我国银行间债券市场套利研究及其风险管理

发布时间：2018-02-21 22:07

本文关键词： 银行间债券市场跨市场套利跨品种套利跨期套利风险管理　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：我国银行间债券市场成立于1997年,经过十多年的发展,已经形成了规范的机构间场外市场,是我国债券市场的主体,在我国金融市场体系中扮演着举足轻重的角色。我国银行间债券市场已经成为实施货币政策与财政政策的重要平台,中央银行进行公开市场操作、发行央票对冲流动性、国库现金管理及财政部发行国债等都是借助于银行间债券市场进行的；我国银行间债券市场正在成为优化资源配置、推动国民经济又好又快发展的重要渠道,各类融资性产品的推出,直接扩大了企业的直接融资；我国银行间债券市场也是市场主体进行资产负债管理的重要场所,金融债券产品和资产证券化为商业银行进行资产负债结构调整提供了更多的选择。本文讨论的套利指的是广义上的套利,即需要部分初始投入,且交易并非完全无风险,投资者利用市场的失效,对价格发生偏离的两种(或多种)证券(或组合)或在不同市场的同种证券进行相反操作,扣除交易成本,受自身资金实力和市场交易制度和程序限制,并承担流动性风险、交易对手风险、市场风险等多种不确定性的情况下,获得正收益的过程。套利交易有助于提高银行间债券市场的效率和流动性,促进市场走向成熟和理性,推动市场创新,也可以为投资者提供更多盈利机会。本文先从发展历程、运行机制等方面对我国银行间债券市场做了概述,然后以市场主体的角度,探究了我国银行间债券市场中可能存在的跨市场套利、跨品种套利和跨期套利机会。先通过理论知识建立模型,再使用国债、金融债和企业债及其组合为样本验证了它们的可行性,同时对收益进行了测算。这三种套利模式都依赖于投资者的专业知识和准确判断,依赖于完善的套利模型和机制,也依赖于对风险的识别和管理,因此本文还对我国银行间债券市场套利的主要风险——利率风险、流动性风险、信用风险和操作风险做了说明,罗列了当前已有的风险控制机制,并为市场未来提高风险管理水平提出了建议,最后站在投资者的角度提出交易建议。本文认为以上三种套利机会在我国银行间债券市场是存在的,但不同的套利模式适合不同特征的投资者,市场主体可依据自身风险承受能力、能力范围、资金来源与实力、投资期限、投资目的等选择适合自己的套利方式,同时需注意管理风险,在自身获利的同时,也提高了市场的有效性和流动性。
[Abstract]:China's inter-bank bond market was established in 1997. After more than a decade of development, it has formed a standardized inter-institutional over-the-counter market and is the main body of China's bond market. China's inter-bank bond market has become an important platform for the implementation of monetary and fiscal policies. The central bank conducts open market operations and issues central bank notes to hedge liquidity. The treasury cash management and treasury bonds issued by the Ministry of Finance are all carried out with the help of the interbank bond market, and the interbank bond market in China is becoming an important channel for optimizing the allocation of resources and promoting the sound and rapid development of the national economy. The introduction of various financing products has directly expanded the direct financing of enterprises, and the interbank bond market in China is also an important place for market participants to manage their assets and liabilities. Financial bond products and asset securitization provide more options for commercial banks to adjust their asset-liability structure. Arbitrage in this paper refers to arbitrage in a broad sense, that is, it requires some initial input, and the transaction is not completely risk-free. Investors take advantage of market failures to deduct transaction costs from two (or more) securities (or combinations) or the same securities in different markets where the price deviates, Being restricted by their own capital strength and market trading systems and procedures, and assuming liquidity risks, counterparty risks, market risks and other uncertainties, Arbitrage trade helps to improve the efficiency and liquidity of the interbank bond market, promote market maturity and rationality, promote market innovation, and provide more profit opportunities for investors. This paper summarizes the interbank bond market in China from the aspects of operation mechanism, and then probes into the possible cross-market arbitrage in China's interbank bond market from the perspective of the market main body. Cross-variety arbitrage and intertemporal arbitrage opportunities. The model is established through theoretical knowledge, and then the feasibility of these models is verified by using treasury bonds, financial bonds and corporate bonds and their combinations as samples. These three arbitrage models depend on the investors' expertise and accurate judgment, on the perfect arbitrage models and mechanisms, and on the identification and management of risks. Therefore, this paper also describes the main risks of arbitrage in China's interbank bond market-interest rate risk, liquidity risk, credit risk and operational risk, and lists the existing risk control mechanisms. The paper also puts forward some suggestions for improving the risk management level of the market in the future, and finally puts forward the trading suggestions from the perspective of investors. This paper holds that the above three arbitrage opportunities exist in the interbank bond market of our country. However, different arbitrage models are suitable for investors with different characteristics. Market subjects can choose their own arbitrage methods according to their own risk bearing capacity, ability range, capital source and strength, investment duration, investment purpose, etc. At the same time, attention should be paid to risk management, in their own profits, but also improve the effectiveness and liquidity of the market.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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