本文選題：利率市場化　切入點(diǎn)：國債期貨　出處：《東華大學(xué)》2017年碩士論文

【摘要】：國債期貨是指交易雙方通過有組織的交易所約定在未來某一特定的時間,以事先確定的價格進(jìn)行特定國債交割的合約,是一種用于規(guī)避利率風(fēng)險的衍生品。國外運(yùn)用利率衍生工具管理利率風(fēng)險的研究已較為成熟,但由于中國商業(yè)銀行的利率長期處于管制狀態(tài),因此普遍缺乏利率風(fēng)險管理意識。二十世紀(jì)九十年代,我國曾推出國債期貨,但不久即被關(guān)停,因此相關(guān)研究主要集中于國債期貨試點(diǎn)失敗的經(jīng)驗和教訓(xùn)上。隨著利率市場化推進(jìn),國內(nèi)的研究主要集中在利率風(fēng)險衡量上。在關(guān)閉國債期貨市場之后,我國長期缺乏相關(guān)利率衍生工具,因此運(yùn)用衍生工具管理利率風(fēng)險的研究較少,重新推出的國債期貨為我國商業(yè)銀行提供了有效的利率風(fēng)險管理工具,且隨著我國存貸款利率的完全放開,利率市場化改革的基本完成,進(jìn)行運(yùn)用國債期貨管理商業(yè)銀行利率風(fēng)險的研究十分迫切,本文在此背景下進(jìn)行了相關(guān)的研究。研究的路徑從文獻(xiàn)研究出發(fā),從國外的文獻(xiàn)可以看出,對于利率風(fēng)險管理,學(xué)者提出的利率期限結(jié)構(gòu)、久期缺口、凸度、敏感性缺口等理論和方法都得到了普遍的應(yīng)用。對于國債期貨國外大多數(shù)的研究集中在國債期貨定價方面。對于國內(nèi)的文獻(xiàn),通過對利率風(fēng)險管理方法、國債期貨與現(xiàn)貨相關(guān)性以及運(yùn)用國債期貨進(jìn)行利率風(fēng)險管理三個方面進(jìn)行了梳理,為進(jìn)一步的理論與實證分析做鋪墊。在此基礎(chǔ)上,對利率期限結(jié)構(gòu)、利率風(fēng)險分類、利率風(fēng)險管理理論進(jìn)行了深入分析,為之后的利率風(fēng)險度量打下基礎(chǔ)。同時對國債期貨套期保值等功能以及國債期貨的最便宜可交割債券相關(guān)理論進(jìn)行了相應(yīng)分析,目的是為計算國債期貨久期和基點(diǎn)價值提供理論依據(jù)。進(jìn)而結(jié)合利率風(fēng)險管理理論,在實踐層面通過國債期貨運(yùn)用使商業(yè)銀行免受利率風(fēng)險影響。本文主要運(yùn)用定性和定量的方法,對國債期貨管理利率風(fēng)險進(jìn)行研究。首先,選取我國主力5年期國債期貨合約上市以來的每日收盤價以及與其對應(yīng)的最便宜可交割債券收盤價,運(yùn)用單位根檢驗、協(xié)整分析等定量分析方法,證明了我國的5年期國債期貨收盤價和與之對應(yīng)的最便宜可交割債券經(jīng)轉(zhuǎn)換的收盤價之間存在長期均衡關(guān)系,因此可以用最便宜可交割債券的久期求得國債期貨的久期;然后選取了銀行間債券市場中相對較為活躍的24只國債,根據(jù)其在2015年12月31日的收盤價,運(yùn)用樣條函數(shù)求得在該日的利率期限結(jié)構(gòu);最后選取工商銀行的2015年度財務(wù)報告中相關(guān)資產(chǎn)負(fù)債和期限的數(shù)據(jù),結(jié)合求得的利率期限結(jié)構(gòu),計算資產(chǎn)負(fù)債的F-W久期,得出銀行的資產(chǎn)負(fù)債久期缺口,為了更加精確地衡量利率風(fēng)險,同時計算出凸度缺口,利用國債期貨將缺口調(diào)節(jié)為零,使銀行免受利率風(fēng)險的影響;最后,通過結(jié)合實際分析,本文還為我國商業(yè)銀行運(yùn)用國債期貨管理利率風(fēng)險提出相應(yīng)的建議。
[Abstract]:Treasury bond futures are contracts in which both parties agree, through an organized exchange, to deliver a specific national debt at a predetermined price in the future at a particular time in the future. It is a kind of derivative used to avoid interest rate risk. The research on using interest rate derivatives to manage interest rate risk has been mature in foreign countries, but the interest rate of Chinese commercial banks has been under control for a long time. As a result, there is a general lack of interest rate risk management awareness. In the 1990s, China introduced treasury bond futures, but was soon shut down. Therefore, the related research mainly focuses on the experiences and lessons of the failure of the national debt futures pilot project. With the marketization of interest rate, the domestic research mainly focuses on the measurement of interest rate risk. After closing the treasury bond futures market, Because of the lack of relevant interest rate derivatives in China for a long time, there is less research on the use of derivatives to manage interest rate risk, and the re-launched treasury bond futures provide effective interest rate risk management tools for Chinese commercial banks. With the complete liberalization of deposit and loan interest rates in China and the completion of market-oriented interest rate reform, it is urgent to study the use of treasury bonds futures to manage the interest rate risk of commercial banks. Under this background, this paper has carried on the