基于国债期货的我国商业银行利率风险管理研究

发布时间：2018-03-26 16:44

  本文选题：利率市场化　切入点：国债期货　出处：《东华大学》2017年硕士论文

【摘要】：国债期货是指交易双方通过有组织的交易所约定在未来某一特定的时间,以事先确定的价格进行特定国债交割的合约,是一种用于规避利率风险的衍生品。国外运用利率衍生工具管理利率风险的研究已较为成熟,但由于中国商业银行的利率长期处于管制状态,因此普遍缺乏利率风险管理意识。二十世纪九十年代,我国曾推出国债期货,但不久即被关停,因此相关研究主要集中于国债期货试点失败的经验和教训上。随着利率市场化推进,国内的研究主要集中在利率风险衡量上。在关闭国债期货市场之后,我国长期缺乏相关利率衍生工具,因此运用衍生工具管理利率风险的研究较少,重新推出的国债期货为我国商业银行提供了有效的利率风险管理工具,且随着我国存贷款利率的完全放开,利率市场化改革的基本完成,进行运用国债期货管理商业银行利率风险的研究十分迫切,本文在此背景下进行了相关的研究。研究的路径从文献研究出发,从国外的文献可以看出,对于利率风险管理,学者提出的利率期限结构、久期缺口、凸度、敏感性缺口等理论和方法都得到了普遍的应用。对于国债期货国外大多数的研究集中在国债期货定价方面。对于国内的文献,通过对利率风险管理方法、国债期货与现货相关性以及运用国债期货进行利率风险管理三个方面进行了梳理,为进一步的理论与实证分析做铺垫。在此基础上,对利率期限结构、利率风险分类、利率风险管理理论进行了深入分析,为之后的利率风险度量打下基础。同时对国债期货套期保值等功能以及国债期货的最便宜可交割债券相关理论进行了相应分析,目的是为计算国债期货久期和基点价值提供理论依据。进而结合利率风险管理理论,在实践层面通过国债期货运用使商业银行免受利率风险影响。本文主要运用定性和定量的方法,对国债期货管理利率风险进行研究。首先,选取我国主力5年期国债期货合约上市以来的每日收盘价以及与其对应的最便宜可交割债券收盘价,运用单位根检验、协整分析等定量分析方法,证明了我国的5年期国债期货收盘价和与之对应的最便宜可交割债券经转换的收盘价之间存在长期均衡关系,因此可以用最便宜可交割债券的久期求得国债期货的久期;然后选取了银行间债券市场中相对较为活跃的24只国债,根据其在2015年12月31日的收盘价,运用样条函数求得在该日的利率期限结构;最后选取工商银行的2015年度财务报告中相关资产负债和期限的数据,结合求得的利率期限结构,计算资产负债的F-W久期,得出银行的资产负债久期缺口,为了更加精确地衡量利率风险,同时计算出凸度缺口,利用国债期货将缺口调节为零,使银行免受利率风险的影响;最后,通过结合实际分析,本文还为我国商业银行运用国债期货管理利率风险提出相应的建议。
[Abstract]:Treasury bond futures are contracts in which both parties agree, through an organized exchange, to deliver a specific national debt at a predetermined price in the future at a particular time in the future. It is a kind of derivative used to avoid interest rate risk. The research on using interest rate derivatives to manage interest rate risk has been mature in foreign countries, but the interest rate of Chinese commercial banks has been under control for a long time. As a result, there is a general lack of interest rate risk management awareness. In the 1990s, China introduced treasury bond futures, but was soon shut down. Therefore, the related research mainly focuses on the experiences and lessons of the failure of the national debt futures pilot project. With the marketization of interest rate, the domestic research mainly focuses on the measurement of interest rate risk. After closing the treasury bond futures market, Because of the lack of relevant interest rate derivatives in China for a long time, there is less research on the use of derivatives to manage interest rate risk, and the re-launched treasury bond futures provide effective interest rate risk management tools for Chinese commercial banks. With the complete liberalization of deposit and loan interest rates in China and the completion of market-oriented interest rate reform, it is urgent to study the use of treasury bonds futures to manage the interest rate risk of commercial banks. Under this background, this paper has carried on the related research. The path of the study starts from the literature research, from the foreign literature can see, for the interest rate risk management, the scholar proposed the interest rate term structure, the duration gap, the convexity, the interest rate risk management, the interest rate term structure, the duration gap, the convexity, The theories and methods of sensitivity gap have been widely applied. Most of the researches on treasury bond futures are focused on the pricing of bond futures. For the domestic literature, through the interest rate risk management method, The correlation between treasury bond futures and spot and the use of treasury bond futures to manage interest rate risk are combed in order to pave the way for further theoretical and empirical analysis. On this basis, the paper classifies the term structure of interest rate and the risk of interest rate. The theory of interest rate risk management is deeply analyzed, which lays the foundation for the measurement of interest rate risk. At the same time, it analyzes the function of treasury bond futures hedging and the theory of the cheapest deliverable bond. The purpose of this paper is to provide a theoretical basis for calculating the duration and basis point value of national debt futures, and then combine the theory of interest rate risk management. In practice, commercial banks are protected from interest rate risk through the use of treasury bond futures. This paper mainly uses qualitative and quantitative methods to study the interest rate risk management of national debt futures. Selecting the daily closing price of China's main 5-year treasury bond futures contract and the closing price of the cheapest deliverable bond corresponding to it, using the quantitative analysis methods such as unit root test, cointegration analysis, etc. It is proved that there is a long-term equilibrium relationship between the closing price of China's 5-year Treasury bond futures and the exchange price of the cheapest deliverable bond, so the duration of the bond futures can be obtained by using the duration of the cheapest deliverable bond. Then we select 24 treasury bonds which are relatively active in the interbank bond market. According to their closing price on December 31, 2015, we use spline function to get the term structure of interest rate on that day. Finally, the F-W duration of assets and liabilities is calculated according to the term structure of interest rate, and the gap between asset and liability duration is obtained by selecting the data of assets, liabilities and maturity in the financial report of Industrial and Commercial Bank of China (ICBC) in 2015. In order to measure the interest rate risk more accurately and calculate the convex gap at the same time, the gap is adjusted to zero by using the national debt futures, so that the bank is not affected by the interest rate risk. Finally, by combining the actual analysis, This paper also puts forward corresponding suggestions for China's commercial banks to use treasury bond futures to manage interest rate risk.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5;F812.5;F832.33

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