随着我国经济的发展、社会的进步，债券市场也得到了蓬勃的发展。债券市 场已成为金融市场的重要组成部分，市场上通过债券的发行和流通来实现社会资 源的有效配置。 截至2018年12月底，我国债券市场余额达到86万亿①，在全球债券市场排 第三位，仅次于美国及日本。在我国债券市场快速发展的同时，也伴随着相应的 风险。自2014年“11超日债”发生违约以来，我国债券市场上违约频发，各私 募资产管理机构对风险管理的认知有了进一步的提升。深圳市后海资本管理有限 公司在近几年的债券投资实务中也遭遇了相关违约事件。 本文以后海资本公司债券投资业务展开研究，将本人在兰州大学求学期间所 学到的风险管理理论知识，应用在对后海资本公司债券投资业务的风险管理的研 究上。结合全面风险管理理论及过程，本文通过对后海资本公司资产管理业务发 展现状、债券投资情况进行剖析，对后海资本公司债券投资业务的市场风险、违 约风险、流动性风险、操作风险进行全面地识别，总结其在债券投资过程中存在 的风险管理问题，并针对这些问题提出优化方案。同时本文亦对风险管理优化方 案进行了评价并提出了相应的实施保障措施。债券投资业务的风险管理优化方案， 旨在解决后海资本公司在债券投资方面的各类风险问题，不仅对后海资本公司有 重要的实践意义，同时也对基金子公司开展债券投资业务提供了积极的借鉴意义。 关键词：债券，投资，风险管理，优化 ① 本文债券规模数据单位若无特别注明，均指人民币。 EMBA学位论文 作者：叶显奎 后海资本公司债券投资业务风险管理优化方案研究 II RESEARCH ON RISK MANAGEMENT OF BOND INVESTMENT IN HOUHAI CAPITAL MANAGEMENT CO., LTD. Abstract With the development of China's economy and society, the bond market has developed vigorously as well. The bond market has become an important component of the financial market, which optimized the asset allocation through the issuance and circulation of bonds. By the end of December 2018, the balance of China's bond market had reached CNY 86 trillion, become the third biggest bond market in the world, behind the United States and Japan. With the rapid development of China's bond market, there are also corresponding risks. Since the default of "11 super day Bond" in 2014, there have been frequent defaults in China's bond market, and the awareness of private asset management institutions on risk management has been promoted. In recent years, Shenzhen Houhai Capital Management Co., Ltd. has also encountered relevant default events during the bond investment program. In this paper, the research on the bond investment business of Houhai capital company will be carried out. The methodologies of risk management that I have learned during my study in Lanzhou University will be applied to the research combined with the theory and the process of comprehensive risk management, this paper analyzes the current situation of the asset management and the bond investment of Houhai capital company, comprehensively identifies the market risk, default risk, liquidity risk and operational risk of the bond investment activities of Houhai capital company, summarizes the existing risk management issues in the bond investment process, and proposes the optimization scheme. Meanwhile, this paper also evaluates the risk management optimization scheme and puts forward the corresponding assurance solution. The risk management optimization plan aims to solve all kinds of risk problems in the bond investment program, which not only has important practical significance for Houhai capital company, but also provides positive reference for the EMBA学位论文 作者：叶显奎 后海资本公司债券投资业务风险管理优化方案研究 III other fund subsidiaries to carry out bond investment business. Keywords: bond, investment, risk management, optimization IV 目 录 中文摘要 ..................................................................................................... I Abstract ..................................................................................................... II 第一章 绪论 ............................................................................................... 1 1.1 研究背景及研究意义 ...................................................................................... 1 1.1.1 研究背景 ................................................................................................... 1 1.1.2 研究意义 ................................................................................................... 4 1.2 研究内容与研究问题 ...................................................................................... 5 1.2.1 研究内容 ................................................................................................... 5 1.2.2 研究问题 ................................................................................................... 5 1.3 研究方法和论文结构 ...................................................................................... 6 1.3.1 研究方法 ................................................................................................... 6 1.3.2 论文结构 ................................................................................................... 6 第二章 债券投资风险管理相关理论与发展现状 .................................. 9 2.1 债券投资业务概述 .......................................................................................... 9 2.1.1 债券投资的概念及分类 ........................................................................... 9 2.1.2 债券业务风险种类 ................................................................................. 10 2.2 债券投资风险管理理论 ................................................................................ 11 2.2.1 全面风险管理理论 ................................................................................. 11 2.2.2 投资组合理论 ......................................................................................... 12 2.2.3 债券投资风险计量工具 ......................................................................... 13 2.3 债券市场国内外发展情况 ............................................................................ 15 2.3.1 国内发展情况 ......................................................................................... 15 2.3.2 国外发展情况 ......................................................................................... 18 2.4 债券投资风险管理国内外研究情况 ............................................................ 21 2.4.1 国外研究情况 ......................................................................................... 21 EMBA学位论文 作者：叶显奎 后海资本公司债券投资业务风险管理优化方案研究 V 2.4.2 国内研究情况 ......................................................................................... 22 2.4.3 国内外研究情况评述 ............................................................................. 23 第三章 后海资本公司债券投资业务风险管理现状及问题 ................ 25 3.1 后海资本公司基本信息 ................................................................................ 25 3.1.1 后海资本公司基本情况 ......................................................................... 25 3.1.2 后海资本公司业务情况 ......................................................................... 26 3.1.3 后海资本公司财务情况 ......................................................................... 26 3.1.4 后海资本公司员工情况 ......................................................................... 27 3.2 后海资本公司债券投资业务风险管理现状 ................................................ 28 3.2.1 后海资本公司债券投资业务发展现状 ................................................. 28 3.2.2 债券投资业务风险管理现状 ................................................................. 30 3.3 后海资本公司债券投资业务风险管理问题 ................................................ 34 3.3.1 风险管理制度建设不完善 ..................................................................... 34 3.3.2 债券投资风险管理缺乏系统化管理 ..................................................... 35 3.3.3 债券投资风险管理指标缺失 ................................................................. 36 3.3.4 债券投资信用风险预警机制缺乏 ......................................................... 36 3.3.5 债券投资团队及内控专业化不足 .....