中小银行债券投资决策机制与分析模型
发布时间：2018-11-11 13:31
【摘要】：目前,债券投资业务是国内商业银行除存贷款之外的主要业务之一,但商业银行普遍以存贷款业务为主,对债券投资业务重视程度不够,管理较粗放,风险较大。随着我国利率市场化进程的加快,商业银行必须改变传统的以存贷利差为主要利润来源的盈利模式,而发展债券投资业务将是主要选择之一。作为国内银行业的重要组成部分,中小银行同样面临这一挑战,而且更需尽快将债券投资业务发展提上议事日程。因此,研究中小银行债券投资问题,对中小银行改进管理、实现业务转型具有重要意义。 本文围绕中小银行债券投资问题,重点从决策机制和分析模型两方面进行了深入研究。全文共分五部分：第一部分介绍了中小银行债券投资研究的背景和意义,以及国内外研究现状；第二部分概述了中小银行债券投资业务的基本情况,分析了中小银行债券投资的特点、功能、做法和目前存在的问题、风险：第三部分从实务的角度研究了中小银行债券投资的决策机制建设。针对当前中小银行债券投资决策机制存在的问题,结合债券投资特点和国内国际同业经验,分别设计了中小银行债券投资的资源配置机制、决策组织架构和绩效考核机制；第四部分从定性、定量两方面研究了宏观经济因索对中小银行债券投资收益的影响。在从宏观经济指标、经济政策和债券市场资金面三方面研究经济变量对债券投资收益影响的定性分析基础上，，利用因子分析和主成分分析方法构建了债券投资收益的宏观经济计量模型；第五部分从投资策略分析角度,引入久期约束、用下半方差作为风险度量,构建了基于利率风险和流动性风险管理的中小银行债券投资组合优化模型。在理论上分析了模型最优解的存在性,证明了模型具有全局最优解；依据模型的随机属性,构造了求解模型的蒙特卡罗罚函数算法并证明了算法的收敛性,给出了相应的数值算例。文章最后总结了本文主要的研究结论,探讨了研究的局限性和进一步研究的扩展方向。 本文的特色及创新之处,一是从实务角度研究了中小银行债券投资的决策机制建设,为中小银行债券投资提供了规范的运作模式；二是从定性和定量两方面建立了中小银行债券投资宏观影响因素分析框架,建立了债券投资收益的宏观经济计量模型,以此为中小银行债券投资提供基本面分析的理论基础；三是研究了中小银行债券投资组合策略,建立了基于中小银行风险管理的债券投资组合优化模型,为中小银行债券投资提供了选择最优策略的科学方法和决策依据。
[Abstract]:At present, bond investment business is one of the main business of domestic commercial banks except deposit and loan, but commercial banks generally take deposit and loan business as the main business, pay less attention to bond investment business, manage extensively, and have greater risks. With the acceleration of the interest rate marketization process in China, commercial banks must change the traditional profit mode with deposit and loan interest margin as the main source of profits, and the development of bond investment business will be one of the main options. As an important part of domestic banking, small and medium-sized banks also face this challenge, and the development of bond investment business should be put on the agenda as soon as possible. Therefore, it is of great significance for small and medium banks to improve their management and realize business transformation. This paper focuses on the issue of bond investment in small and medium-sized banks, focusing on two aspects: decision mechanism and analytical model. The paper is divided into five parts: the first part introduces the background and significance of the research on the bond investment of small and medium-sized banks, as well as the current research situation at home and abroad; The second part summarizes the basic situation of bond investment business of small and medium-sized banks, analyzes the characteristics, functions, methods and existing problems of bond investment in small and medium-sized banks. Risk: the third part studies the decision-making mechanism of bond investment in small and medium-sized banks from the perspective of practice. In view of the problems existing in the decision-making mechanism of bond investment in small and medium-sized banks at present, combined with the characteristics of bond investment and the experience of domestic and international counterparts, the resource allocation mechanism, decision-making organization structure and performance appraisal mechanism of bond investment in small and medium-sized banks are designed respectively. The fourth part studies the impact of macroeconomic factors on bond investment returns of small and medium banks from qualitative and quantitative aspects. On the basis of qualitative analysis of the impact of economic variables on bond investment returns from the three aspects of macroeconomic indicators, economic policies and bond market funds, The macroeconomic econometric model of bond investment income is constructed by using factor analysis and principal component analysis. In the fifth part, from the point of view of investment strategy analysis, the paper introduces the duration constraint and uses the lower half variance as the risk measure to construct the optimization model of bond portfolio of small and medium-sized banks based on interest rate risk and liquidity risk management. The existence of the optimal solution of the model is analyzed theoretically, and the global optimal solution of the model is proved. According to the stochastic properties of the model, the Monte Carlo penalty function algorithm for solving the model is constructed, and the convergence of the algorithm is proved, and the corresponding numerical examples are given. Finally, this paper summarizes the main research conclusions, discusses the limitations of the study and further research direction. The characteristics and innovations of this paper are as follows: first, the paper studies the decision-making mechanism construction of bond investment in small and medium-sized banks from the perspective of practice, which provides a standard operation mode for bond investment of small and medium-sized banks; The second is to set up the analysis frame of macro-influencing factors of bond investment in medium and small banks from qualitative and quantitative aspects, and set up the macroeconomic econometric model of bond investment income, so as to provide the theoretical basis for the fundamental analysis of bond investment in small and medium-sized banks. Thirdly, the paper studies the bond portfolio strategy of small and medium-sized banks, and establishes the optimization model of bond portfolio based on risk management of small and medium-sized banks, which provides a scientific method and decision basis for selecting the optimal strategy for the bond investment of small and medium-sized banks.
