结合资产配置策略测算收益保证的风险

投资机构的资产配置策略会改变期末偿付收益保证的风险,因此针对对该收益保证所测算的风险就应该与资产配置策略相关。本文提出了结合资产配置策略来测算收益保证风险的新方法,并以固定组合(CM),固定比例组合保险(CPPI)二种策略为特例,分别得到了风险值的解析解,然后实证研究了该方法的可行性与合理性。按照新的测算方法,当投资机构改变资产配置策略或者策略参数使得其投资行为的风险偏好逐渐变化时,测算出的风险也随之变动,这将有助于投资机构与监管机构更好地防范金融风险,提高风险管理的效率。

The Risk of Return Guarantee Combined with Asset Allocation Strategy

Investment institution can take some asset allocation strategy to change the risk of paying return guarantees.Therefore,the risk of return guarantees should be associated with asset allocation strategy.This paper proposes a new approach combined with asset allocation strategy,through which we respectively obtain analytical solution of risk under constant-mix(CM) and constant proportion portfolio insurance(CPPI) strategies.Then,we prove the feasibility and rationality of the new approach through empirical st...