【摘要】：目前,債券投資業(yè)務是國內(nèi)商業(yè)銀行除存貸款之外的主要業(yè)務之一,但商業(yè)銀行普遍以存貸款業(yè)務為主,對債券投資業(yè)務重視程度不夠,管理較粗放,風險較大。隨著我國利率市場化進程的加快,商業(yè)銀行必須改變傳統(tǒng)的以存貸利差為主要利潤來源的盈利模式,而發(fā)展債券投資業(yè)務將是主要選擇之一。作為國內(nèi)銀行業(yè)的重要組成部分,中小銀行同樣面臨這一挑戰(zhàn),而且更需盡快將債券投資業(yè)務發(fā)展提上議事日程。因此,研究中小銀行債券投資問題,對中小銀行改進管理、實現(xiàn)業(yè)務轉型具有重要意義。 本文圍繞中小銀行債券投資問題,重點從決策機制和分析模型兩方面進行了深入研究。全文共分五部分：第一部分介紹了中小銀行債券投資研究的背景和意義,以及國內(nèi)外研究現(xiàn)狀；第二部分概述了中小銀行債券投資業(yè)務的基本情況,分析了中小銀行債券投資的特點、功能、做法和目前存在的問題、風險：第三部分從實務的角度研究了中小銀行債券投資的決策機制建設。針對當前中小銀行債券投資決策機制存在的問題,結合債券投資特點和國內(nèi)國際同業(yè)經(jīng)驗,分別設計了中小銀行債券投資的資源配置機制、決策組織架構和績效考核機制；第四部分從定性、定量兩方面研究了宏觀經(jīng)濟因索對中小銀行債券投資收益的影響。在從宏觀經(jīng)濟指標、經(jīng)濟政策和債券市場資金面三方面研究經(jīng)濟變量對債券投資收益影響的定性分析基礎上，，利用因子分析和主成分分析方法構建了債券投資收益的宏觀經(jīng)濟計量模型；第五部分從投資策略分析角度,引入久期約束、用下半方差作為風險度量,構建了基于利率風險和流動性風險管理的中小銀行債券投資組合優(yōu)化模型。在理論上分析了模型最優(yōu)解的存在性,證明了模型具有全局最優(yōu)解；依據(jù)模型的隨機屬性,構造了求解模型的蒙特卡羅罰函數(shù)算法并證明了算法的收斂性,給出了相應的數(shù)值算例。文章最后總結了本文主要的研究結論,探討了研究的局限性和進一步研究的擴展方向。 本文的特色及創(chuàng)新之處,一是從實務角度研究了中小銀行債券投資的決策機制建設,為中小銀行債券投資提供了規(guī)范的運作模式；二是從定性和定量兩方面建立了中小銀行債券投資宏觀影響因素分析框架,建立了債券投資收益的宏觀經(jīng)濟計量模型,以此為中小銀行債券投資提供基本面分析的理論基礎；三是研究了中小銀行債券投資組合策略,建立了基于中小銀行風險管理的債券投資組合優(yōu)化模型,為中小銀行債券投資提供了選擇最優(yōu)策略的科學方法和決策依據(jù)。
[Abstract]:At present, bond investment business is one of the main business of domestic commercial banks except deposit and loan, but commercial banks generally take deposit and loan business as the main business, pay less attention to bond investment business, manage extensively, and have greater risks. With the acceleration of the interest rate marketization process in China, commercial banks must change the traditional profit mode with deposit and loan interest margin as the main source of profits, and the development of bond investment business will be one of the main options. As an important part of domestic banking, small and medium-sized banks also face this challenge, and the development of bond investment business should be put on the agenda as soon as possible. Therefore, it is of great significance for small and medium banks to improve their management and realize business transformation. This paper focuses on the issue of bond investment in small and medium-sized banks, focusing on two aspects: decision mechanism and analytical model. The paper is divided into five parts: the first part introduces the background and significance of the research on the bond investment of small and medium-sized banks, as well as the current research situation at home and abroad; The second part summarizes the basic situation of bond investment business of small and medium-sized banks, analyzes the characteristics, functions, methods and existing problems of bond investment in small and medium-sized banks. Risk: the third part studies the decision-making mechanism of bond investment in small and medium-sized banks from the perspective of practice. In view of the problems existing in the decision-making mechanism of bond investment in small and medium-sized banks at present, combined with the characteristics of bond investment and the experience of domestic and international counterparts, the resource allocation mechanism, decision-making organization structure and performance appraisal mechanism of bond investment in small and medium-sized banks are designed respectively. The fourth part studies the impact of macroeconomic factors on bond investment returns of small and medium banks from qualitative and quantitative aspects. On the basis of qualitative analysis of the impact of economic variables on bond investment returns from the three aspects of macroeconomic indicators, economic policies and bond market funds, The macroeconomic econometric model of bond investment income is constructed by using factor analysis and principal component analysis. In the fifth part, from the point of view of investment strategy analysis, the paper introduces the duration constraint and uses the lower half variance as the risk measure to construct the optimization model of bond portfolio of small and medium-sized banks based on interest rate risk and liquidity risk management. The existence of the optimal solution of the model is analyzed theoretically, and the global optimal solution of the model is proved. According to the stochastic properties of the model, the Monte Carlo penalty function algorithm for solving the model is constructed, and the convergence of the algorithm is proved, and the corresponding numerical examples are given. Finally, this paper summarizes the main research conclusions, discusses the limitations of the study and further research direction. The characteristics and innovations of this paper are as follows: first, the paper studies the decision-making mechanism construction of bond investment in small and medium-sized banks from the perspective of practice, which provides a standard operation mode for bond investment of small and medium-sized banks; The second is to set up the analysis frame of macro-influencing factors of bond investment in medium and small banks from qualitative and quantitative aspects, and set up the macroeconomic econometric model of bond investment income, so as to provide the theoretical basis for the fundamental analysis of bond investment in small and medium-sized banks. Thirdly, the paper studies the bond portfolio strategy of small and medium-sized banks, and establishes the optimization model of bond portfolio based on risk management of small and medium-sized banks, which provides a scientific method and decision basis for selecting the optimal strategy for the bond investment of small and medium-sized banks.
【學位授予單位】：大連理工大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F832.33;F224

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