Risk Measurement Of Social Security Fund Invest In A-Share Market

Nowadays the assets of National Social Security Fund is increasing, China’s stock market has become more sophisticated, so the social security fund will invest A-share market is undoubtedly a good way of increasing its value. However, the social security fund gains from the A-share market, also bears a great deal of financial risks, how to control these risks became a research topic which has a very practical significance. Some scholars empirical proof that the market risk of social security fund is universal higher than the average market risk, which explains control the social security funds in the market is particularly important.Study the market risk originated in the mean-variance model, mature in the VaR risk measurement model. There are three basic VaR methods, namely Delta-Normal method, historical simulation, Monte Carlo method. The social security fund market risk research mostly used Delta-Normal method, but Delta-Normal method has a strongly model requires, is likely to produce estimation errors. This paper comprehensive use these three methods to measure the risk of social security fund, to detect which method is more suitable to social security fund investment style.Currently scholars use the data sample period of one year for the last ten Awkwardness social security fund to calculate its risk.Based on the social security fund investment structure of A-share analysis shows that there are two drawbacks: First, the Social Security Fund on a quarterly rather than annual cycle, in each quarter social security runds change its structure; ten Awkwardness share amounted about 25% of social security Fund, not representative of the overall risk of the social security fund. This paper ragrads all shares that social security fund invest as the research object, using the second quarter of 2012 to the first quarter of 2013, continuing a period of one year of data estimate the social security fund’s overall risk.Through empirical analysis, we conclude that the risk of social security fund at a manageable level, Monte Carlo model is more suitable for the Social Security Fund. Based on empirical results, we propose to establish a Monte Carlo method as the core of the social security fund risk control system, also we can increase the amount of investment.