The Research On The Occupational Pension Funds Investment Risk Forewarning System Which Recommended VaR

Occupational Pension is the second important pillar of our pension system, which immediately concerns the vital interests of millions upon millions of people and the construction of multi-layer of pension system in China in terms of the safety and integrity. Occupational Pension funds, which adopted multiple investment and operation modes to ensure maintenance of and increase in the value of assets, was formally permitted to access to capital market in 2006. It must face many capital investment risks during the Occupational Pension funds entering into the capital market, however, the method to effectively manage and control risks faced during Occupational Pension funds investment has become a major concern. Forewarning is a forceful and effective measure for risk control, so it is of great importance for preventing and eliminating the risk of Occupational Pension funds investment, ensuring the safety of Occupational Pension funds, increasing the management level of Occupational Pension funds to strengthen research on Occupational Pension risk forewarning.This paper is aimed at establishing an Occupational Pension funds investment risk forewarning system that is scientific, applicable and operable. Firstly, it carried out deep analysis on possible risk factors during Occupational Pension funds investment, then introduced emerging financial risks management tool VaR (Value at Risk), and discuss the necessity of introducing VaR in the application of Occupational Pension funds investment risk forewarning system. Secondly, it analyzed the theory basis of Occupational Pension funds investment risk forewarning system, including the train of idea and principle, constitution and operation. Last but not least, it established the Occupational Pension funds investment risk forewarning system, including an Occupational Pension funds investment risk indicators forecasting subsystem which recommended VaR, an Occupational Pension funds investment risk assessment subsystem with the fuzzy mathematics appraisal method, the risk alarm subsystem and risk eliminate subsystem. Finally, it is the case study of Occupational Pension funds investment risk forewarning system which recommended VaR to test the feasibility of forewarning system.