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本文通过运用条件风险价值模型,选取1996~2015年间的上证收益率、五年期国债利率、一年期银行存款利率数据,对我国养老保险基金投资运营的风险进行了研究。主要结论:我国养老保险基金的投资渠道有限,且过分依靠银行存款和国债。虽然风险低,但导致资金的投资收益率也低,很难解决当前我国养老保险基金亏空带来的强大压力。所以,扩大养老保险资金的投资范围显得尤为重要。只有使得养老保险基金流入社会的各个层面,才能更加平衡整个社会的结构,使得养老保险基金实现真正的增值。在风险可靠地前提下,使得收益率成倍的增加,这样才能逐步弥补这个巨大的亏空,实现养老保险基金规模由负转正。
This paper studies the risk of investment and operation of China’s pension insurance funds by using the conditional VaR model and selecting the data of the yield of Shanghai Stock Exchange, the interest rate of five-year government bonds and the interest rate of one-year bank deposits from 1996 to 2015. Main conclusions: The investment channels of pension funds in our country are limited, and rely too much on bank deposits and government bonds. Although the risk is low, the return on investment of capital is also low, so it is difficult to solve the current strong pressure brought by the deficit of China’s pension insurance fund. Therefore, it is particularly important to expand the investment range of pension funds. Only by allowing pension insurance funds to flow into all levels of society can the balance of the entire society be more balanced and the value added of the pension insurance funds truly realized. Under the condition of risk and reliability, the rate of return doubled, so as to gradually make up for this huge deficit and realize the scale change of the pension fund from negative to positive.