【学位授予单位】：大连理工大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.33;F224
本文编号：2324977
[Abstract]:At present, bond investment business is one of the main business of domestic commercial banks except deposit and loan, but commercial banks generally take deposit and loan business as the main business, pay less attention to bond investment business, manage extensively, and have greater risks. With the acceleration of the interest rate marketization process in China, commercial banks must change the traditional profit mode with deposit and loan interest margin as the main source of profits, and the development of bond investment business will be one of the main options. As an important part of domestic banking, small and medium-sized banks also face this challenge, and the development of bond investment business should be put on the agenda as soon as possible. Therefore, it is of great significance for small and medium banks to improve their management and realize business transformation. This paper focuses on the issue of bond investment in small and medium-sized banks, focusing on two aspects: decision mechanism and analytical model. The paper is divided into five parts: the first part introduces the background and significance of the research on the bond investment of small and medium-sized banks, as well as the current research situation at home and abroad; The second part summarizes the basic situation of bond investment business of small and medium-sized banks, analyzes the characteristics, functions, methods and existing problems of bond investment in small and medium-sized banks. Risk: the third part studies the decision-making mechanism of bond investment in small and medium-sized banks from the perspective of practice. In view of the problems existing in the decision-making mechanism of bond investment in small and medium-sized banks at present, combined with the characteristics of bond investment and the experience of domestic and international counterparts, the resource allocation mechanism, decision-making organization structure and performance appraisal mechanism of bond investment in small and medium-sized banks are designed respectively. The fourth part studies the impact of macroeconomic factors on bond investment returns of small and medium banks from qualitative and quantitative aspects. On the basis of qualitative analysis of the impact of economic variables on bond investment returns from the three aspects of macroeconomic indicators, economic policies and bond market funds, The macroeconomic econometric model of bond investment income is constructed by using factor analysis and principal component analysis. In the fifth part, from the point of view of investment strategy analysis, the paper introduces the duration constraint and uses the lower half variance as the risk measure to construct the optimization model of bond portfolio of small and medium-sized banks based on interest rate risk and liquidity risk management. The existence of the optimal solution of the model is analyzed theoretically, and the global optimal solution of the model is proved. According to the stochastic properties of the model, the Monte Carlo penalty function algorithm for solving the model is constructed, and the convergence of the algorithm is proved, and the corresponding numerical examples are given. Finally, this paper summarizes the main research conclusions, discusses the limitations of the study and further research direction. The characteristics and innovations of this paper are as follows: first, the paper studies the decision-making mechanism construction of bond investment in small and medium-sized banks from the perspective of practice, which provides a standard operation mode for bond investment of small and medium-sized banks; The second is to set up the analysis frame of macro-influencing factors of bond investment in medium and small banks from qualitative and quantitative aspects, and set up the macroeconomic econometric model of bond investment income, so as to provide the theoretical basis for the fundamental analysis of bond investment in small and medium-sized banks. Thirdly, the paper studies the bond portfolio strategy of small and medium-sized banks, and establishes the optimization model of bond portfolio based on risk management of small and medium-sized banks, which provides a scientific method and decision basis for selecting the optimal strategy for the bond investment of small and medium-sized banks.
【学位授予单位】：大连理工大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.33;F224
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