本文選題：QDII機制 + 風險�。� 參考：《武漢大學》2013年博士論文

【摘要】：QDⅡ (Qualified Domestic Institutional Investor,合格境內(nèi)機構投資人)制度最早是由香港的財政部門所提出,和QFⅡ (Qualified Foreign Institutional Investor,合格境外機構投資人)及CDR (China Depository Share,中國存托憑證)類似,是在目前大陸實行的外匯兌換管制政策下,方便大陸資本市場對外投資的政策。即本國投資人在資本賬戶項目尚未完全開放的情況之下,對海外的資本市場實行投資。雖然這兩年為了經(jīng)濟結構調(diào)整,我國政府主動放緩了經(jīng)濟增速,但總體上近十年我國對外貿(mào)易在國際收支上不斷出現(xiàn)的順差,產(chǎn)生外匯存底累計額度逐年增長。在這樣的大背景下QDII制度的正式推出,主要的目的就是為了能對開放資本賬戶更跨出一大步,進而創(chuàng)造出更多的外匯需求,使人民幣與國際匯率相較之下更加穩(wěn)定、更加市場化與平衡,同時鼓勵國內(nèi)更多公司能夠跨出國門,以進-步減少貿(mào)易順差以及資本項目的盈余。其中最直接的優(yōu)點便是讓國內(nèi)投資人方便透過這樣的機制直接或間接參與國外的資本市場,進而可以獲得到全球資本市場的投資回報率。這幾年來,大量的外匯存底加上人民幣升值的期待持續(xù)性地增大,造成對中國資本流出帶來巨大的壓力。政府有必要建立一種主動管理的投資管道的制度來引導這部分的資金對外流出。隨著國內(nèi)人民收入的不斷增加投資外匯市場的需求上揚,資本賬戶的開放也自然成為必要的趨勢,QDI工制度從這些角度都有一定的正面意義。 本文以資本市場開放的理論以及實踐為出發(fā)點,深入地闡述了QDII制度的內(nèi)涵、運作原理、背景和意義,運用理論分析和案例分析相結合的方式,總結了QDII投資境外市場的各種面臨風險及相應的風險衡量與評估方法,從市場關聯(lián)度、資產(chǎn)配置、風險監(jiān)測、避險策略等角度深入系統(tǒng)地研究了QDII投資中的風險管理方法,進而通過資產(chǎn)的國際配置以及衍生品投資,在平穩(wěn)投資風險的同時,獲得相對優(yōu)良的投資業(yè)績,同時對風險內(nèi)部機制、外部監(jiān)管和法律防范模式進行了探討。 本文按照理論、案例和對策研究的邏輯,分為八大部分,研究架構如下：第一章主要包括選題背景和研究意義,QDII制度的基本概念和其風險機制及管理的界定,國內(nèi)外相關研究綜述和本文的研究思路和方法。第二章QDII制度的理論基礎、背景及實踐的國際比較,包括QDII制度的運作原理及其影響、實施QDII制度的理論基礎。第三章主要包括QDII政策發(fā)展歷史、QDII制度發(fā)展歷程、QDII發(fā)展的現(xiàn)狀、中國QDII投資風格分析、QDII基金失敗的原因分析、QDII基金的治理措施以及不同國家及地區(qū)實施QDII制度的比較等。第四章主要通過分析銀行和基金公司的實際案例來說明目前QDII業(yè)務發(fā)展過程中存在的實際問題和對策研究。第五章主要結合風險管理中的理論研究,分別從市場風險、匯率風險、國家風險和信用風險等角度全面闡明在國際投資中如何識別不同的風險暴露,以及運用風險模型控制不同類別的風險。第六章介紹了在國際資產(chǎn)配置下,運用改進的資產(chǎn)組合構建方式詳細說明了分散化投資能夠顯著地起到分散風險,提高組合收益的結果,同時基于人民幣匯率升值對QDII持有人投資者收益的影響,針對國內(nèi)基金公司在QDII海外投資中所面臨的外匯風險,提出了利用衍生品來進行風險對沖的方法。第七章主要對QDII風險內(nèi)控機制和外控機制的建立和完善提供了一些思路,為國內(nèi)QDII管理人進行海外投資管理以及后續(xù)的產(chǎn)品開發(fā)提供借鑒。第八章主要是總結和展望,QDI工作為我國金融領域的一大創(chuàng)新,由于其一系列優(yōu)點,必將成為我國投資海外的未來趨勢。為了更好地提高QDII在海外市場的風險管理和投資收益能力,本文認為在其市場風險管理和內(nèi)控機制方面需要準確識別各類市場風險,并建立風險監(jiān)控和預測系統(tǒng),合理進行匯率風險管理,并擇時進行國際資產(chǎn)配置,分散風險并獲得全球收益,建立和完善內(nèi)部控制。
[Abstract]:The system of QD II (Qualified Domestic Institutional Investor, qualified domestic institutional investor) was first proposed by the financial department of Hongkong, similar to QF II (Qualified Foreign Institutional Investor, qualified overseas institutional investors) and CDR (China certificate, Chinese depository certificate), and is a foreign exchange implemented in the current continent. Under the policy of exchange control, the policy of foreign investment in the capital market is convenient for the mainland. That is, the domestic investors invest in the overseas capital market under the condition that the capital account project has not been fully open. Under the background of the balance of payments, the cumulative amount of foreign exchange deposits has increased year by year. Under such a background, the main purpose of the QDII system is to create more foreign exchange demand to open the capital account, and to make the people's currency more stable and more municipal in comparison with the international exchange rate. The most direct advantage of this is to allow domestic investors to facilitate direct or indirect participation in foreign capital markets through such a mechanism, and then to gain a return on investment in the global capital market. In recent years, the expectation of a large number of foreign exchange deposits and the appreciation of RMB continues to increase, resulting in great pressure on the outflow of capital in China. It is necessary for the government to establish an active management investment pipeline system to guide the outflow of this part of the capital. Seeking to rise and opening capital account also become a necessary trend. The QDI system has certain positive significance from these angles.
