近几年随着债券规模提升，债券质押式回购规模和单日回购发生额屡创新高，但同时债 券杠杆率逐渐出现上涨趋势。在杠杆率上涨的情况下，又遇上债券市场的违约潮，债券质 押式回购杠杆交易的风险也逐渐凸显。因此，本文以 G 证券公司债券质押式回购交易的风 险控制为研究背景，希望通过对此进行专题研究，分析 G 证券公司目前风险管理控制上存 在的问题，并尝试对现有业务模式和风险管理流程提出建议，为 G 证券公司后续风险管理 提供指导意见，同时为我国债券风险管理提供一些改进思路。 本文采用比较分析法、案例分析法等研究方法，拟结合 G 证券公司遇到的风险事件来 分析 G 证券公司风险预防、风险监控、风险发生后应急处理三个阶段存在的问题，并进行 详细的问题分析，最后提出以下的风险改进措施，第一、建立全面风险预防机制，引导全 员重视风险识别并建立风险控制为导向的绩效考核，区别对待产品户，提高投资者风险认 识等；第二、完善风险监控机制，赋予证券公司二次定价权，提高债券质押率公布的即时 性，提出了基于证金公司作为质押对手方的债券质押新模式；第三、建立平仓机制，比较 分析了期货平仓机制，提出了符合债券质押式回购业务模式的平仓模式；第四、降低债券 本身风险，需提高核准要求并提高信披质量。 本文旨在降低 G 证券公司债券质押式回购交易业务的风险，完善国内债券市场制度， 促进我国债券市场乃至证券市场的长期健康发展。 关键词，债券质押回购;杠杆交易;风险防范; IAbstract In recent years, with the increase in bond market size, bond pledge repo transaction volume has hit record highs, but at the same time the bond pledge repo leverage has gradually increased. In the case of rising leverage, and in the wake of the default in the bond market, the risk of bond pledged repo trading is also becoming risky. Therefore, this paper takes the risk control of G securities company bond pledged repo leverage trading as the research background, and hopes to conduct a special study to analyze the problems existing in G securities company's current risk management control, and try to the existing business model and The risk management process makes recommendations to provide guidance for the follow-up risk management of G Securities, and provides some improvement ideas for China's bond risk management. This paper uses comparative analysis method, case analysis method and other research methods, and intends to analyze the problems existing in the three stages of risk prevention, risk monitoring and emergency treatment. Based on the detailed problem analysis, and finally put forward the following risk improvement measures: First, establish a comprehensive risk prevention mechanism: guide all employees to pay attention to risk identification and establish risk control-oriented performance appraisal, treat product households differently, and raise investor risk awareness; Second, improve the risk monitoring mechanism: give the securities company the pricing power, improve the immediacy of the bond pledge rate announcement, and propose a new model of bond pledge based on the securities company as the pledge counterparty; third, establish a offset mechanism: compare It analyzes the futures offset mechanism and proposes a closing mode that conforms to the bond pledged repo offset model. Fourth, to reduce the risk of the bond, it is IInecessary to improve the approval requirements and improve the quality of approval. The purpose of this paper is to reduce the risk of G securities company bond pledged repo trading business, improve the domestic bond market risk management level, and promote the long-term healthy development of China's bond market . Keywords: Bond Pledged Repo;Leveraged Trading;Risk prevention III目录 摘要 ............................................................................................................................................ I Abstract ..................................................................................................................................... II 第一章 绪论.................................................................................................................................... 1 1.1 选题背景及研究意义..........................................................................................................................................1 1.1.1 我国债券行业历史与现状..........................................................................................................................1 1.1.2 我国债券行业发展与风险..........................................................................................................................2 1.1.3 研究意义......................................................................................................................................................3 1.2 国内外研究现状..................................................................................................................................................4 1.2.1 国外研究现状..............................................................................................................................................4 1.2.2 国内研究现状..............................................................................................................................................5 1.2.3 现有研究的总结，不足之处......................................................................................................................7 1.3 论文研究内容及研究方法..................................................................................................................................8 1.3.1 研究主要内容..............................................................................................................................................8 1.3.2 研究主要方法..............................................................................................................................................8 1.4 本文创新点..........................................................................................................................................................9 1.5 论文框架..............................................................................................................................................................9 1.6 本章小结............................................................................................................................................................10 第二章 行业背景..........................................................................................................................11 2.1 债券质押回购发展回顾....................................................................................................................................11 2.1.1 债券质押回购历史....................................................................................................................................11 2.1.2 债券质押回购现状....................................................................................................................................12 2.2 债券质押回购使用杠杆方式............................................................................................................................13 2.3 债券质押回购业务风险点................................................................................................................................13 2.4 债券质押回购行业概述....................................................................................................................................15 2.5 本章小结............................................................................................................................................................15 第三章 现状及问题......................................................................................................................16 IV3.1G 证券公司的基本情况......................................................................................................................................16 3.2G 证券公司债券质押回购开展情况..................................................................................................................16 3.3G 证券公司债券质押回购风控现状................................................................