TITLE:
The Risk Measurement of China’s Insurance Fund Investment—Based on VaR Model
AUTHORS:
Ziyang Yao
KEYWORDS:
Insurance Fund Investment, VaR Model, RAROC Method, Policy Suggestions
JOURNAL NAME:
Journal of Financial Risk Management,
Vol.7 No.3,
September
4,
2018
ABSTRACT: Since
the 19th National Congress of CPC (the Communist Party of China), China has put
forward more stringent requirements for the prevention and control of risks in
the insurance industry. In order to measure the risk and performance of four
main investment types of China’s insurance fund (bank deposit, bond investment,
stock investment, fund investment), the paper first introduces the development
and present situation of the insurance fund investment in China, and then uses
the VaR model to measure the risk of each investment type. Finally, the
performance evaluation of each investment type is carried out through the RAROC
(Risk Adjusted Return on Capital) method. The result shows that China’s
insurance industry still has problems such as asset-liability mismatch, hidden
liquidity risk and increased credit risk. Additionally, it also reveals that
there is still room for improvement in the investment structure of China’s
insurance fund investment. This result not
only provides relevant policy suggestions for risk management in China’s
insurance industry, but also fills the blank of research in this field in
recent years.