Based on the theory and practice of the opening of capital market, this paper expounds the connotation, operation principle, background and significance of the QDII system, and uses the combination of theoretical analysis and case analysis to summarize the risk assessment and evaluation methods of QDII investment overseas market, from the market relevance and assets. The methods of risk management in QDII investment are systematically studied in the aspects of configuration, risk monitoring and risk avoidance strategy. Through the international allocation of assets and the investment of derivatives, the relative excellent investment performance is obtained at the same time of stable investment risk. At the same time, the internal mechanism of risk, external supervision and the mode of legal prevention are discussed.
This article is divided into eight parts according to the logic of theory, case and countermeasure research. The structure of the research is as follows: the first chapter mainly includes the background and significance of the topic, the basic concept of the QDII system and the definition of its risk mechanism and management, the domestic and foreign related research review and the research ideas and methods of this paper. The theoretical basis of the second chapter QDII system, The international comparison of the background and practice, including the operation principle of the QDII system and its influence, and the theoretical basis of the implementation of the QDII system. The third chapter mainly includes the history of the development of the QDII policy, the development of the QDII system, the present situation of the development of QDII, the analysis of the QDII investment style in China, the reasons for the failure of the QDII fund, the governance measures of the QDII fund and the different countries. The fourth chapter mainly analyzes the actual problems and Countermeasures in the process of QDII business development by analyzing the actual cases of banks and fund companies in the fourth chapter. The fifth chapter mainly combines the theoretical research in risk management, from the market risk, the exchange rate risk, the national risk and the credit risk, respectively. It illustrates how to identify different risk exposures in international investment and how to use risk models to control different types of risk. In the sixth chapter, under the international asset allocation, an improved portfolio construction method is introduced in detail that decentralized investment can significantly increase the risk of decentralization and increase the results of portfolio returns. Based on the effect of RMB exchange rate appreciation on the earnings of QDII holders, this paper puts forward the method of using derivatives to hedge risk in view of the foreign exchange risks faced by domestic fund companies in QDII overseas investment. The seventh chapter mainly provides some ideas for the establishment and improvement of QDII risk internal control mechanism and external control mechanism, for domestic Q DII managers provide reference for overseas investment management and subsequent product development. The eighth chapter is mainly a summary and prospect. QDI work is a major innovation in our financial field. Due to a series of advantages, it will become the future trend of China's investment overseas. In order to better improve the risk management and investment income of QDII in the overseas market Ability, this paper thinks that the market risk management and internal control mechanism need to identify all kinds of market risk accurately, establish risk monitoring and forecasting system, manage the exchange rate risk reasonably, carry out international asset allocation, disperse risk and gain global income, establish and perfect internal control.

【學位授予單位】：武漢大學
【學位級別】：博士
【學位授予年份】：2013
【分類號】：F832.5;F830.42
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本文編號：1833767