基于国债期货的利率风险管理和交易策略的研究

发布时间：2018-06-20 00:34

本文选题：国债期货 + 利率风险　；参考：《复旦大学》2013年硕士论文

【摘要】：本论文撰写之时,正值中国金融期货交易所5年期国债期货上市之际,以期货公司的角度来看,继3年前中国金融期货交易所的沪深300股指期货上市之后,又一轮考验各期货公司综合实力的行业大战即将拉开序幕。当然,新的市场挑战也带来新的发展机遇,因此,积极展开对国债期货这一金融期货大品种的理论及应用研究是非常具有紧迫性和必要性的。本研究主要从市场情况概述、理论知识准备、应用方法说明以及实际案例分析这一脉络逐步深入进行,最后总结阐明研究对象对金融市场发展的影响和意义。文章总共由六个章节构成：第一章首先介绍国债期货在国际市场上的发展状况以及我国著名的327国债风波。由于国债期货是基于国债这一基础金融产品衍生而出的衍生产品,因此,第二章相应地介绍中国国债现货市场的发展及现状。第三、第四和第五章是本论文的重点研究内容。第三章围绕利率风险管理的理论基础展开,首先将目前金融市场理论和实际运用中最为重要的利率风险度量方法,包括久期、凸性和基点价值的原理与应用进行梳理,其次,在下章展开基于国债期货的利率风险管理方法研究之前,将目前金融机构现有的管理利率风险的缺口分析的方法进行对比介绍,突出其优势与局限性。第四章集中展开对基于国债期货的利率风险管理方法及交易策略的研究,从原理、方法以及优势与风险等方面逐一进行解释说明,主要针对性研究的应用策略包括规避利率风险的套期保值策略和追求稳定收益的套利交易策略。在接下去的第五章,就对本文所研究的策略理论基础和方法进行实证应用分析,采用欧美债券市场数据,对比锁定久期的套期保值方法与基于久期的择时对冲策略的效果之差异,并得出结论：运用国债期货这一金融衍生品工具,采用基于久期的对冲方法,在结合择时技术的操作之下,可以更好地管理债券投资标的的利率风险并获取投资回报。最后,第六章展望我国5年期国债期货的推出对金融市场以及市场参与机构所带来的深远影响和重要意义。
[Abstract]:At the time this thesis was written, when the 5-year Treasury bond futures were listed on the China Financial Futures Exchange, from the perspective of the futures companies, following the listing of the CSI 300 stock index futures on the China Financial Futures Exchange three years ago, Another round of test futures companies comprehensive strength of the industry war is about to start. Of course, new market challenges also bring new opportunities for development. Therefore, it is urgent and necessary to study the theory and application of treasury bond futures. This study is mainly carried out from the perspective of market situation, theoretical knowledge preparation, application method explanation and practical case analysis. Finally, it summarizes and illustrates the impact and significance of the research object on the development of financial market. This paper consists of six chapters: the first chapter introduces the development of national debt futures in the international market and the famous 327 national debt storm in China. Because treasury bond futures are derivatives derived from treasury bonds, the second chapter introduces the development and present situation of spot market of Chinese treasury bonds. The third, fourth and fifth chapters are the emphases of this thesis. The third chapter focuses on the theoretical basis of interest rate risk management. Firstly, the most important measurement methods of interest rate risk, including the principle and application of duration, convexity and base value, are introduced in the theory and practice of financial market. Secondly, In the next chapter, before the research of interest rate risk management method based on treasury bond futures, the current gap analysis methods of interest rate risk management in financial institutions are compared and introduced to highlight its advantages and limitations. The fourth chapter focuses on the research of interest rate risk management method and trading strategy based on treasury bond futures, explaining the principles, methods, advantages and risks one by one. The main applied strategies include hedging strategy to avoid interest rate risk and arbitrage trading strategy to pursue stable income. In the next chapter, the empirical analysis is made on the theoretical basis and methods of the strategy studied in this paper, and the European and American bond market data are used. This paper compares the effect of the hedging method of locking duration and the timing hedging strategy based on duration, and draws the conclusion: using treasury bond futures as a financial derivative tool, using the method of hedging based on duration, Under the operation of timing technology, we can better manage the interest rate risk of bond investment and obtain the return on investment. Finally, chapter six looks forward to the far-reaching impact and significance of the introduction of 5-year Treasury bond futures on the financial market and market participating institutions.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5;F812.5

【参考文献】