哈尔滨银行债券投资组合策略研究

发布时间：2018-01-17 18:35

本文关键词：哈尔滨银行债券投资组合策略研究　出处：《哈尔滨工业大学》2012年硕士论文　论文类型：学位论文

【摘要】：债券市场是金融市场的重要组成部分，也是一个国家和企业融资的主要渠道，一直以来受到世界各国的高度重视和支持。我国于1981年恢复国债发行以来，债券市场得到了长足发展。目前中国债券市场的格局是银行间债券市场为主要市场，交易所，银行柜台市场为补充。债券品种、发行主体、交易形式都得到了极大的发展。银行间债券市场的形成，给市场成员投融资创造了极大的便利条件，为市场成员调整资产结构、扩大投资渠道、分散资产风险拓展了空间。同时，也增强了资金的流动性，提高了资金的使用效率。目前债券投资业务已经成为金融机构三大资产业务之一，在经营中发挥着至关重要的作用。然而影响债券的市场价格和实际收益率的因素很多，诸如国家宏观经济政策和外部环境因素这些都使得债券投资者的收益不断发生变化，从而使债券投资者面临各种风险，因此如何选择债券投资组合策略是债券投资首要解决的问题。本文通过对国外债券投资组合研究发展历程、我国同业拆借市场、债券市场、哈尔滨银行债券投资业务发展现状的论述，，指出目前哈尔滨银行债券投资业务中存在的主要问题，在此基础之上对哈尔滨银行债券投资组合策略选择、债券投资组合风险控制行了研究。在投资组合策略选择方面，通过对债券价值的分析和债券投资在资产负债管理中的作用，提出了积极的债券投资组合策略和消极的债券投资组合策略；在投资风险控制方面，通过对债券的久期和凸性的计算，判断利率变化对投资收益率的敏感程度，为提高债券投资收益和有效规避投资风险提供了很好的分析工具。
[Abstract]:The bond market is an important part of the financial market, as well as the main channel of financing for a country and an enterprise, which has been highly valued and supported by countries all over the world. The bond market has developed rapidly. At present, the pattern of the bond market in China is that the interbank bond market is the main market, the exchange market and the bank over-the-counter market are supplementary. The formation of the interbank bond market has created great convenience for market members to invest and finance, for market members to adjust the structure of assets and expand investment channels. Diversification of asset risk has expanded the space. At the same time, it has also enhanced the liquidity of funds and improved the efficiency of the use of funds. At present, bond investment business has become one of the three major asset businesses of financial institutions. Plays a vital role in the operation. However, there are many factors that affect the market price and real yield of bonds. Such as national macroeconomic policies and external environmental factors all make bond investors' returns constantly change, which makes bond investors face various risks. Therefore, how to choose the strategy of bond portfolio is the most important problem for bond investment. This paper discusses the development history of foreign bond portfolio, the interbank lending market, bond market, and the development of Harbin bank bond investment business. This paper points out the main problems existing in the bond investment business of Harbin Bank, and on the basis of this, chooses the strategy of the bond portfolio of Harbin Bank. This paper studies the risk control of bond portfolio. In the aspect of portfolio strategy selection, it analyzes the value of bonds and the role of bond investment in asset and liability management. Put forward the positive bond portfolio strategy and negative bond portfolio strategy; In the aspect of investment risk control, the sensitivity of interest rate change to investment yield is judged by calculating the duration and convexity of bonds. It provides a good analysis tool for improving bond investment return and effectively avoiding investment risk.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.2;F832.51

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