银行债券投资是我国金融市场发展的重要推动力量，具有促进金融创新、推 动社会和经济发展、提高银行竞争力等作用。我国政府在第五次全国金融工作会 议中肯定了直接融资的重要性，要求尽量提高社会融资的金额。国民经济的发展 也为中国金融市场的发展带来更多的机会，近年来，各家商业银行对债券市场越 来越重视，现在债券已经成为商业银行进行投资时主要选择的产品。2020年受 新冠疫情影响，全球经济短期的大幅衰退已不可避免，宏观经济未来走势难以评 估，在这样的大环境下，债市将会面临方位更加大、频率更加高的波动，多重因 素叠加给债市带来阶段性利空，因而债券投资风险更加值得关注，尤其是城商行 等中小银行金融机构，受制于规模以及自身制度体系，如何有效的进行债券投资 风险更是机构持续发展面临的重要课题之一。 本文从债券风险以及风险管理等相关理论出发，首先分析我国债券市场以及 债券业务，后结合N城商行债券投资业务的发展情况，剖析N城商行债券投资 业务风险管理现状，重点分析N城商行债券投资风险管理方面存在的问题，包 括投资流程、制度建设、人员队伍建设以及风险系统应用等方面的问题。然后以 N城商行为例子，介绍了他的债券投资情况，包括结构、策略、预期价值、风险 管理等内容。根据N城商行的情况及市场现状，为优化债券投资业务，提高风 险管理工作效率等提出了具体的建议。 最后结合N城商行现在债券投资业务的基本情况，从风险管理的角度深入 分析，并阐述影响投资风险的相关因素，包括商业银行内部监督因素、风险管控 系统制度因素；并在研究的最后论述了应对各类风险的对策和办法，包括投资流 程、制度建设、人员队伍建设以及风险系统应用等方面的问题，从而为银行债权 投资业务稳健发展和地方城市商业银行的风险管控提供一点思路和启示。 关键词：商业银行；债券市场；债券投资风险 江苏大学工商管理硕士（MBA）学位论文 II Abstract Bank bond investment is an important driving force for the development of China's financial market, which can effectively promote economic development, financial innovation and business standardization transformation. In the fifth national financial working conference, the Chinese government affirmed the importance of direct financing and demanded to increase the amount of social financing as much as possible. With the development of China's financial market and the maturity of the bond market, China's commercial banks now classify bonds as one of the main products in the daily investment allocation. 2020 by the impact of the new crown epidemic, the global economic short-term sharp recession has been inevitable, in the macroeconomic trend is unclear, deposit interest rate decline and other "new normal", the bond market may be more frequent and greater volatility, multiple factors superimposed to the bond market to bring phased profits, so the bond investment risk is more worthy of attention, especially small and medium-sized bank financial institutions such as city banks, subject to the scale and its own system, how to effectively carry out bond investment risk institutions are facing an important issue. First of all, this paper from the over view of China's bond market to the bond business profile and the main risks facing the bond business combined with the situation of N bank, analysis of N bank bond investment business development course and status quo, combined with the overall new normal of China's bond market, China's city commercial banks in the bond investment business there are common problems, focusing on the analysis of N bank bond investment risk management problems, including investment process, system construction, personnel team building and risk system application. Finally, based on the current situation of N-city commercial bank bond investment business, this paper in depth explore the risks of commercial banks in the main bond investment business, and introduce the factors that lead to the risks, including the internal supervision factors of commercial banks and the system of risk control system. So as to provide a little idea and enlightenment for the steady development of bank debt investment business and the risk control of local urban China's financial institutions. 江苏大学工商管理硕士（MBA）学位论文 III Key words: commercial banks; bond market; investment risk 江苏大学工商管理硕士（MBA）学位论文 IV 目 录 第一章 绪论 ........................................................................................................................ 1 1.1 研究背景及意义. .................................................................................................... 1 1.1.1 选题背景 ...................................................................................................... 1 1.1.2 选题意义 ...................................................................................................... 2 1.2 国内外研究动态 ..................................................................................................... 3 1.2.l 国外研究动态............................................................................................... 3 1.2.2 国内研究动态 .............................................................................................. 4 1.3 研究内容及研究方法 ............................................................................................. 5 1.3.1 研究内容 ...................................................................................................... 5 1.3.2 研究方法 ...................................................................................................... 6 1.3.2 研究技术路线 ............................................................................................. .7 第二章 相关概念及理论概述 .......................................................................................... 8 2.1 债券风险管理理论 ................................................................................................. 8 2.1.1 信息不对称理论 ......................................................................................... 8 2.1.2 全面风险管理理论 ..................................................................................... 8 2.1.3 债券投资组合理论 ................................................................................... 12 2.2 我国城商行债券投资风险相关理论 ................................................................... 12 2.2.1 市场风险 .................................................................................................... 12 2.2.2 信用风险 .................................................................................................... 13 2.2.3 流动性风险 ................................................................................................ 13 2.2.4 操作风险 .................................................................................................... 14 第三章 我国城商行债券投资业务现状 ....................................................................... 16 3.1 我国城商行债券业务现状 ................................................................................... 16 3.2 N城商行债券投资业务现状 ............................................................................. 18 3.2.1 N城商行简介 ............................................................................................. 18 3.2.2 N城商行债券投资业务品种 ...................................................................... 19 3.2.3 N城商行近年债券投资情况 .................................................................... 20 3.2.4 N城商行债券业务现状 ............................................................................ 22 3.3 我国城商行债券投资风险分析 ........................................................................... 23 第四章 N城商行债券投资风险管理现状分析 .......................................................... 26 4.1 N城商行债券投资风险管理架构 ........................................................................ 26 江苏大学工商管理硕士（MBA）学位论文 V 4.2 N城商行债券投资风险管理现状 ........................................................................ 29 4.2.1 N城商行债券投资业务市场风险管理机制........................................... 29 4.2.2 N城商行债券投资业务信用风险管理机制........................................... 31 4.2.3 N城商行债券投资业务流动性风险管理现状 ........