本文選題：國債期貨 + 利率風(fēng)險��； 參考：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：本論文撰寫之時,正值中國金融期貨交易所5年期國債期貨上市之際,以期貨公司的角度來看,繼3年前中國金融期貨交易所的滬深300股指期貨上市之后,又一輪考驗(yàn)各期貨公司綜合實(shí)力的行業(yè)大戰(zhàn)即將拉開序幕。當(dāng)然,新的市場挑戰(zhàn)也帶來新的發(fā)展機(jī)遇,因此,積極展開對國債期貨這一金融期貨大品種的理論及應(yīng)用研究是非常具有緊迫性和必要性的。本研究主要從市場情況概述、理論知識準(zhǔn)備、應(yīng)用方法說明以及實(shí)際案例分析這一脈絡(luò)逐步深入進(jìn)行,最后總結(jié)闡明研究對象對金融市場發(fā)展的影響和意義。文章總共由六個章節(jié)構(gòu)成：第一章首先介紹國債期貨在國際市場上的發(fā)展?fàn)顩r以及我國著名的327國債風(fēng)波。由于國債期貨是基于國債這一基礎(chǔ)金融產(chǎn)品衍生而出的衍生產(chǎn)品,因此,第二章相應(yīng)地介紹中國國債現(xiàn)貨市場的發(fā)展及現(xiàn)狀。第三、第四和第五章是本論文的重點(diǎn)研究內(nèi)容。第三章圍繞利率風(fēng)險管理的理論基礎(chǔ)展開,首先將目前金融市場理論和實(shí)際運(yùn)用中最為重要的利率風(fēng)險度量方法,包括久期、凸性和基點(diǎn)價值的原理與應(yīng)用進(jìn)行梳理,其次,在下章展開基于國債期貨的利率風(fēng)險管理方法研究之前,將目前金融機(jī)構(gòu)現(xiàn)有的管理利率風(fēng)險的缺口分析的方法進(jìn)行對比介紹,突出其優(yōu)勢與局限性。第四章集中展開對基于國債期貨的利率風(fēng)險管理方法及交易策略的研究,從原理、方法以及優(yōu)勢與風(fēng)險等方面逐一進(jìn)行解釋說明,主要針對性研究的應(yīng)用策略包括規(guī)避利率風(fēng)險的套期保值策略和追求穩(wěn)定收益的套利交易策略。在接下去的第五章,就對本文所研究的策略理論基礎(chǔ)和方法進(jìn)行實(shí)證應(yīng)用分析,采用歐美債券市場數(shù)據(jù),對比鎖定久期的套期保值方法與基于久期的擇時對沖策略的效果之差異,并得出結(jié)論：運(yùn)用國債期貨這一金融衍生品工具,采用基于久期的對沖方法,在結(jié)合擇時技術(shù)的操作之下,可以更好地管理債券投資標(biāo)的的利率風(fēng)險并獲取投資回報。最后,第六章展望我國5年期國債期貨的推出對金融市場以及市場參與機(jī)構(gòu)所帶來的深遠(yuǎn)影響和重要意義。
[Abstract]:At the time this thesis was written, when the 5-year Treasury bond futures were listed on the China Financial Futures Exchange, from the perspective of the futures companies, following the listing of the CSI 300 stock index futures on the China Financial Futures Exchange three years ago, Another round of test futures companies comprehensive strength of the industry war is about to start. Of course, new market challenges also bring new opportunities for development. Therefore, it is urgent and necessary to study the theory and application of treasury bond futures. This study is mainly carried out from the perspective of market situation, theoretical knowledge preparation, application method explanation and practical case analysis. Finally, it summarizes and illustrates the impact and significance of the research object on the development of financial market. This paper consists of six chapters: the first chapter introduces the development of national debt futures in the international market and the famous 327 national debt storm in China. Because treasury bond futures are derivatives derived from treasury bonds, the second chapter introduces the development and present situation of spot market of Chinese treasury bonds. The third, fourth and fifth chapters are the emphases of this thesis. The third chapter focuses on the theoretical basis of interest rate risk management. Firstly, the most important measurement methods of interest rate risk, including the principle and application of duration, convexity and base value, are introduced in the theory and practice of financial market. Secondly, In the next chapter, before the research of interest rate risk management method based on treasury bond futures, the current gap analysis methods of interest rate risk management in financial institutions are compared and introduced to highlight its advantages and limitations. The fourth chapter focuses on the research of interest rate risk management method and trading strategy based on treasury bond futures, explaining the principles, methods, advantages and risks one by one. The main applied strategies include hedging strategy to avoid interest rate risk and arbitrage trading strategy to pursue stable income. In the next chapter, the empirical analysis is made on the theoretical basis and methods of the strategy studied in this paper, and the European and American bond market data are used. This paper compares the effect of the hedging method of locking duration and the timing hedging strategy based on duration, and draws the conclusion: using treasury bond futures as a financial derivative tool, using the method of hedging based on duration, Under the operation of timing technology, we can better manage the interest rate risk of bond investment and obtain the return on investment. Finally, chapter six looks forward to the far-reaching impact and significance of the introduction of 5-year Treasury bond futures on the financial market and market participating institutions.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F724.5;F812.5

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本文編號：2042068