government,it mainly used to make up for the social security needs of the peak time of the agingsociety and other social security needs,and it called “survival money” for ordinarypeople. Its strong social nature requires that the fund’s safety is more important whengetting earnings. It can be said that from the birth of the social security fund,its urgencyand risk go hand in hand、and as the shadow follows the form. Now with the furtherexpansion of the scope of the social security fund investment,and the deepening of theinvestment management style,but the relatively backward investment management,allthese make it faces more severe risks. Therefore,it is necessary for establishing acomprehensive system of risk measurement and control,which can manage the socialsecurity fund’s investment risk so that it can realize preservation and appreciation basedon the maximum safety.Apart from establishing and improving constantly a comprehensive riskmanagement system,quantitative analysis to identify and measure risks is necessary foreffective anticipation and prevention when social security fund is used for investment,thus it is better for control and prevent risks. In this paper,the basic theories of moderninvestment and risk management are applied,some relevant knowledge of economics、sociology、statistics are combined with,on the premise of collecting relevant data(thesize of social security fund、social security fund yields over the years、the size of socialsecurity fund holdings etc.),we explore the background、current situation and riskorigins、 characteristics and measurement、 control methods of investment riskmanagement. While it is combined with the current investment situation and policy reform of the social security fund in recent years,combed systematically theories ofsocial security fund investment risk management,and it analyses the sources、mode ofoperation、investment instruments、investment sizes and gains of the social securityfund,especially gives a in-depth analysis for the investment regulation.The innovation of this paper is the use of the VaR indicator’s historical simulation(HS) and Monte Carlo Simulation,combined with large numbers of data,it makes ameasurement for the investment risk of the social security fund in China,and illustratesthe data VaR which gets from Monte Carlo Simulation can predict the investment risks,so on these basis, we make policy recommendations for the investment riskmanagement of social security fund.

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