2008年美国次贷危机以后，为了应对经济萧条对金融系统的冲击，中国央行采取了 多项货币政策及财政政策来促进实体经济的稳健发展，疏通货币政策传导机制，执行稳 健的货币政策是近年来央行调控的主基调。债券投资业务对商业银行而言，一方面可以 调节资产机构，降低经济下行带来的信贷资产信用风险，另一方面成为了新的利润来源， 可以大大提升盈利水平，又是可以灵活调节全行流动性的有效优质资产，债券投资业务 受到了各中小银行的重视和青睐。但是从现状来看，大部分中小银行经营范围受限，资 本规模较小，风险承受能力偏弱，且实质进入债券市场特别是信用债市场的时间有限， 投资经验较浅，利率风险对其投资收益的威胁巨大，中小银行对利率风险的有效识别、 评估及缓释尤为重要。 本文通过对中小银行债券业务发展现状出发，提出中小商业银行利率风险计量能力 及管控能力均明显不足的可观现实，如何客观计量利率风险成为未来中小商业银行风险 管控的关键，本文经过分析建议使用风险计量VaR模型对债券利率风险进行有效计量， 并以模型为核心，分别从Shibor、CPI、M2、黄金价格、上证指数等指标对对债券利率 风险的影响因素进行分析，得出各项指标对债券利率风险的影响程度。从中国银行债券 利率风险计量体系着手，研究中小金融机构债券利率风险计量方法及运用计量模型分析 债券投久期、种类、权重策略。 最后本文阐述徐州某农商行债券投资风控体系建设情况，并建议中小银行在科学计 量债券利率风险的基础上，建立债券投资业务市场风险治理体系，在目前中小银行确立 风险偏好、设立风险指标限额对债券利率风险进行全方位管控的基础上，建议建立债券 投资业务风险监督管控机制、引进风险监测预警系统并开展投顾业务，全面提高中小银 行债券投资业务利率风险管理水平，有效避免利率风险冲击，防止出现大幅度损失，确 保中小银行稳健经营。从如何建立中小银行债券投资业务风险治理体系方面入手，探讨 摸索出了适用于我国中小商业银行的债券投资市场风险管理的方法和措施。 关键词：中小银行；债券投资；市场风险；利率风险管理 II Abstract Afterthe2008USsubprimemortgagecrisis,inordertocopewiththeimpactofthe economicdepressiononthefinancialsystem,thecentralgovernmentissuedvariouspolicies tosupportthedevelopmentoftherealeconomy,includingtaxandfeereductionsandlower corporatefinancingcosts.Inordertounblockthemonetarypolicytransmissionmechanism andwithstandtheeconomicdownturnPressureandtheimplementationofasoundmonetary policyhavebeenthemaintoneofcentralbankregulationinrecentyears.Forcommercial banks,thebondinvestmentbusinesscanadjustassetinstitutionsandreducecreditassetcredit riskcausedbyeconomicdownturn.Ontheotherhand,ithasbecomeanewsourceofprofit, whichcangreatlyimproveprofitabilityandcanflexiblyadjusttheentirebank.Forliquidand effectivehigh-qualityassets,thebondinvestmentbusinesshasbeenvaluedandfavoredby smallandmediumbanks.However,fromthecurrentsituation,mostsmallandmediumbanks havelimitedbusinessscope,smallcapitalscale,weakrisktolerance,andlimitedtimetoenter thebondmarket,especiallythecreditbondmarket.Theyhaverelativelylittleinvestment experienceandinterestrateriskontheirinvestments.Thethreattoearningsishuge,andthe effectiveidentification,assessment,andmitigationofinterestrateriskbysmallandmedium banksisparticularlyimportant. Basedonthecurrentdevelopmentofsmallandmedium-sizedbanks'bondbusiness,this paperproposesaconsiderablerealitythattheinterestrateriskmeasurementandmanagement capabilitiesofthesmallandmediumcommercialbanksareobviouslyinsufficient.Howto objectivelymeasureinterestrateriskbecomesthekeytotheriskmanagementandcontrolof smallandmediumcommercialbanksinthefuture.Thisarticleanalyzesandsuggeststheuse ofriskTheVaRmodelmeasuresthebondinterestrateriskeffectively,andusesthemodelas thecoretoanalyzetheinfluencingfactorsofbondinterestrateriskfromShibor,Cpi,M2, goldprice,ShanghaiStockIndexandotherindicators,anddrawsvariousindicatorstobond Theimpactofinterestraterisk.StartingfromtheBankofChina'sbondinterestraterisk measurementsystem,thispaperstudiesthemeasurementmethodofsmallandmedium-sized financialinstitutions'bondinterestrateriskandusesmeasurementmodelstoanalyzebond investmentduration,types,andweightingstrategies. Finally,thispaperdescribestheconstructionofariskmanagementsystemforbond investmentinaruralcommercialbankinXuzhou,andrecommendsthatsmallandmedium banksestablishamarketriskgovernancesystemforbondinvestmentbusinessbasedon III scientificmeasurementofbondinterestraterisk.Atpresent,smallandmediumbanks establishriskappetiteandestablishriskindexlimitsBasedonthecomprehensive managementandcontrolofbondinterestraterisk,itisrecommendedtoestablisharisk monitoringandcontrolmechanismforbondinvestmentbusiness,introduceariskmonitoring andearlywarningsystem,andconductinvestmentadvisorybusinesstocomprehensively improvethelevelofbondinterestrateriskmanagementofsmallandmedium-sizedbanks, effectivelyavoidtheimpactofinterestrateriskandpreventSignificantlossesoccurredto ensurethestableoperationofsmallandmediumbanks.Startingfromtheconstructionofthe riskmanagementsystemofsmallandmedium-sizedbanks'bondinvestmentbusiness,they exploredmethodsandmeasuresforriskmanagementofthebondinvestmentmarket applicabletosmallandmedium-sizedcommercialbanksinChina. Keywords:smallandmediumbanks;bondinvestment;marketrisk;interestraterisk management IV 目录 摘要.............................................................................................................................................I 目录..........................................................................................................................................IV 图清单....................................................................................................................................VIII 表清单......................................................................................................................................IX 1绪论.........................................................................................................................................1 1.1研究背景..............................................................................................................................1 1.2研究意义..............................................................................................................................3 1.3研究框架..............................................................................................................................4 2债券投资利率风险管理国内外研究现状............................................................................7 2.1国外研究现状......................................................................................................................7 2.2国内研究现状......................................................................................................................8 2.3国内外研究评析................................................................................................................11 3中小银行债券投资业务基本情况......................................................................................13 3.1中小银行债券投资业务概况............................................................................................13 3.2中小银行债券投资业务限制性分析................................................................................16 3.3中小银行债券投资业务风险管理情况............................................................................21 4中小银行债券投资业务SWOT分析................................................................................23 4.1中小银行债券投资优势....................................................................................................23 4.2中小银行债券投资劣势....................................................................................................23 4.3中小银行债券投资面临的主要问题和风险....................................................................24 5中小银行债券利率风险计量及影响因素分析..................................................................31 5.1债券利率风险测度............................................................................................................31 5.2中小银行债券利率影响因素分析....................................................................................41 5.3中小银行债券业务风险管理水平急需提升.....................................