發布日期:2021-10-26
友邦人壽保險有限公司 吳浩禮 孫磊 鄭毅捷
一、流動性風險管理的重要性
流動性風(feng)(feng)險(xian)(xian)是指保險(xian)(xian)公司無(wu)法及(ji)時獲(huo)得充足(zu)資金或(huo)無(wu)法及(ji)時以合理成(cheng)本獲(huo)得充足(zu)資金,以支付(fu)(fu)到期債務或(huo)履行其(qi)他支付(fu)(fu)義務的風(feng)(feng)險(xian)(xian)。流動性風(feng)(feng)險(xian)(xian)與償付(fu)(fu)能力風(feng)(feng)險(xian)(xian)相(xiang)關但又不(bu)同,一家償付(fu)(fu)能力充足(zu)的保險(xian)(xian)公司,仍有可能因(yin)為流動性風(feng)(feng)險(xian)(xian)管(guan)理不(bu)善,影(ying)響(xiang)企業正常經營,甚至在極端(duan)情(qing)況(kuang)下造(zao)成(cheng)災難性后(hou)果。
流動性風險(xian)對(dui)于壽險(xian)公(gong)司(si)來說,通(tong)常(chang)被認為是(shi)一(yi)個(ge)低概率、高影響(xiang)的(de)(de)尾部(bu)事(shi)件。一(yi)方(fang)面(mian)(mian),壽險(xian)公(gong)司(si)在(zai)經營(ying)過程中(zhong)往往先接受保(bao)費,再將(jiang)保(bao)費投資于資產(chan)取得收益,最終在(zai)一(yi)段時(shi)間之后支付賠償的(de)(de)過程,這意味(wei)著壽險(xian)公(gong)司(si)幾乎(hu)總(zong)是(shi)持有一(yi)定數量的(de)(de)現金及可(ke)變(bian)現資產(chan),在(zai)絕大多(duo)數情(qing)況(kuang)下可(ke)以滿足賠付及其(qi)他支出需求。另一(yi)方(fang)面(mian)(mian),世界各(ge)國(guo)(guo)壽險(xian)公(gong)司(si)由于流動性問題(ti)陷(xian)入(ru)經營(ying)困(kun)難(nan)、需要監管機(ji)構(gou)介入(ru)的(de)(de)案例卻時(shi)有發生,如1999年通(tong)用美(mei)國(guo)(guo)人壽公(gong)司(si)①因(yin)為信用降級(ji)觸發擔(dan)保(bao)投資合同提(ti)前(qian)贖回需求,2008年美(mei)國(guo)(guo)國(guo)(guo)際集團因(yin)為信用違(wei)約掉期市(shi)(shi)值波動造成巨額保(bao)證金需求等(deng)等(deng)。在(zai)2020年新冠(guan)肺(fei)炎(yan)疫情(qing)高峰期,一(yi)些國(guo)(guo)家政府及監管機(ji)構(gou)相繼出臺限制人員(yuan)聚集、暫時(shi)關(guan)閉金融市(shi)(shi)場、寬限保(bao)費逾期繳費期等(deng)舉措(cuo),也使當(dang)地壽險(xian)公(gong)司(si)短時(shi)間內承受了極大的(de)(de)流動性壓力(li)。
就國內市(shi)場而(er)言,流動(dong)性風險(xian)(xian)是壽(shou)(shou)險(xian)(xian)行業不可忽視的一個(ge)重(zhong)要風險(xian)(xian),目前影響壽(shou)(shou)險(xian)(xian)公司流動(dong)性的重(zhong)要因素有以下幾(ji)點:
● 受(shou)新(xin)冠肺炎疫(yi)情影響造(zao)成保費收入下降,退保金支出上升;
● 中短存續(xu)期產品集中到(dao)期造成滿期金給(gei)付壓力;
● 低利率環境及激烈的產(chan)品競(jing)爭促使公司為了提升投(tou)資(zi)收(shou)益而不斷增加非流動(dong)投(tou)資(zi)資(zi)產(chan)(如私(si)募股權(quan)、房地(di)產(chan)等);
● 壽(shou)險公司(si)對于一(yi)些大(da)類資(zi)產(如中長期國債)的投(tou)資(zi)端策略(lve)趨同,在極端市場(chang)情(qing)況下,易產生“單邊市場(chang)”,引發市場(chang)流動性問題(ti)。
除行(xing)業(ye)因素外(wai),各家(jia)壽險公(gong)司的經營模式與業(ye)務特征決(jue)定(ding)了自身(shen)流(liu)動性風險的大(da)小(xiao),這些特征包括:公(gong)司架構(gou)、風險偏(pian)好、產品策略、投資(zi)策略、內(nei)外(wai)部融資(zi)能力等(deng)。
對(dui)于流(liu)動(dong)性(xing)風(feng)險(xian)管(guan)理(li)(li),友(you)邦人壽(shou)(shou)建立(li)了(le)(le)完善的管(guan)理(li)(li)體(ti)系,充分識別流(liu)動(dong)性(xing)來源與需(xu)求、根據不同(tong)的時(shi)間跨度,將流(liu)動(dong)性(xing)管(guan)理(li)(li)分為(wei)每日流(liu)動(dong)性(xing)與結構性(xing)流(liu)動(dong)性(xing)兩個維度,并建立(li)相應(ying)(ying)的預測及壓(ya)力測試模(mo)型(xing),設(she)置(zhi)了(le)(le)流(liu)動(dong)性(xing)充足(zu)率限額。在(zai)(zai)流(liu)動(dong)性(xing)風(feng)險(xian)管(guan)理(li)(li)工具方面(mian),友(you)邦采用(yong)市場流(liu)動(dong)性(xing)估計(ji)(ji)模(mo)型(xing)LQA,對(dui)投資資產可變現量進(jin)行建模(mo),提(ti)升(sheng)流(liu)動(dong)性(xing)來源評估精度。此外,為(wei)了(le)(le)應(ying)(ying)對(dui)流(liu)動(dong)性(xing)突(tu)發事件(jian),友(you)邦人壽(shou)(shou)還制定了(le)(le)詳盡(jin)的流(liu)動(dong)性(xing)應(ying)(ying)對(dui)計(ji)(ji)劃,明(ming)確流(liu)動(dong)性(xing)危機(ji)下可使用(yong)的管(guan)理(li)(li)工具、決(jue)策流(liu)程、制約因素等細節,確保在(zai)(zai)有需(xu)要(yao)時(shi)能有序開展流(liu)動(dong)性(xing)危機(ji)應(ying)(ying)對(dui)工作(zuo)。下面(mian)我們對(dui)友(you)邦人壽(shou)(shou)流(liu)動(dong)性(xing)風(feng)險(xian)管(guan)理(li)(li)體(ti)系中一些重(zhong)點(dian)內容逐一進(jin)行介紹。
二、流動性風險管理框架
友邦人壽的流(liu)(liu)動(dong)(dong)性(xing)風(feng)險(xian)(xian)管(guan)理(li)框架由風(feng)險(xian)(xian)治理(li)、風(feng)險(xian)(xian)戰(zhan)略(lve)、風(feng)險(xian)(xian)管(guan)理(li)流(liu)(liu)程(cheng)、風(feng)險(xian)(xian)披露四個環節組成。流(liu)(liu)動(dong)(dong)性(xing)風(feng)險(xian)(xian)治理(li)明確了友邦人壽董事會對公(gong)司(si)(si)流(liu)(liu)動(dong)(dong)性(xing)風(feng)險(xian)(xian)管(guan)理(li)承擔主要責(ze)任(ren),負(fu)責(ze)制定公(gong)司(si)(si)流(liu)(liu)動(dong)(dong)性(xing)風(feng)險(xian)(xian)原則與容忍度等流(liu)(liu)動(dong)(dong)性(xing)風(feng)險(xian)(xian)戰(zhan)略(lve)、審批公(gong)司(si)(si)流(liu)(liu)動(dong)(dong)性(xing)風(feng)險(xian)(xian)管(guan)理(li)辦(ban)法,并(bing)授權下轄(xia)董事會風(feng)險(xian)(xian)委員(yuan)會監督公(gong)司(si)(si)流(liu)(liu)動(dong)(dong)性(xing)風(feng)險(xian)(xian)管(guan)理(li)實施(shi)情況。友邦人壽首席財務官為(wei)公(gong)司(si)(si)流(liu)(liu)動(dong)(dong)性(xing)風(feng)險(xian)(xian)責(ze)任(ren)人,負(fu)責(ze)統籌協調各相關(guan)部門依據流(liu)(liu)動(dong)(dong)性(xing)管(guan)理(li)辦(ban)法,開展流(liu)(liu)動(dong)(dong)性(xing)管(guan)理(li)工作。資金(jin)管(guan)理(li)部作為(wei)流(liu)(liu)動(dong)(dong)性(xing)風(feng)險(xian)(xian)管(guan)理(li)第(di)一(yi)道(dao)防線,負(fu)責(ze)具體(ti)(ti)實施(shi)流(liu)(liu)動(dong)(dong)性(xing)風(feng)險(xian)(xian)管(guan)理(li)流(liu)(liu)程(cheng),風(feng)險(xian)(xian)管(guan)理(li)部作為(wei)第(di)二道(dao)防線,對流(liu)(liu)動(dong)(dong)性(xing)風(feng)險(xian)(xian)管(guan)理(li)進(jin)行(xing)監督。
流(liu)(liu)動(dong)(dong)性(xing)(xing)(xing)風(feng)(feng)險(xian)流(liu)(liu)程分為識別、計量(liang)與(yu)限額、決策與(yu)管(guan)(guan)(guan)理(li)等(deng)步驟(zou),其中(zhong)風(feng)(feng)險(xian)識別、計量(liang)與(yu)限額由(you)風(feng)(feng)險(xian)管(guan)(guan)(guan)理(li)部(bu)提議、公司財務風(feng)(feng)險(xian)委員會審(shen)議、董事會審(shen)批通過,確(que)保風(feng)(feng)險(xian)計量(liang)方(fang)法(fa)的客觀(guan)性(xing)(xing)(xing)與(yu)獨立性(xing)(xing)(xing)。資(zi)金(jin)管(guan)(guan)(guan)理(li)部(bu)負責執行(xing)風(feng)(feng)險(xian)計量(liang),在確(que)保滿足風(feng)(feng)險(xian)限額的前提下,對流(liu)(liu)動(dong)(dong)性(xing)(xing)(xing)風(feng)(feng)險(xian)進行(xing)決策,主要體(ti)現在如何因(yin)應流(liu)(liu)動(dong)(dong)性(xing)(xing)(xing)需求(qiu)調配流(liu)(liu)動(dong)(dong)性(xing)(xing)(xing)來源。資(zi)金(jin)管(guan)(guan)(guan)理(li)部(bu)同時(shi)負責制定公司流(liu)(liu)動(dong)(dong)性(xing)(xing)(xing)應急計劃,確(que)保計劃可(ke)行(xing)性(xing)(xing)(xing)。流(liu)(liu)動(dong)(dong)性(xing)(xing)(xing)風(feng)(feng)險(xian)披露包括(kuo)定期董事會及管(guan)(guan)(guan)理(li)層報(bao)告,以及監管(guan)(guan)(guan)報(bao)告等(deng)。
三、流動性風險識別與評估
流(liu)動(dong)性來源(yuan)包(bao)(bao)括所(suo)有內部(bu)和外(wai)部(bu)能(neng)(neng)夠在(zai)(zai)(zai)規定時(shi)間(jian)期限(xian)內取得并轉化為(wei)現(xian)金(jin)(jin)的(de)資(zi)(zi)(zi)(zi)(zi)(zi)金(jin)(jin)與(yu)協(xie)議(yi)安排(pai)。友(you)邦人(ren)壽將流(liu)動(dong)性來源(yuan)依據獲取的(de)確定程(cheng)度,及(ji)轉化為(wei)現(xian)金(jin)(jin)所(suo)需時(shi)間(jian),進一步細分為(wei)主要(yao)(yao)(yao)、次要(yao)(yao)(yao)和應(ying)(ying)急流(liu)動(dong)性來源(yuan)。主要(yao)(yao)(yao)流(liu)動(dong)性來源(yuan)是(shi)指公司(si)確信(xin)(xin)在(zai)(zai)(zai)極短(duan)時(shi)間(jian)內能(neng)(neng)夠變現(xian)的(de)資(zi)(zi)(zi)(zi)(zi)(zi)源(yuan),具體(ti)包(bao)(bao)括在(zai)(zai)(zai)經(jing)營(ying)(ying)及(ji)投(tou)資(zi)(zi)(zi)(zi)(zi)(zi)賬(zhang)戶(hu)中(zhong)的(de)現(xian)金(jin)(jin)、保(bao)費收入(ru)(ru)、投(tou)資(zi)(zi)(zi)(zi)(zi)(zi)資(zi)(zi)(zi)(zi)(zi)(zi)產現(xian)金(jin)(jin)流(liu)入(ru)(ru)、確認的(de)投(tou)資(zi)(zi)(zi)(zi)(zi)(zi)資(zi)(zi)(zi)(zi)(zi)(zi)產出(chu)售、確認的(de)資(zi)(zi)(zi)(zi)(zi)(zi)本(ben)注入(ru)(ru)等(deng)。次要(yao)(yao)(yao)流(liu)動(dong)性資(zi)(zi)(zi)(zi)(zi)(zi)源(yuan)是(shi)指公司(si)有很大把握在(zai)(zai)(zai)一定時(shi)期內變現(xian)的(de)資(zi)(zi)(zi)(zi)(zi)(zi)源(yuan),具體(ti)包(bao)(bao)括無擔保(bao)且可供出(chu)售的(de)投(tou)資(zi)(zi)(zi)(zi)(zi)(zi)資(zi)(zi)(zi)(zi)(zi)(zi)產、回購協(xie)議(yi)、銀行(xing)授信(xin)(xin)、計劃中(zhong)的(de)資(zi)(zi)(zi)(zi)(zi)(zi)本(ben)注入(ru)(ru)等(deng)。應(ying)(ying)急流(liu)動(dong)性來源(yuan)是(shi)指在(zai)(zai)(zai)取得資(zi)(zi)(zi)(zi)(zi)(zi)金(jin)(jin)的(de)可能(neng)(neng)性或及(ji)時(shi)性方面(mian)存(cun)在(zai)(zai)(zai)重(zhong)大不確定性,往往需要(yao)(yao)(yao)經(jing)營(ying)(ying)管理層、董(dong)事會采取特別行(xing)動(dong),或需要(yao)(yao)(yao)與(yu)外(wai)部(bu)利益相關方溝通協(xie)調等(deng)流(liu)程(cheng),比如臨時(shi)性融(rong)資(zi)(zi)(zi)(zi)(zi)(zi)安排(pai)等(deng)。
流動性需求(qiu)包(bao)括所有需要(yao)在(zai)規定時間期限內以現金(jin)償付(fu)的現有及合理預估的債務,包(bao)括保單支付(fu)(理賠、退保、滿期、紅(hong)利(li)等(deng))、銷售渠(qu)道支付(fu)、應付(fu)款項、資(zi)本流出、確認的投資(zi)資(zi)產購(gou)買或再投資(zi)、回購(gou)協議到期、用于衍生品等(deng)現金(jin)抵(di)押的需求(qiu)。
流(liu)動(dong)性(xing)充(chong)(chong)足(zu)率(lv)是衡量規(gui)定時間(jian)內流(liu)動(dong)性(xing)來(lai)(lai)源(yuan)是否足(zu)以滿足(zu)流(liu)動(dong)性(xing)需求的(de)主(zhu)要流(liu)動(dong)性(xing)風險指標。在對流(liu)動(dong)性(xing)充(chong)(chong)足(zu)率(lv)進行(xing)評(ping)估時(及(ji)對流(liu)動(dong)性(xing)來(lai)(lai)源(yuan)和需求進行(xing)識別(bie)時),必須確保充(chong)(chong)分反映與之(zhi)適(shi)用的(de)約束條件(jian)。舉例來(lai)(lai)說,如(ru)果流(liu)動(dong)性(xing)來(lai)(lai)源(yuan)在分賬(zhang)戶之(zhi)間(jian)轉(zhuan)移受(shou)到法律(lv)法規(gui)約束或公司內部限制,則流(liu)動(dong)性(xing)充(chong)(chong)足(zu)率(lv)必須在各分賬(zhang)戶中獨立評(ping)估與管理。
在(zai)評估(gu)流(liu)動(dong)性(xing)(xing)充足率(lv)時,友邦(bang)人壽主要關注兩個時間(jian)跨度:“每日(ri)流(liu)動(dong)性(xing)(xing)風險管(guan)理”用來(lai)評估(gu)公司(si)未來(lai)兩周的流(liu)動(dong)性(xing)(xing)狀況(kuang)(kuang),“結構性(xing)(xing)流(liu)動(dong)性(xing)(xing)風險管(guan)理”對(dui)公司(si)未來(lai)十二個月的流(liu)動(dong)性(xing)(xing)狀況(kuang)(kuang)進(jin)行評估(gu)。通(tong)過對(dui)流(liu)動(dong)性(xing)(xing)充足率(lv)的定期(qi)監測,使(shi)公司(si)能夠提前識(shi)別潛(qian)在(zai)流(liu)動(dong)性(xing)(xing)風險,讓公司(si)管(guan)理層有充足的時間(jian)采取預防性(xing)(xing)措(cuo)施或(huo)實施應(ying)急處置預案。
四、每日流動性風險管理
每日(ri)(ri)(ri)流(liu)動(dong)(dong)性(xing)(xing)風險貫穿在開展保(bao)險經(jing)營、投(tou)融資(zi)(zi)(zi)等日(ri)(ri)(ri)常活動(dong)(dong)過(guo)(guo)程中(zhong)。友邦人壽明(ming)確每日(ri)(ri)(ri)流(liu)動(dong)(dong)性(xing)(xing)風險管(guan)理的目的是(shi)通過(guo)(guo)積(ji)極(ji)管(guan)理流(liu)動(dong)(dong)性(xing)(xing)資(zi)(zi)(zi)源(yuan),確保(bao)公司能夠(gou)完全滿足每日(ri)(ri)(ri)流(liu)動(dong)(dong)性(xing)(xing)需求(qiu),并以(yi)此為(wei)基礎(chu)盡可能將流(liu)動(dong)(dong)性(xing)(xing)資(zi)(zi)(zi)源(yuan)轉化為(wei)投(tou)資(zi)(zi)(zi)資(zi)(zi)(zi)產,提(ti)高投(tou)資(zi)(zi)(zi)收益(yi)。為(wei)了達成這(zhe)一目的,一個重要的前提(ti)條(tiao)件是(shi)公司能夠(gou)充分(fen)理解、分(fen)析每日(ri)(ri)(ri)流(liu)動(dong)(dong)性(xing)(xing)需求(qiu)情況,積(ji)極(ji)管(guan)理流(liu)動(dong)(dong)性(xing)(xing)資(zi)(zi)(zi)源(yuan)以(yi)匹配流(liu)動(dong)(dong)性(xing)(xing)需求(qiu)。一般來(lai)說,公司每日(ri)(ri)(ri)流(liu)動(dong)(dong)性(xing)(xing)需求(qiu)的規律(lv)呈(cheng)現出以(yi)下(xia)特征:
● 高頻,如理賠、退(tui)保(bao)款(kuan)需(xu)每日支(zhi)付(fu),當(dang)遭遇重大理賠、集中(zhong)退(tui)保(bao)等極(ji)限情況,支(zhi)付(fu)需(xu)求額會出現急劇起伏;
● 單(dan)筆(bi)大金額但時(shi)間固定、次數有限(xian)的支付(fu)需求,如分紅、傭金、工資和(he)稅款;
● 發(fa)生金(jin)額和時(shi)間都存(cun)在不確定(ding)性(xing)的(de)支付(fu)需求(qiu),比如(ru)取決于金(jin)融市場行情和不同結算規則而產(chan)生變(bian)化的(de)投資結算款撥付(fu)需要。
友邦(bang)人(ren)壽對(dui)每(mei)(mei)日(ri)(ri)(ri)流(liu)(liu)動(dong)(dong)性風險(xian)管(guan)理要求(qiu)每(mei)(mei)日(ri)(ri)(ri)滾動(dong)(dong)預測未來連續(xu)(xu)十個(ge)工(gong)作日(ri)(ri)(ri)的流(liu)(liu)動(dong)(dong)性來源和需(xu)求(qiu),即對(dui)T+0至T+9每(mei)(mei)日(ri)(ri)(ri)流(liu)(liu)動(dong)(dong)性充足(zu)率做出評估。實際操作中,精確預測每(mei)(mei)日(ri)(ri)(ri)流(liu)(liu)動(dong)(dong)性資(zi)源與(yu)需(xu)求(qiu)是(shi)十分困難的,比如,除了自動(dong)(dong)轉賬扣款(kuan)外,保(bao)(bao)單持有人(ren)繳納(na)續(xu)(xu)期(qi)保(bao)(bao)費(fei)的具體時點往往是(shi)不(bu)固定的,如果簡單使用保(bao)(bao)單周(zhou)年日(ri)(ri)(ri)預測續(xu)(xu)期(qi)保(bao)(bao)費(fei),則有可能造成重大偏差。友邦(bang)人(ren)壽通過多種(zhong)手段提升每(mei)(mei)日(ri)(ri)(ri)流(liu)(liu)動(dong)(dong)性預測精度,具體包括:
● 通過投(tou)資系統(tong)(tong)與財務系統(tong)(tong),確保完整、準確地反映各(ge)類確定性高的流動性資源及需求,比如現金(jin)、投(tou)資資產現金(jin)流入(ru)、費用等。
● 通過歷(li)史經(jing)驗,預測波動性(xing)(xing)較大的(de)流動性(xing)(xing)資源(yuan)及需求,如(ru)保費(fei)收入(ru)、理(li)賠支出等。
● 定期對(dui)預測(ce)值與實(shi)際值進行回溯分析(xi),改(gai)善預測(ce)方(fang)法(fa)。
● 在預(yu)(yu)(yu)測(ce)的流動(dong)性需求上按(an)一定比(bi)(bi)(bi)例(li)附加(jia)預(yu)(yu)(yu)測(ce)偏差,較保(bao)守(shou)地(di)反映可能面對的流動(dong)性需求。附加(jia)的預(yu)(yu)(yu)測(ce)偏差比(bi)(bi)(bi)例(li)隨(sui)回溯分析定期調整(zheng),比(bi)(bi)(bi)如過往一段時(shi)間內預(yu)(yu)(yu)測(ce)值(zhi)接近實(shi)際值(zhi),則(ze)未來附加(jia)預(yu)(yu)(yu)測(ce)偏差比(bi)(bi)(bi)例(li)將減(jian)小,反之(zhi)則(ze)增(zeng)大。
資(zi)(zi)(zi)(zi)金(jin)管(guan)理部每一(yi)個(ge)(ge)工作(zuo)日負(fu)責測(ce)算未來(lai)兩周(zhou)的每日流(liu)動(dong)(dong)性(xing)充(chong)足率(lv)(lv),將評估(gu)結果(guo)與(yu)資(zi)(zi)(zi)(zi)產管(guan)理中心共(gong)享,作(zuo)為投資(zi)(zi)(zi)(zi)經理進(jin)行投資(zi)(zi)(zi)(zi)規劃(hua)的參考依(yi)據。當發現主要流(liu)動(dong)(dong)性(xing)來(lai)源(yuan)的流(liu)動(dong)(dong)性(xing)充(chong)足率(lv)(lv)在未來(lai)一(yi)個(ge)(ge)工作(zuo)日低(di)于(yu)100%;或(huo)考慮(lv)了通過次(ci)級流(liu)動(dong)(dong)性(xing)來(lai)源(yuan)來(lai)補充(chong)主要流(liu)動(dong)(dong)性(xing)來(lai)源(yuan)后,流(liu)動(dong)(dong)性(xing)充(chong)足率(lv)(lv)未來(lai)兩周(zhou)的任一(yi)工作(zuo)日仍低(di)于(yu)100%的情(qing)況(kuang)時(shi),資(zi)(zi)(zi)(zi)金(jin)管(guan)理部將根據公(gong)司流(liu)動(dong)(dong)性(xing)應急計劃(hua),建(jian)議(yi)可行的流(liu)動(dong)(dong)性(xing)補救方(fang)案(an),并及時(shi)向公(gong)司管(guan)理層進(jin)行情(qing)況(kuang)匯(hui)報,要求批準實施(shi)方(fang)案(an)。
五、結構性流動性風險管理
友邦(bang)人壽每(mei)季度(du)對未來十二個(ge)月的流(liu)(liu)動(dong)性(xing)資源及需(xu)求進行預(yu)測(ce)(ce)(ce)及實施壓力測(ce)(ce)(ce)試,識(shi)別因(yin)(yin)(yin)資產(chan)負債(zhai)結構性(xing)因(yin)(yin)(yin)素(su)形成(cheng)的流(liu)(liu)動(dong)性(xing)風險(xian)。與每(mei)日流(liu)(liu)動(dong)性(xing)預(yu)測(ce)(ce)(ce)不(bu)同的是,結構性(xing)流(liu)(liu)動(dong)性(xing)風險(xian)因(yin)(yin)(yin)為時間跨度(du)拉長(chang),可以忽略現金(jin)流(liu)(liu)具體時點,因(yin)(yin)(yin)此能(neng)夠借助于公司最(zui)優假設(she)下的資產(chan)與負債(zhai)現金(jin)流(liu)(liu)作(zuo)為預(yu)測(ce)(ce)(ce)基(ji)礎。
在此基(ji)礎(chu)上(shang),友邦(bang)人(ren)壽依據自身業(ye)務特征,制定了(le)正(zheng)常波動(dong)及極端(duan)事(shi)(shi)(shi)件兩種流動(dong)性(xing)風險壓力場(chang)景(jing)。正(zheng)常波動(dong)場(chang)景(jing)中(zhong),考(kao)慮公司(si)在資(zi)產與負(fu)債(zhai)端(duan)均遭遇十年一遇的不利偏差情景(jing)。極端(duan)事(shi)(shi)(shi)件則模擬公司(si)因重大事(shi)(shi)(shi)件,造成新業(ye)務下降、集中(zhong)退保、可(ke)變現資(zi)產價值下跌等不利因素的組合情景(jing)。
在匹(pi)配流動(dong)(dong)(dong)性(xing)(xing)需求(qiu)時(shi)(shi),投資(zi)資(zi)產的(de)變(bian)(bian)現(xian)能(neng)(neng)(neng)力(li)(li)是補(bu)充流動(dong)(dong)(dong)性(xing)(xing)來(lai)源(yuan)的(de)重要手段,壽(shou)險公司(si)通過(guo)靈活運用無擔保且可(ke)(ke)供變(bian)(bian)現(xian)出售的(de)資(zi)產,可(ke)(ke)增加次要流動(dong)(dong)(dong)性(xing)(xing)來(lai)源(yuan),以(yi)適(shi)時(shi)(shi)彌(mi)補(bu)主要流動(dong)(dong)(dong)性(xing)(xing)來(lai)源(yuan)可(ke)(ke)能(neng)(neng)(neng)出現(xian)不(bu)足的(de)情形。另一方面,如何(he)客觀評估(gu)投資(zi)資(zi)產的(de)變(bian)(bian)現(xian)能(neng)(neng)(neng)力(li)(li),也成(cheng)為(wei)預測流動(dong)(dong)(dong)性(xing)(xing)充足率時(shi)(shi)避不(bu)開的(de)一個難點(dian)。一個較(jiao)常見的(de)方法是針對不(bu)同(tong)資(zi)產類別,施加一個可(ke)(ke)變(bian)(bian)現(xian)因(yin)(yin)子。一些(xie)較(jiao)為(wei)先(xian)進的(de)模型則將變(bian)(bian)現(xian)因(yin)(yin)子依據資(zi)產的(de)信用質量、期限等(deng)因(yin)(yin)素進行(xing)進一步細分。但這些(xie)方法與投資(zi)資(zi)產在市場交易行(xing)為(wei)是脫節的(de),簡單來(lai)說,一個高(gao)信用評級的(de)資(zi)產并不(bu)一定代表(biao)其(qi)具(ju)有更高(gao)的(de)變(bian)(bian)現(xian)能(neng)(neng)(neng)力(li)(li),而在市場流動(dong)(dong)(dong)性(xing)(xing)狀況發(fa)生重大(da)變(bian)(bian)更時(shi)(shi),基于信用評級的(de)靜(jing)態(tai)因(yin)(yin)子亦無法及(ji)時(shi)(shi)反映流動(dong)(dong)(dong)性(xing)(xing)風險的(de)變(bian)(bian)化情況。
友邦人(ren)壽(shou)在對(dui)投(tou)(tou)資(zi)(zi)資(zi)(zi)產(chan)變現(xian)(xian)建模時,創新地使用(yong)了(le)(le)彭博②的(de)LQA指標,依(yi)據資(zi)(zi)產(chan)交(jiao)易量(liang),買入(ru)/賣出(chu)價差(cha)等市(shi)場信息,預測(ce)投(tou)(tou)資(zi)(zi)資(zi)(zi)產(chan)的(de)可變現(xian)(xian)量(liang)與(yu)變現(xian)(xian)周期,實(shi)現(xian)(xian)了(le)(le)投(tou)(tou)資(zi)(zi)資(zi)(zi)產(chan)可變現(xian)(xian)預測(ce)與(yu)市(shi)場交(jiao)易行為一(yi)(yi)致。概括來說,一(yi)(yi)個投(tou)(tou)資(zi)(zi)資(zi)(zi)產(chan)的(de)可變現(xian)(xian)能力由以下主要因素共同決定(ding):
1.每(mei)日(ri)成交量(liang):是指(zhi)該資產在市場交易過程中平均(jun)每(mei)日(ri)成交量(liang)。資產的每(mei)日(ri)成交量(liang)越大(da),則(ze)該資產變現的規模(mo)越大(da)。
2.價格波(bo)動(dong)水平:是指該資產(chan)在交易(yi)過程中的價格平均波(bo)動(dong)性,其直(zhi)接影響(xiang)交易(yi)價格,繼(ji)而影響(xiang)可(ke)變(bian)現規模。
3.買入/賣出價(jia)差(cha):是指該資(zi)產(chan)在市場交易過程中平均(jun)買方(fang)與賣方(fang)的(de)價(jia)差(cha)。當市場流動性不佳時,資(zi)產(chan)的(de)交易價(jia)差(cha)擴大。為了盡(jin)快(kuai)將(jiang)資(zi)產(chan)變現,不得不接(jie)受更(geng)低(di)的(de)資(zi)產(chan)交易價(jia)格。
4.交易(yi)期(qi)限:是指由賣(mai)家(jia)愿意接受的交易(yi)天數,當市場流動性不佳時(shi),往往需要(yao)延長交易(yi)期(qi)限才能達(da)成指定的變(bian)現(xian)(xian)規模(mo)。換(huan)言(yan)之,在單位時(shi)間內(nei),資產的變(bian)現(xian)(xian)規模(mo)將(jiang)減少。
友邦人(ren)壽采用LQA作(zuo)為固(gu)定(ding)收益資產(chan)的流(liu)動性(xing)衡(heng)量工(gong)具(ju),基(ji)于市(shi)場實際交易情(qing)況動態(tai)預估每項資產(chan)的可變現總金(jin)額和可變現時間,提升流(liu)動性(xing)風險(xian)評估的準確(que)性(xing)。
六、流動性應急計劃
除了流(liu)(liu)動(dong)性(xing)(xing)(xing)充足性(xing)(xing)(xing)評估外,流(liu)(liu)動(dong)性(xing)(xing)(xing)應急計劃(hua)是壽(shou)險公司(si)管理流(liu)(liu)動(dong)性(xing)(xing)(xing)風險的(de)(de)(de)另一重要工具(ju)(ju)。預(yu)防性(xing)(xing)(xing)地制定(ding)應急計劃(hua)使公司(si)管理層能(neng)有充分的(de)(de)(de)時間(jian)了解(jie)各(ge)類流(liu)(liu)動(dong)性(xing)(xing)(xing)應急措(cuo)施(shi)的(de)(de)(de)關鍵信息(變現(xian)確定(ding)度、變現(xian)速度、變現(xian)量等),以(yi)此(ci)為基礎權(quan)衡利弊,制定(ding)各(ge)類工具(ju)(ju)的(de)(de)(de)優先級(ji)及適用場景。流(liu)(liu)動(dong)性(xing)(xing)(xing)應急計劃(hua)的(de)(de)(de)主要手(shou)段包括擴(kuo)展、獲(huo)(huo)取(qu)(qu)應急流(liu)(liu)動(dong)性(xing)(xing)(xing)來(lai)源,壓縮流(liu)(liu)動(dong)性(xing)(xing)(xing)需(xu)求。獲(huo)(huo)取(qu)(qu)應急流(liu)(liu)動(dong)性(xing)(xing)(xing)來(lai)源,可以(yi)通過(guo)以(yi)下(xia)形式:
● 提早收(shou)回定期存(cun)款(kuan)
● 提高現金儲(chu)備
● 申請提(ti)高回購(gou)計劃的(de)金額上限
● 出售(shou)基金(jin)、股(gu)票(piao)等權益性資產(chan)
● 增添臨時(shi)性融資
壓(ya)縮流動性需求,可以(yi)通過以(yi)下(xia)形式(shi):
● 延緩關聯方付款
● 與外部供應商(shang)重新協(xie)商(shang)付款條件
● 調(diao)整資產購(gou)買計劃
友邦人壽在(zai)(zai)制定流動(dong)性(xing)應急(ji)計劃時,針(zhen)對(dui)每(mei)一項應急(ji)措施進行(xing)內外部流程(cheng)梳(shu)理,明確關鍵限制條件及審(shen)批環節(jie)等(deng),使(shi)相(xiang)關部門能夠在(zai)(zai)緊急(ji)情況下,有條不紊地按管理層(ceng)指令(ling)與既(ji)定流程(cheng)使(shi)用相(xiang)應工具,應對(dui)流動(dong)性(xing)風險。
流動性(xing)應急計劃(hua)是(shi)確保(bao)友(you)邦在公司自身危機或出現市場整體危機時(shi),仍能保(bao)持足夠(gou)的(de)流動性(xing),保(bao)證(zheng)持續經營能力和核(he)心業務(wu)不受影響,待安全度過(guo)流動性(xing)緊縮的(de)困境(jing)后,再(zai)有序恢復到流動性(xing)常態化管(guan)理的(de)過(guo)程中。
七、總結
流(liu)(liu)動性(xing)(xing)(xing)(xing)風(feng)險(xian)對(dui)于壽險(xian)行(xing)(xing)業來說(shuo),是(shi)一個低(di)概(gai)率、高(gao)影響的(de)尾(wei)部事(shi)件。壽險(xian)公(gong)司在(zai)現有基礎(chu)流(liu)(liu)動性(xing)(xing)(xing)(xing)風(feng)險(xian)管理(li)框(kuang)架之(zhi)上,應考慮進一步提升(sheng)流(liu)(liu)動性(xing)(xing)(xing)(xing)風(feng)險(xian)管理(li)有效性(xing)(xing)(xing)(xing),包括:完善權責一致的(de)風(feng)險(xian)治理(li)架構、建立與(yu)公(gong)司戰略相符的(de)流(liu)(liu)動性(xing)(xing)(xing)(xing)風(feng)險(xian)容忍度及(ji)限(xian)額、使用量化(hua)模型(xing)全面準確(que)地(di)(di)識別與(yu)評估(gu)流(liu)(liu)動性(xing)(xing)(xing)(xing)風(feng)險(xian)敞口、預(yu)防性(xing)(xing)(xing)(xing)地(di)(di)制定(ding)流(liu)(liu)動性(xing)(xing)(xing)(xing)應急計(ji)劃,從(cong)決策機制及(ji)實施(shi)流(liu)(liu)程出發確(que)保應急措施(shi)的(de)可執行(xing)(xing)性(xing)(xing)(xing)(xing)。
① General American Life Insurance Company
② Bloomberg
[作者簡(jian)介] 吳(wu)浩禮,友(you)(you)邦(bang)人(ren)壽保(bao)險有限(xian)(xian)公(gong)司首席財務(wu)官;孫(sun)磊,友(you)(you)邦(bang)人(ren)壽保(bao)險有限(xian)(xian)公(gong)司稅務(wu)及資(zi)金管(guan)理(li)(li)部負責(ze)(ze)人(ren);鄭毅捷,友(you)(you)邦(bang)人(ren)壽保(bao)險有限(xian)(xian)公(gong)司風(feng)險管(guan)理(li)(li)部負責(ze)(ze)人(ren)。