本文關(guān)鍵詞： 銀行間債券市場 跨市場套利 跨品種套利 跨期套利 風(fēng)險管理　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：我國銀行間債券市場成立于1997年,經(jīng)過十多年的發(fā)展,已經(jīng)形成了規(guī)范的機構(gòu)間場外市場,是我國債券市場的主體,在我國金融市場體系中扮演著舉足輕重的角色。我國銀行間債券市場已經(jīng)成為實施貨幣政策與財政政策的重要平臺,中央銀行進行公開市場操作、發(fā)行央票對沖流動性、國庫現(xiàn)金管理及財政部發(fā)行國債等都是借助于銀行間債券市場進行的；我國銀行間債券市場正在成為優(yōu)化資源配置、推動國民經(jīng)濟又好又快發(fā)展的重要渠道,各類融資性產(chǎn)品的推出,直接擴大了企業(yè)的直接融資；我國銀行間債券市場也是市場主體進行資產(chǎn)負債管理的重要場所,金融債券產(chǎn)品和資產(chǎn)證券化為商業(yè)銀行進行資產(chǎn)負債結(jié)構(gòu)調(diào)整提供了更多的選擇。本文討論的套利指的是廣義上的套利,即需要部分初始投入,且交易并非完全無風(fēng)險,投資者利用市場的失效,對價格發(fā)生偏離的兩種(或多種)證券(或組合)或在不同市場的同種證券進行相反操作,扣除交易成本,受自身資金實力和市場交易制度和程序限制,并承擔(dān)流動性風(fēng)險、交易對手風(fēng)險、市場風(fēng)險等多種不確定性的情況下,獲得正收益的過程。套利交易有助于提高銀行間債券市場的效率和流動性,促進市場走向成熟和理性,推動市場創(chuàng)新,也可以為投資者提供更多盈利機會。本文先從發(fā)展歷程、運行機制等方面對我國銀行間債券市場做了概述,然后以市場主體的角度,探究了我國銀行間債券市場中可能存在的跨市場套利、跨品種套利和跨期套利機會。先通過理論知識建立模型,再使用國債、金融債和企業(yè)債及其組合為樣本驗證了它們的可行性,同時對收益進行了測算。這三種套利模式都依賴于投資者的專業(yè)知識和準確判斷,依賴于完善的套利模型和機制,也依賴于對風(fēng)險的識別和管理,因此本文還對我國銀行間債券市場套利的主要風(fēng)險——利率風(fēng)險、流動性風(fēng)險、信用風(fēng)險和操作風(fēng)險做了說明,羅列了當前已有的風(fēng)險控制機制,并為市場未來提高風(fēng)險管理水平提出了建議,最后站在投資者的角度提出交易建議。本文認為以上三種套利機會在我國銀行間債券市場是存在的,但不同的套利模式適合不同特征的投資者,市場主體可依據(jù)自身風(fēng)險承受能力、能力范圍、資金來源與實力、投資期限、投資目的等選擇適合自己的套利方式,同時需注意管理風(fēng)險,在自身獲利的同時,也提高了市場的有效性和流動性。
[Abstract]:China's inter-bank bond market was established in 1997. After more than a decade of development, it has formed a standardized inter-institutional over-the-counter market and is the main body of China's bond market. China's inter-bank bond market has become an important platform for the implementation of monetary and fiscal policies. The central bank conducts open market operations and issues central bank notes to hedge liquidity. The treasury cash management and treasury bonds issued by the Ministry of Finance are all carried out with the help of the interbank bond market, and the interbank bond market in China is becoming an important channel for optimizing the allocation of resources and promoting the sound and rapid development of the national economy. The introduction of various financing products has directly expanded the direct financing of enterprises, and the interbank bond market in China is also an important place for market participants to manage their assets and liabilities. Financial bond products and asset securitization provide more options for commercial banks to adjust their asset-liability structure. Arbitrage in this paper refers to arbitrage in a broad sense, that is, it requires some initial input, and the transaction is not completely risk-free. Investors take advantage of market failures to deduct transaction costs from two (or more) securities (or combinations) or the same securities in different markets where the price deviates, Being restricted by their own capital strength and market trading systems and procedures, and assuming liquidity risks, counterparty risks, market risks and other uncertainties, Arbitrage trade helps to improve the efficiency and liquidity of the interbank bond market, promote market maturity and rationality, promote market innovation, and provide more profit opportunities for investors. This paper summarizes the interbank bond market in China from the aspects of operation mechanism, and then probes into the possible cross-market arbitrage in China's interbank bond market from the perspective of the market main body. Cross-variety arbitrage and intertemporal arbitrage opportunities. The model is established through theoretical knowledge, and then the feasibility of these models is verified by using treasury bonds, financial bonds and corporate bonds and their combinations as samples. These three arbitrage models depend on the investors' expertise and accurate judgment, on the perfect arbitrage models and mechanisms, and on the identification and management of risks. Therefore, this paper also describes the main risks of arbitrage in China's interbank bond market-interest rate risk, liquidity risk, credit risk and operational risk, and lists the existing risk control mechanisms. The paper also puts forward some suggestions for improving the risk management level of the market in the future, and finally puts forward the trading suggestions from the perspective of investors. This paper holds that the above three arbitrage opportunities exist in the interbank bond market of our country. However, different arbitrage models are suitable for investors with different characteristics. Market subjects can choose their own arbitrage methods according to their own risk bearing capacity, ability range, capital source and strength, investment duration, investment purpose, etc. At the same time, attention should be paid to risk management, in their own profits, but also improve the effectiveness and liquidity of the market.
【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】：2014
【分類號】：F832.51

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相關(guān)碩士學(xué)位論文 前1條

1 董紅苗;金融經(jīng)濟中的金融套利行為研究[D];浙江大學(xué);2003年

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本文編號：1522979