Empirical Analysis of Investment Risk of Social Security Funds——Evidence from Chinese Stock Market Data

This survey uses the investment data of listed companies from 2003 to 2012 to measure and compare the investment risks of the social security funds portfolio.CAPM model and VaR method are both adopted when measuring the investment risks which allows us to make both relative and absolute comparison between the investment portfolio risks of national social security funds and market risk.We found that the investment risks calculated by CAPM model is irrelevant to system risk,indicating that the national social security funds effectively evade the investment risk.While using VaR method,we compute the maximum loss under the confidence level of 95%and the proportion of the portfolio risk aversion.The results further prove that the portfolio of social security funds works effectively.The absolute amount of investment loss is tremendous due to the huge investment funds.There is no direct relationship between the holding time and investment risks,which indicates that the investment portfolio cannot balance the safety and profitability very well,the safety principle takes the first priority in the operation of the investment.All above amply demonstrated,the national social security fund portfolio attach great importance to risk,especially pay attention to the security,but from another perspective,it shows that the asset profitability is not high.We found that ? on the one hand,using the capital asset pricing model to calculate the national social security fund investment risk is irrelevant with the system risk,that explains the national social security fund avoid the investment risk to a great extent.Using the VaR method to measure the largest loss of national social security fund investment risk under the confidence level of 95%,and the proportion of the portfolio risk aversion,prove that the national social security fund investment portfolio is effective further.On the other hand,we research the relationship between the holding period and investment risk creatively,find there is no obvious linear relationship between them,investment risk and return don' t change a lot when the holding time changed.This suggests that the national social security fund pays too much attention to the security,and did not reach the expected level on the controlling of short-term investment risk.According to the conclusion,the control effect of social insurance fund investment risk is better,so we can increase the social insurance fund assets value-added space on the basis of security,according to the domestic and international economic environment,increase investment limit step by step,discuss iteratively,use different methods to measure the risk,and compare with the return,then ensure the low risk of social insurance fund investment in the first place.And for the local social insurance fund,this article research conclusion also has a certain reference value.Local social insurance fund can draw lessons from the national social security fund investment,and try to use the model and method to expand investment channels appropriately,create more benefits on the basis of ensure the safety.finally,build the system of social insurance funds portfolio insurance.At present,there is no law in our country to provide remedial measures for the loss by entrusted investment,so it is time to establish relevant system of social Insurance fund securities investment Insurance(Investor Insurance Scheme,IIS).We shuold establish the system of social insurance fund securities investment insurance from setting up laws and regulations,building safety mechanism to protect social insurance fund and formulating premium collection standard to perfect the social insurance fund portfolio insurance system gradually.It is worthwhile pointing out that our work has several limitations that still need to be addressedAccording to the limitations,our future research for social insurance funds solvency risk should based on the actuarial statistics,when analysis province social insurance fund's overall solvency risk,eliminate the applications such as government subsidies,introduce wages,retirement age and replacement rate and other factors.At the same time,in accordance with the requirements of the panel data,extract the provincial social insurance funds income,expenditure and balance data respectively,set up standard panel data model,analysis the provincial social insurance funds solvency risk specificly,find out the provinces' contribution to the overall solvency level of the national social insurance fund.