我国保险业自2016年1季度起正式实施基于风险的第二代偿付能力监管制度。为探讨该制度下保险公司投资信用债最低资本要求计量的合理性及准确性,笔者使用市场一致性方法进行对比研究。笔者基于JLT信用风险模型与Vasicek无风险利率模型,根据我国公司债及国债市场历史数据,通过参数校准,计算了不同期限不同信用等级公司债的信用风险最低资本要求;同时,在负债端采用年金及两全险假设,通过选择久期匹配的资产负债组合,计算了两种方法下的利率风险、信用风险及二者总风险的最低资本要求。通过结果比较发现:信用风险最低资本在市场一致性方法下对信用评级与期限的变化更为敏感;且基于“偿二代”利率风险最低资本要求配置资产不能真实规避市场利率风险,在市场一致法下须提取较高利率风险最低资本。由此,笔者提出调整标准法因子以凸显风险差异、调整压力情景参数以加强资产负债匹配,以及增加特征因子以精细化最低资本的政策建议。
Abstract
Since the first quarter of 2016,China Insurance Regulatory Commission has officially implemented the China Risk Oriented Solvency System.In order to explore the accuracy and suitability of the mea-surement of the minimum capital requirement for insurance companies' investment in credit bonds under this system,this paper uses the market-consistent method for comparative study.Based on the JLT credit risk model and the Vasicek risk-free interest rate model,employing historical data of corporate bonds and government bonds in China,the paper calculates the minimum capital requirement for credit risk of corporate bonds with different credit ratings and different terms.Additionally,the annuity and endowment products are assumed on the liability side,and the minimum capital requirements for interest rate risk,credit risk and total risk are calculated by selecting the duration-matching asset-liability portfolio.Through the comparison of results,it is found that the minimum capital requirement for credit risk is more sensitive to the change of credit rating and term under the market-consistent method;and the asset which is allocated based on the minimum capital requirement for interest rate risk in C-ROSS cannot truly avoid market interest rate risk and the higher minimum capital requirement for interest rate risk must be extracted under the market-consistent method.Therefore,this paper proposes policy recommendations to adjust the factors in standard method of C-ROSS to highlight risk differences,adjust pressure-test scenario parameters to strengthen asset-liability matching,and increase the characteristic factors to refine the minimum capital requirement.
关键词
利率风险 /
信用利差风险 /
市场一致性方法 /
最低资本
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Key words
Interest rate risk /
Credit spread risk /
Market-consistent approach /
Minimum capital requirement
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中图分类号：
F842
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脚注
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基金
国家社会科学基金项目“保险系统性风险的形成演变、外溢效应及审慎监管研究”(项目编号:18CJY063)。
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