保险公司市场风险经济资本度量研究

经济资本(EC)是在既定期间和置信水平下,公司根据实际承担的风险计算的用以吸收非预期损失的资本额度,目前市场风险是整体经济资本测算体系中最为突出的风险.根据当前保险运营与资产投资的比例特征,同时对资产端与负债端建立市场风险投资模型,采用嵌套随机模拟方法进行两阶段情景生成,度量未来一年内不同风险测度下的市场风险经济资本需求,并对比不同情景数量下的测算稳定性.结果证明:随着内部或外部情景模拟次数的增加,市场风险经济资本测算结果对于极端风险的预测趋于稳定,在内外部情景数量乘积相同时运算时间基本一致.当内外部两阶段情景生成参数差异较大的情形下,应适当增加情景生成数量,以确保对于极端风险预测的准确性.

A Study of Market Risk Economic Capital Measurement Based on Chinese Insurance Companies

Economic capital is the capital calculated to absorb the unexpected losses based on the actual amount of risk the company faces in a given period and confidence interval.Market risk is absolutely the most prominent risk source of Economic Capital.We model the assets and liabil-ities respectively based on the current insurance operations and the characteristics of assets invest-ment proportion.The scenario generation method is the nested stochastic simulation technique which includes a two-stage scenario generation process.The Economic Capital we measured is in the horizon of one year and at different confidence level,as well as different number of outer and inner scenarios.The numerical testing shows that the results are stable,and the run time is rela-tively acceptable.