基于copula-covar中国社保重仓股系统性市场风险度量

《基于copula-covar中国社保重仓股系统性市场风险度量》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、收益率数据，分析社保基金与我国股市的相依关系，给出度量我国社保基金投资风险指标CoVaR的Copula算法。相较于传统的分位数回归方法求CoVaR，Copula．CoVaR能够精确地对风险溢出程度进行测度，而且直观的给出社保基金与沪深300指数之间的联合分布。本文量化了社保基金投资风险，为扩宽社保基金投资渠道提供理论支持，在进行除了银行存款等形式的风险低的投资外，风险略高的投资方式需要有效的风险评价。根据我国社保重仓指数的特点，构建Copula函数，利用度量风险相依的指标CoVaR，分析社保基金与我国股市的

2、相依关系，给出度量我国社保基金投资风险的方法。自此基础上，动态管理对我国社保基金的投资风险，并对投资组合进行优化分析。通过Matlab计算，t-Copula函数最能描述社保重仓指数与沪深300指数收益率之间的关系，通过对于社保基金重仓近几年的CoVaR的计算可以发现，社保基金股票投资很大程度上还是会受到沪深股市大环境的巨大影响，在更极端的情况下，社保基金收到风险的冲击进一步扩大。关键词：社保基金；CoVaR：风险相依；Copula函数论文类型：应用研究Title：SystemicRiskMeasuremen

3、tofSocialSecurityFundBasedonCopula-CoVaRModelMajor：AppliedstatisticsApplicant：WangQiuyueSupervisor：WangZhouweiAbstractTheNationalSocialSecurityFundisacentralizedsocialsecurityfundsbythenationalcentralgovernment，academiamoreandmoreattentionhasbeenasimportan

4、tstrategicreserve．Thesanqetime，theSocialSecurityFundisalsofacingmanyproblems，themostimportantofwhichistopreserveandincreasethevalueofthesocialsecurityfund．Astheagingprocesscontinuestoaccelerate，theSocialSecurityFundexpendituresincreasing，relyingsolelyongov

5、ernmentfinancialsubsidies，hasbeenfarfromsatisfyingthedemandforsocialsecurityfunds，onlytoobtainsocialsecurityfundinvestmentoperationslargegainstopayfortheever-increasingdemandforsocialsecurityfunds．Tosince2001，withtheinflationrateincreasing，theappreciatedva

6、lueoftheSocialSecurityFundisalsoapparentsimplybylow-risk，lowyieldbankdepositsandgovernmentbondsinvestmenthasbeendifficulttomeetthebasicSocialSecurityFundyieldrequirements．SocialSecurityFundasthematerialbasisofsocialinsurancebusiness，increasingthevalueofpay

7、mentscrisisOCCurS，theSocialSecurityFund，SocialSecurityCannotbeachievedifthesocialsecurityfundCannotbeachievedunderthecurrentcriticalsituation，thesocialinsurancesystemwillnotbeabletooperatenormally，boundtoaffectthestabilityanddevelopmentofthesocietyasawhole

8、．Therefore，thesocialsecurityfundmustbroadeninvestmentchannels，SOastoachievethepurposeofincreasingthevaluetogetagreateryield．Fromthecurrentfinancialenvironment，thestockmarketwillundoubtedlybecomethemostdirecta