related research. The path of the study starts from the literature research, from the foreign literature can see, for the interest rate risk management, the scholar proposed the interest rate term structure, the duration gap, the convexity, the interest rate risk management, the interest rate term structure, the duration gap, the convexity, The theories and methods of sensitivity gap have been widely applied. Most of the researches on treasury bond futures are focused on the pricing of bond futures. For the domestic literature, through the interest rate risk management method, The correlation between treasury bond futures and spot and the use of treasury bond futures to manage interest rate risk are combed in order to pave the way for further theoretical and empirical analysis. On this basis, the paper classifies the term structure of interest rate and the risk of interest rate. The theory of interest rate risk management is deeply analyzed, which lays the foundation for the measurement of interest rate risk. At the same time, it analyzes the function of treasury bond futures hedging and the theory of the cheapest deliverable bond. The purpose of this paper is to provide a theoretical basis for calculating the duration and basis point value of national debt futures, and then combine the theory of interest rate risk management. In practice, commercial banks are protected from interest rate risk through the use of treasury bond futures. This paper mainly uses qualitative and quantitative methods to study the interest rate risk management of national debt futures. Selecting the daily closing price of China's main 5-year treasury bond futures contract and the closing price of the cheapest deliverable bond corresponding to it, using the quantitative analysis methods such as unit root test, cointegration analysis, etc. It is proved that there is a long-term equilibrium relationship between the closing price of China's 5-year Treasury bond futures and the exchange price of the cheapest deliverable bond, so the duration of the bond futures can be obtained by using the duration of the cheapest deliverable bond. Then we select 24 treasury bonds which are relatively active in the interbank bond market. According to their closing price on December 31, 2015, we use spline function to get the term structure of interest rate on that day. Finally, the F-W duration of assets and liabilities is calculated according to the term structure of interest rate, and the gap between asset and liability duration is obtained by selecting the data of assets, liabilities and maturity in the financial report of Industrial and Commercial Bank of China (ICBC) in 2015. In order to measure the interest rate risk more accurately and calculate the convex gap at the same time, the gap is adjusted to zero by using the national debt futures, so that the bank is not affected by the interest rate risk. Finally, by combining the actual analysis, This paper also puts forward corresponding suggestions for China's commercial banks to use treasury bond futures to manage interest rate risk.
【學(xué)位授予單位】：東華大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F724.5;F812.5;F832.33

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