人口、環境、經濟發展問題是21世紀的三大主題。目前中國處於人口眾多、基數大、老齡化速度快的階段，按照國際標準，中國已經進入老齡化社會，而到2030年中國將進入老齡化高峰時期。結合中國自身國情，與一些發達國家不同的是，中國目前還是社會主義初級階段，存在著人均收入水平低，養老保障體系還不完善等問題，因此建立、完善、壯大全國社會保障基金是應對人口老齡化問題、構建社會保障體系的關鍵舉措。此外，全國社會保障基金在金融市場的有效投資必能推進中國的金融改革和發展。
隨著利率市場化的實施和金融產品的不斷創新，增加了社會保障基金的利率風險，造成了資產負債缺口的不確定性，由此可能增加全國社會保障基金償付能力風險。然後全國社會保障基金在風險管理、資產配置等方面的具體細節揭露資訊並不詳盡，因此本文介紹了目前各國學術上與事務面在探討並運用的資產負債管理方法：資產負債管理（Asset-liability management）, 負債驅動投資（Liability-driven investment）, 免疫策略（Immunization）, 風險預算（Risk budgeting）等，並且分別進行了比較，同時指出了這些方法的各自適用的局限性。本文運用美國的實際數據構建了基本的數理模型，為全國社會保障基金建立一個資產管理流程，希望能使社會保障基金的資產與負債在流動性、利率敏感性等項目達到一致，在保障償付能力的基礎上，有效控制風險，達到效用最大化。本文還把社保基金與台灣公務員退休退撫基金和日本政府退休基金進行比較，從法規制度、投資策略上進行比較，希望對社保基金的管理上能有借鑒意義。

Nowadays, China faces tremendous pressure to provide old-age pensions for its 202 million senior citizens. The implementation of the One Child Policy in the late 1970s, combined with improved longevity, it means that the population is ageing at a rapid speed. The National Social Security Fund (NSSF) is a strategic reserve fund set up by the Chinese government to help improve the looming pension crisis in the country. Since its establishment in 2000, it has grown significantly in size, stature and influence, and has become China’s largest institutional investor.
Notwithstanding this, no reliable projections exist for the Chinese pension system’s liabilities and no distinct systems of risk management are published. This raises concerns about the adequacy of the resources managed by the NSSF. In addition, it implies that the management of funds is purely driven by an objective of maximizing returns without incurring undue risk rather than by expected liability of cash flows. Greater attention is gradually being paid to the NSSF’s management in order to encourage better risk management practices and to reduce the risk of underfunding.
This paper extends the concept of investment efficiency from investment management structures to include strategic asset allocation and liability related issues, including asset-liability management, liability-driven investment, immunization and risk budgeting. In this paper, we will also describe a framework for understanding what the model is as well as how it can be used for the NSSF. In addition, we also compare the NSSF with the Public Service Pension Fund (PSPF) in Taiwan and, the Government Pension Investment Fund (GPIF) in Japan from laws, regulations, and investment strategy. We expect that good experience from other pension funds can provide a useful reference for the NSSF.

論文審定書 i
誌謝 ii
摘要 iii
ABSTRACT iv
I. INTRODUCTION 1
1.1 Background Information 1
1.2 Research Contributions 2
1.3 Limitations of Research 3
1.4 Research Structure 3
II. REVIEW OF THE NSSF 5
2.1 Establishment and Administration 5
2.2 Sources of Assets 7
2.3 Investments 10
2.4 In-house Investment and Discretionary Investment 12
III. METHODOLOGY 23
3.1 Data 23
3.2 Asset-liability Management 23
3.3 Immunization 25
3.4 Liability-driven Investment 26
3.5 Risk Budgeting 33
IV. EMPIRICAL RESULTS 37
4.1 Liability-driven Investment and Dual Duration Matching 37
4.2 Results of LDI and Duration Matching 39
4.3 Risk Budgeting 47
4.4 Comparison of the Public Service Pension Fund in Taiwan and the NSSF 52
4.5 Comparison of the Government Pension Investment Fund in Japan and the NSSF 57
V. CONCLUSION AND RECOMMENDATIONS 63
5.1 Conclusion 63
5.2 Recommendations 64
APPENDIX 67
REFERENCES 76

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