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论文编号：	12410
作者编号：	2320180315
上传时间：	2021/6/10 16:15:03
中文题目：	C银行债券投资组合策略研究
英文题目：	Research on C bank bond portfolio strategy
指导老师：	王永进
中文关键字：	利率期限结构；债券投资组合策略；久期管理
英文关键字：	Interest rate term structure；Bond portfolio strategy；Duration management
中文摘要：	随着中国经济快速增长和直接融资规模不断增大，中国债券市场已经成为全球第二大债券市场，而商业银行是债券市场最主要机构投资者，债券资产在商业银行总资产规模中占比不断提高，债券投资已经成为商业银行进行多元化资产配置重要方式。在借助债券资产获取收益同时，近几年受国际、国内诸多因素影响，债券市场收益率波动性明显提高，信用债违约规模逐年上升，流动性冲击时有出现，商业银行如何在复杂的市场环境下运用合适的债券投资策略就变得十分重要。 C银行是一家城市商业银行，顺应商业银行业务和金融市场业务发展趋势，近些年一直积极参与债券市场投资，债券资产规模逐年上升，债券资产在全行资产中占比也在上升，相应的对债券投资管理能力要求也在提高。 本文以C银行为研究对象，理论联系实际，借助债券投资组合策略相关理论，力求分析出C银行债券投资策略存在的问题并提出相应解决方案，并且为顺利实施制定风险控制标准。首先，在绪论中介绍了本文的研究背景和意义，阐述了研究内容和方法，其次，介绍了本文研究课题所依据的相关理论，接着分析了C银行债券投资策略存在的不足，找出存在问题的原因，然后根据相关理论和中国债券市场实际提出了以利率预期为主的积极型债券投资组合策略，并且用大量历史情景数据进行了验证，进一步提出了优化债券投资组合策略实施的风险控制要求，以期能够在控制风险条件下实现稳定收益，为其他中小银行债券投资策略改进和完善提供参考和借鉴。最后对本文的研究内容进行了总结，并对未来研究进行了展望。
英文摘要：	With the rapid growth of China's economy and the increasing scale of direct financing, China's bond market has become the second largest bond market in the world, and commercial banks are the most important institutional investors in the bond market. The proportion of bond assets in the total assets of commercial banks is increasing. Bond investment has become an important way for commercial banks to conduct diversified asset allocation. At the same time, in recent years, affected by many international and domestic factors, the volatility of bond market yield has increased significantly, the default scale of credit bonds has increased year by year, and liquidity shocks have appeared from time to time. It is very important for commercial banks to use appropriate bond investment strategies in the complex market environment. Bank C is a city commercial bank. In line with the development trend of commercial banking business and financial market business, it has been actively participating in the bond market investment in recent years. The scale of bond assets has increased year by year, and the proportion of bond assets in the bank's assets is also increasing. The corresponding requirements for bond investment management ability are also improving. This paper takes bank C as the research object, combines theory with practice, with the help of bond portfolio strategy theory, tries to analyze the problems of Bank C bond investment strategy and put forward the corresponding solutions, and formulate risk control standards for the smooth implementation. Firstly, in the introduction, it introduces the research background and significance of this paper, expounds the research content and methods, secondly, it introduces the relevant theories on which the research topic is based, then analyzes the shortcomings of the bond investment strategy of Bank C, finds out the reasons for the problems, and then puts forward the positive bond investment strategy based on interest rate expectation according to the relevant theories and the reality of China's bond market In order to achieve stable returns under the condition of risk control, it provides reference for other small and medium-sized banks to improve their bond investment strategies. Finally, the research content of this paper is summarized, and the future research is prospected.
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