基于GARCH-VaR模型的保险公司市场风险度量研究——以R保险公司为例  

Research on market risk Measurement of Insurance Company based on GARCH-VAR Model:A Case Study of Ping An Insurance Company

作　　者：杨馥 叶羲舒 Yang Fu;Ye Xishu

机构地区：[1]西安财经大学经济学院,陕西西安710100

出　　处：《保险职业学院学报》2021年第4期15-20,共6页Journal of Insurance Professional College

基　　金：国家社会科学基金项目“基于环境责任保险的市场化环境治理体系建设研究”(18BJY091);西安财经大学研究生教学改革项目“产学合作的金融专硕专业学位硕士专业实践模式与考核体系研究”(JG18Z03)。

摘　　要：近年来,随着国内上市保险公司数量不断增加,市场风险已成为保险企业面临的主要风险。本文采用国内R保险公司股票每日收盘价数据建立股票价格的日对数收益率序列,根据金融时间序列的波动性和异方差性特征,以GARCH模型为基础建立反映其股价变化的波动率模型,利用“方差—协方差法”计算VaR值,并通过与三家主要上市保险公司比较分析得出结论。研究表明:(1)GARCH-VaR模型能有效反映该保险公司股票价格波动及市场风险程度;(2)该公司风险价值呈现先升后小幅下降的趋势,2018年风险价值最高;(3)对于VaR值的解读需与财务指标相结合,净利润率上升也会导致下一期VaR值的下降。以此为基础,提出保险公司市场风险管理的对策建议。This article uses the daily closing price of a domestic insurance company of China as a benchmark to establish the daily logarithmic return series of stock prices.Based on the volatility and het⁃eroscedasticity characteristics of financial time series,this paper establishes the volatility model reflecting the change of stock price based on GARCH model,and uses the variance-covariance method to calculate the VaR value.And through the comparative analysis with three major listed insurance companies to draw a conclusion.The results show that:(1)GARCH-VaR model can effectively reflect the stock price fluctuations and the mar⁃ket risk of this insurance company;(2)The company's value-at-risk shows a trend of first rising and then a slight decline,with the highest value-at-risk in 2018;(3)The interpretation of value-at-risk needs to be com⁃bined with financial indicators.The increase in the net profit rate will also lead to a decrease in the value-atrisk in the next period.Based on this,we give some suggestions for market risk management of insurance com⁃panies.

关 键 词：保险公司 市场风险度量 风险价值 GARCH-VAR模型 

分 类 号：F840.323[经济管理—保险]