社保基金投资组合的动态风险测度研究

考虑到现阶段社保基金主要投资于股票和债券,以沪深300指数和国债指数构建投资组合代表社保基金投资组合,测度社保基金投资组合的动态风险。首先,基于FIGARCH模型对边缘分布建模;然后,基于时变Copula研究资产间的动态相关性,发现沪深300指数和国债指数间的相关性具有较强的持续性;最后采用Monte Carlo预测投资组合的VaR进行Kupiec检验。比较研究发现,基于时变模型的VaR预测效果要优于非时变模型的预测效果,时变FIGARCH-Copula-T和DCC(Dynamic Conditional Correlation)-MFIGARC-T模型都能准确地测度动态风险,但前者预测的失败率要低于后者。

Dynamic Risk Measurement of the Portfolio of Social Security Fund

Taking into account the current social security fund primarily invested in stocks and bonds,we construct new portfolio on behalf of the portfolio of social security fund by using the CSI 300 Index and Bond Index,in order to measure the dynamic risk of social security fund.Firstly,we model the marginal distribution by FIGARCH model.Secondly,we research the dynamic correlation of the assets in the portfolio based on time-varying Copula,finding that the correlations of CSI 300 Index and Bond Index are heavily persistent.Thirdly,we predict VaR of the portfolio by using the method of Mont Carlo,and carry out the Kupiec test.By comparative study,we find that time-varying model is more effective than constant model on the aspect of VaR prediction;both time-varying FIGARCH-Copula-T model and DCC(Dynamic Conditional Correlation)-MFIGARC-T model can correctly measure the dynamic risk,but the former is better than the latter.