基于GARCH模型的企业年金投资风险计量-企业管理专业论文.docxVIP

摘 要 本文立足于企业角度，主要分析企业年金在进行投资运作的过程中所产生的风 险。首先对企业年金的投资风险进行了识别，并针对如何更加合理地在股票、债券、 基金之间进行组合投资，从而达到一个风险与收益的均衡进行实证分析。实证分析 针对淮北矿业的企业年金制度，分析其在企业年金投资中产生的投资风险。投资风 险的度量首先建立合适的 GARCH 模型，运用均值-方差模型对企业年金在证券二级 市场上如何进行投资组合进行计量，得到在一定的风险承受力下企业如何选择投资 组合以及投资组合中各资产投资比例，从而选出最能符合企业自身特征的组合。根 据建立的 GARCH 模型得到的各种证券的收益率期望值与条件方差值，计算出企业 年金在股票、基金、债券之间不同权重的组合时不同的风险与收益，此时就可以根 据淮北矿业企业年金的政策投资比例要求以及企业本身的风险承受能力选取合 适 的投资组合，进行有计划的风险自留，做到很好的对投资风险的防范。 关键词：企业年金；风险识别；风险度量；GARCH 模型；VaR 度量 Abstract This article based on the angle of enterprises, the main analysis is investment risk in enterprise annuity. Firstly identify investment risk of enterprise annuity and how to more reasonably choose investment combination among stock, bond, fund in, so as to achieve a balanced benefits and risks. Empirical analysis for huaibei mining enterprise annuity system, analyzes its investment risk in enterprise annuity operation. Investment risk measurement through establishing proper GARCH model, using mean-variance model for enterprise annuity in securities in the secondary market how to conduct investment combination measurement, under the certain risks in enterprises, how to choose the portfolio and each asset investment proportion in a portfolio. According to the established GARCH model of various securities yields obtained expectations and conditional variances value, and calculates the enterprise annuity in stock, fund, bond between different weights of combination under different benefits and risks. Aaccording to huaibei mining enterprise annuity policy investment ratio requirement and the enterprises own risk bear ability to select the suitable investment combination, , do prevent the investment risk. Key Words：Enterprise annuity；Risk identification；Risk management ；GARCH； VaR 目 录 摘 要 ........................................................................................................... I Abstract ............................................................................................................ II 1 绪论 .