Study On Risk Measurement Of Social Pension Fund

With the expansion of the total amount of the pension fund in China and the mature financial market, the appreciation value of the pension fund investment objectives and requirements of the investment is also increasingly diverse. How to deal with the relationship between the benefits and risks of the Pension Fund investment has become the focus of the social concern and problems to be solved, applying the appropriate risk measurement to become a necessary condition for a reasonable forecast of investment risk and profit.This paper defined the concept of social pension fund and basic theories, analyzed methods and risk of the social pension fund investment, and an overview of a landmark in the process of the theory of financial risk management model. In accordance with these risks, the specific including the mean-variance model, the mean-value at risk (VaR) model, mean-Conditional Value at Risk (CVaR) model and the mean-conditional decline risk (CDaR) model, by introducing the concept of their respective risk measure and the advantages and disadvantages of each method, and derive the optimal portfolio model based on a variety of risk measurement methods.Second, the empirical analysis, we selected the2011annual market value of shares of the social security fund investment before ten shares its variance were calculated as the sample VaR, CVaR and CDaR and compared to verify the advantage of a variety of risk measurement methods and limitations.Subsequently, the RT Rockafellar and S.Uryasev measuring risk using the conditio n decline at risk (CDaR) and portfolio optimization model, using Matlab scientific computing software, has been the combination of optimal investment weights.The last part of the papers previously discussed empirical summarized to draw the pension insurance fund for the choice of risk measurement in the way of diversification configuration, and the investment and supervision of pension fund in China put forward relevant proposals.