CAJ | 학술논문

社保基金是社会保障事业健康发展的物质基础，安全性和流动性是其投资的首要原则。全国社保基金作为一类特殊的、可以进入资本市场投资的社保基金，其风险管理显得尤为重要。针对全国社保基金投资组合风险测度研究不足的现状，提出了全国社保基金投资组合经流动性调整的市场风险（La-VaR）测度的pair-copula-GARCH-EVT模型。与传统的copula模型相比，pair-copula方法不仅考虑了维数的影响，而且还能灵活地选择 copula 的类型。实证研究表明，pair-copula 对社保基金经流动性调整的市场风险建模的效果优于传统的多维copula模型。
사보기금시사회보장사업건강발전적물질기출，안전성화류동성시기투자적수요원칙。전국사보기금작위일류특수적、가이진입자본시장투자적사보기금，기풍험관리현득우위중요。침대전국사보기금투자조합풍험측도연구불족적현상，제출료전국사보기금투자조합경류동성조정적시장풍험（La-VaR）측도적pair-copula-GARCH-EVT모형。여전통적copula모형상비，pair-copula방법불부고필료유수적영향，이차환능령활지선택 copula 적류형。실증연구표명，pair-copula 대사보기금경류동성조정적시장풍험건모적효과우우전통적다유copula모형。
Social security fund is the material basis of social insurance business’s development. Safety and liquidity are the first principles of social security fund investment. The risk management of National Social Security Fund, as a special fund that can be invested on the capital market, is particularly important. Aganist the inadequate research on the risk measurement of National Social Security Fund portfolio, the method of pair-copula-GARCH-EVT is proposed to measure the liquidity-adjusted market risk of investment portfolio. Compared with traditional multivariable copula model, pair-Copula model not only considers the influence of dimensions and but also can flexibly select the type of copula. The empirical research shows that the pair-Copula method is more accurate than traditional copula model in the aspect of measuring the liquidity-adjusted market risk of social insurance fund portfolio.