风险研究

规避五大养老系统性风险

 

 

股票久期与负债导向下的养老基金利率风险测量[1]

 

蔡明超  张富盛

 

上海交通大学经济学院, 上海200052

摘要

本文采用久期技术探讨了负债导向下的资产组合利率风险测量与管理问题。本文首先回顾了Lewin Satchell提出的股票久期模型,然后基于股权自由自由现金流模型建立了一个简化的股票久期模型,以这两个模型为依据,计算出我国上证50指数成分股的总体久期值分别为1825。在此基础上,论文把股票久期应用到养老金资产负债的利率风险测量,实证研究表明我国社保基金的投资存在负的久期缺口,引起这个缺口的主要原因是社保基金资产配置中银行存款比重过大,文章最后对社保基金投资的利率风险管理提出了资产配置建议。本文的创新之处在于定量地估计了养老金资产与负债总组合的利率风险。

 

关键词:养老基金,利率风险控制,股票久期

 

Equity Duration and Pension Fund Interest Rate Risk Measure under Liability-Driven Investment

Cai Mingchao Zhang Fusheng

(Economics  School , Shanghai Jiaotong University, Shanghai 200052)

ABSTRACT

   The paper uses duration technique to measure portfolio interest rate risks under liability-driven investment. We first introduce Lewin and Satchell equity duration model, and establish an simple equity duration model under free cash flow to equity. Then we calculate the duration of Shanghai Securities Exchange 50 Index as 18 to 25 years under both models. Stock durations are applied in the interest rate risk measurement of pension funds and find out the significant duration gap in the pension funds investment in China, which is resulted from the overweight ratio of the bank deposit. Finally the asset allocation suggestions for the investment of pension funds are proposed.

 

Key words: Pension funds, Interest rate risk control, Equity duration


 

1.         上海市哲学社会科学规划课题(2007BJB026)

2.         通讯作者:蔡明超,副教授,CFAmccai@sjtu.edu.cn

 
版权所有 © Delta pension investment research
地址:上海景谷东路99弄39号401 电话:8621-52301360 电子邮件:
备案编号: