QDII海外投资风险管理问题研究

发布时间：2018-05-02 11:54

  本文选题：QDII机制 + 风险　； 参考：《武汉大学》2013年博士论文

【摘要】：QDⅡ (Qualified Domestic Institutional Investor,合格境内机构投资人)制度最早是由香港的财政部门所提出,和QFⅡ (Qualified Foreign Institutional Investor,合格境外机构投资人)及CDR (China Depository Share,中国存托凭证)类似,是在目前大陆实行的外汇兑换管制政策下,方便大陆资本市场对外投资的政策。即本国投资人在资本账户项目尚未完全开放的情况之下,对海外的资本市场实行投资。虽然这两年为了经济结构调整,我国政府主动放缓了经济增速,但总体上近十年我国对外贸易在国际收支上不断出现的顺差,产生外汇存底累计额度逐年增长。在这样的大背景下QDII制度的正式推出,主要的目的就是为了能对开放资本账户更跨出一大步,进而创造出更多的外汇需求,使人民币与国际汇率相较之下更加稳定、更加市场化与平衡,同时鼓励国内更多公司能够跨出国门,以进-步减少贸易顺差以及资本项目的盈余。其中最直接的优点便是让国内投资人方便透过这样的机制直接或间接参与国外的资本市场,进而可以获得到全球资本市场的投资回报率。这几年来,大量的外汇存底加上人民币升值的期待持续性地增大,造成对中国资本流出带来巨大的压力。政府有必要建立一种主动管理的投资管道的制度来引导这部分的资金对外流出。随着国内人民收入的不断增加投资外汇市场的需求上扬,资本账户的开放也自然成为必要的趋势,QDI工制度从这些角度都有一定的正面意义。 本文以资本市场开放的理论以及实践为出发点,深入地阐述了QDII制度的内涵、运作原理、背景和意义,运用理论分析和案例分析相结合的方式,总结了QDII投资境外市场的各种面临风险及相应的风险衡量与评估方法,从市场关联度、资产配置、风险监测、避险策略等角度深入系统地研究了QDII投资中的风险管理方法,进而通过资产的国际配置以及衍生品投资,在平稳投资风险的同时,获得相对优良的投资业绩,同时对风险内部机制、外部监管和法律防范模式进行了探讨。 本文按照理论、案例和对策研究的逻辑,分为八大部分,研究架构如下：第一章主要包括选题背景和研究意义,QDII制度的基本概念和其风险机制及管理的界定,国内外相关研究综述和本文的研究思路和方法。第二章QDII制度的理论基础、背景及实践的国际比较,包括QDII制度的运作原理及其影响、实施QDII制度的理论基础。第三章主要包括QDII政策发展历史、QDII制度发展历程、QDII发展的现状、中国QDII投资风格分析、QDII基金失败的原因分析、QDII基金的治理措施以及不同国家及地区实施QDII制度的比较等。第四章主要通过分析银行和基金公司的实际案例来说明目前QDII业务发展过程中存在的实际问题和对策研究。第五章主要结合风险管理中的理论研究,分别从市场风险、汇率风险、国家风险和信用风险等角度全面阐明在国际投资中如何识别不同的风险暴露,以及运用风险模型控制不同类别的风险。第六章介绍了在国际资产配置下,运用改进的资产组合构建方式详细说明了分散化投资能够显著地起到分散风险,提高组合收益的结果,同时基于人民币汇率升值对QDII持有人投资者收益的影响,针对国内基金公司在QDII海外投资中所面临的外汇风险,提出了利用衍生品来进行风险对冲的方法。第七章主要对QDII风险内控机制和外控机制的建立和完善提供了一些思路,为国内QDII管理人进行海外投资管理以及后续的产品开发提供借鉴。第八章主要是总结和展望,QDI工作为我国金融领域的一大创新,由于其一系列优点,必将成为我国投资海外的未来趋势。为了更好地提高QDII在海外市场的风险管理和投资收益能力,本文认为在其市场风险管理和内控机制方面需要准确识别各类市场风险,并建立风险监控和预测系统,合理进行汇率风险管理,并择时进行国际资产配置,分散风险并获得全球收益,建立和完善内部控制。
[Abstract]:The system of QD II (Qualified Domestic Institutional Investor, qualified domestic institutional investor) was first proposed by the financial department of Hongkong, similar to QF II (Qualified Foreign Institutional Investor, qualified overseas institutional investors) and CDR (China certificate, Chinese depository certificate), and is a foreign exchange implemented in the current continent. Under the policy of exchange control, the policy of foreign investment in the capital market is convenient for the mainland. That is, the domestic investors invest in the overseas capital market under the condition that the capital account project has not been fully open. Under the background of the balance of payments, the cumulative amount of foreign exchange deposits has increased year by year. Under such a background, the main purpose of the QDII system is to create more foreign exchange demand to open the capital account, and to make the people's currency more stable and more municipal in comparison with the international exchange rate. The most direct advantage of this is to allow domestic investors to facilitate direct or indirect participation in foreign capital markets through such a mechanism, and then to gain a return on investment in the global capital market. In recent years, the expectation of a large number of foreign exchange deposits and the appreciation of RMB continues to increase, resulting in great pressure on the outflow of capital in China. It is necessary for the government to establish an active management investment pipeline system to guide the outflow of this part of the capital. Seeking to rise and opening capital account also become a necessary trend. The QDI system has certain positive significance from these angles.
Based on the theory and practice of the opening of capital market, this paper expounds the connotation, operation principle, background and significance of the QDII system, and uses the combination of theoretical analysis and case analysis to summarize the risk assessment and evaluation methods of QDII investment overseas market, from the market relevance and assets. The methods of risk management in QDII investment are systematically studied in the aspects of configuration, risk monitoring and risk avoidance strategy. Through the international allocation of assets and the investment of derivatives, the relative excellent investment performance is obtained at the same time of stable investment risk. At the same time, the internal mechanism of risk, external supervision and the mode of legal prevention are discussed.
This article is divided into eight parts according to the logic of theory, case and countermeasure research. The structure of the research is as follows: the first chapter mainly includes the background and significance of the topic, the basic concept of the QDII system and the definition of its risk mechanism and management, the domestic and foreign related research review and the research ideas and methods of this paper. The theoretical basis of the second chapter QDII system, The international comparison of the background and practice, including the operation principle of the QDII system and its influence, and the theoretical basis of the implementation of the QDII system. The third chapter mainly includes the history of the development of the QDII policy, the development of the QDII system, the present situation of the development of QDII, the analysis of the QDII investment style in China, the reasons for the failure of the QDII fund, the governance measures of the QDII fund and the different countries. The fourth chapter mainly analyzes the actual problems and Countermeasures in the process of QDII business development by analyzing the actual cases of banks and fund companies in the fourth chapter. The fifth chapter mainly combines the theoretical research in risk management, from the market risk, the exchange rate risk, the national risk and the credit risk, respectively. It illustrates how to identify different risk exposures in international investment and how to use risk models to control different types of risk. In the sixth chapter, under the international asset allocation, an improved portfolio construction method is introduced in detail that decentralized investment can significantly increase the risk of decentralization and increase the results of portfolio returns. Based on the effect of RMB exchange rate appreciation on the earnings of QDII holders, this paper puts forward the method of using derivatives to hedge risk in view of the foreign exchange risks faced by domestic fund companies in QDII overseas investment. The seventh chapter mainly provides some ideas for the establishment and improvement of QDII risk internal control mechanism and external control mechanism, for domestic Q DII managers provide reference for overseas investment management and subsequent product development. The eighth chapter is mainly a summary and prospect. QDI work is a major innovation in our financial field. Due to a series of advantages, it will become the future trend of China's investment overseas. In order to better improve the risk management and investment income of QDII in the overseas market Ability, this paper thinks that the market risk management and internal control mechanism need to identify all kinds of market risk accurately, establish risk monitoring and forecasting system, manage the exchange rate risk reasonably, carry out international asset allocation, disperse risk and gain global income, establish and perfect internal control.

【学位授予单位】：武汉大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.5;F830.42
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本文编号：1833767