...................................................................................................................................I ABSTRACT.................................................................................................................. III 1 绪论 ...............................................................................................................................1 1.1 研究背景与意义........................................................................................................................1 1.1.1 研究背景.............................................................................................................................1 1.1.2 研究意义.............................................................................................................................2 1.2 国内外研究综述........................................................................................................................3 1.2.1 国内研究现状.....................................................................................................................3 1.2.2 国外研究现状.....................................................................................................................4 1.3 研究方法与内容........................................................................................................................5 1.3.1 研究方法.............................................................................................................................5 1.3.2 研究内容.............................................................................................................................6 1.4 论文的技术路线........................................................................................................................6 2 相关理论与概念综述...................................................................................................7 2.1 债券投资相关理论....................................................................................................................7 2.1.1 债券的类型.........................................................................................................................7 2.1.2 银行间债券市场作用........................................................................................................8 2.1.3 商业银行债券投资的功能.................................................................................................9 2.2 风险管理相关理论....................................................................................................................9 2.2.1 风险管理定义及路径........................................................................................................9 2.2.2 风险分散理论...................................................................................................................10 2.2.3 常用的投资风险度量工具..............................................................................................10 3 XY 银行债券投资业务与风险管理现状分析 ..........................................................13 3.1XY 银行简介............................................................................................................................13 3.2XY 银行债券投资风险管理的现状........................................................................................13 3.2.1 XY 银行债券投资规模 ....................................................................................................13 3.2.2 XY 银行债券投资机构设置 ............................................................................................14 3.2.3 XY 银行债务融资工具承销情况.....................................................................................16西南大学工商管理硕士学位论文 II 3.2.4 XY 银行限额管理业务 ............................................................................................16 3.3 XY 银行债券投资业务风险管理中存在问题...................................................................17 4 XY 银行债券投资业务风险分析...............................................................................19 4.1 影响 XY 债券投资业务风险的内外部因素..........................................................................19 4.1.1 外部影响因素...................................................................................................................19 4.1.2 银行内部影响因素...........................................................................................................21 4.2XY 银行债券投资业务主要风险 ...........................................................................................22 4.2.1 市场风险...........................................................................................................................22 4.2.2 流动性风险.......................................................................................................................24 4.2.3 信用风险...........................................................................................................................24 4.2.4 清算风险...........................................................................................................................24 4.2.5 其他风险...........................................................................................................................25 4.3XY 银行债券投资业务风险评估决策 ...................................................................................25 4.4XY 银行债券投资业务风险管理重点 ...................................................................................26 5 XY 银行债券投资业务风险管理优化策略...............................................................29 5.1 优化 XY 银行债券投资业务风险管理目标..........................................................................29 5.2 采用适当的债券投资策略来应对市场风险 .........................................................................30 5.2.1 积极型债券投资策略.......................................................................................................31 5.2.2 防御型债券投资策略.......................................................................................................32 5.2.3 判断宏观经济周期...........................................................................................................32 5.3 合理应对流动性风险..............................................................................................................33 5.3.1 调整资产结构以满足监管要求.......................................................................................33 5.3.2 利用组合久期管理...........................................................................................................34 5.4 建立信评库应对信用风险......................................................................................................34 5.4.1 专人信用评审...................................................................................................................34 5.4.2 建立数据库.......................................................................................................................34 5.5 合理应对操作与清算风险......................................................................................................35 5.5.1 建立完善的操作制度.......................................................................................................35 5.5.2 建立完善的清算体系.......................................................................................................35 5.6 持续优化投资策略..................................................................................................................35 5.6.1 期限分散化.......................................................................................................................36 5.6.2 地域分散化 ...............................................................................................................36 5.6.3 行业分散化.......................................................................................................................36