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论文编号：	12525
作者编号：	2320180716
上传时间：	2021/6/15 10:59:51
中文题目：	H银行债券投资业务风险管理与对策研究
英文题目：	Research on risk management and Countermeasures of H bank''''s bond investment business
指导老师：	姚颐
中文关键字：	商业银行；债券投资；风险管理
英文关键字：	Commercial bank; bond investment; risk management
中文摘要：	我国债券市场自2005年以来进入加速发展阶段，债券品种越来越丰富，并形成多头监管的局面，发行债券成为企业越来越重要的融资手段。但同时债券投资风险也越来越引起投资者的重视，尤其是2014年以来债券违约打破刚性兑付，2020年债券违约主体由民企转向高评级国企，市场担忧情绪高涨，而金融机构尤其是银行是主要的债券投资者，债券投资业务在商业银行金融市场业务中发挥着越来越重要的作用，成为优化资产配置、提升资产质量的重要工具，债券投资的收益也越来越成为银行收入的主要来源之一，但同时银行也承担着很大的信用风险，尤其疫情全国蔓延导致债券主体和交易对手履约能力降低，银行债券投资业务信用风险逐渐暴露，在此背景下，商业银行加强债券投资的风险管理显得更加迫切。同时在信息化、数字化的当今时代，银行的风险管理也越来越趋向于复杂化，大数据技术在债券投资风险管理领域得到更广泛的应用，可以更有效地监控风险、管理风险，进而有效提升商业银行的盈利能力。 本文在大量债券市场违约风险、商业银行风险管理等方面的文献资料研究基础上，总结了我国债券市场的发展历程，分析债券业务面临的风险；基于全面风险管理、债券业务风险、债券投资业务风险管理等理论视角，运用文献分析法、定性与定量相结合分析法、调查分析法等，结合H银行自身债券投资业务经营情况及风险管理现状，从组织架构、业务流程与管理情况、风险识别与评估、风险控制四个方面进行了分析，总结了H银行债券投资风险管理存在的问题，包括在风险研究能力、风险管控措施、资产定价、信息科技建设等方面存在不足。风险研究能力方面，主要体现在缺乏专业的研究团队，比如金融市场部研究员、风险管理部人员不足，既懂业务又懂风险的复合型人才较少；专业能力的不足，导致无法及时对宏观政策及经济变化做出投资策略的转变。风险管控措施方面，首先风险投资策略有效性不足，比如主动管理能力不足，尤其在2020年利率快速变化时，受债券流转亏损较大、规模性指标考核等影响，条线管理部门不能按照市场变化快速调整投资策略；市场风险限额管理体系未按照账户组合进行相应区分；对于金融市场部代理行内其他部门进行债券交易操作的业务未明确相应的职责、损失分摊及责任认定等。其次风险识别与计量不准确，债券投资业务的准入过于依赖外部评级结果；使用VaR方法实现投资组合的风险度量，但未专门制定市场风险的压力测试方案，也未涉及压力VaR、极端情景模拟等复杂压力情况情景；风险管理缺乏定量指标评估。除此之外风险预警机制不完善，从整体来看H银行风险预警管理处于被动局面，多项指标超过限额未采取相应的处理机制，未按规定处理超限额情况，未制定信用风险限额设定、限额调整、超限额报告与处理的制度；与限额管理相关的风险计量工具、信息管理系统不完善，无法支持信用风险限额的测算和自动管控，只能通过人工进行简单的限额设定、调整与报告。资产定价管理方面，资产定价包含了风险溢价，也就是承担风险必须要得到一定的补偿，H银行债券投资定价采用加成法定价模型，但在风险成本部分仅依赖于内部评级确定预期损失，未考虑债项评级，未考虑流动性风险、市场风险、再投资风险等因素。除此之外其他成本的计量也不精确，简单采用全行费用，区分固定费用、人工费用，未建立成本分摊系统。系统建设方面，主要体现在债券投资业务系统功能不健全，很多重要数据无法通过系统获取、系统分散不利于风险管理的统筹管理；其次风险预警监测系统因数据质量差导致存在功能缺陷及模型建设不足。 最后，结合H银行自身特点及我国债券市场环境，有针对性地提出相应的对策及建议。在提升风险研究能力方面，H银行首先要树立风险创造价值的理念，也就是自上而下加强对风险管理的重视；其次可以通过建立全面人才梯队、内部培养、外部引进与合作方式提升管理团队和研究团队的实力。在优化风险管控机制方面，需要采取合适的债券投资组合策略应对市场风险，比如调整债券持有期限、提高主动投资的能力、优化风险计量模型；完善内部信用评级体系，建立组合评级；提高债券投资风险识别能力，包括识别行业风险、高杠杆企业；优化风险应对策略和做好风险处置措施，包括使风险监测实现业务全覆盖、差异化风险管理、黑灰名单机制。在优化资产定价管理方面，需要完善债券投资业务定价模型，将更多的风险因素加入到定价模型，更客观的反映风险与收益；加强成本计量精细化管理，建立成本分摊系统。在加强金融科技在风险管理的应用方面，需要提高债券投资业务系统建设能力，比如加强科技人才队伍建设、提高人工智能的应用、完善债券投资业务系统功能；运用大数据完善风险预警体系，比如数据整合、提升模型决策能力。 通过加强H银行债券投资业务的风险管理能力，可以提高H银行的盈利水平。对H银行未来债券投资业务的发展提供一定的指导意义，并为商业银行债券投资业务风险管理提供借鉴。
英文摘要：	China’s bond market has entered a stage of accelerated development since 2005, with more and more bond varieties, and a situation of multiple supervision has been formed. Issuing bonds has become an increasingly important means of financing for enterprises. But at the same time, the risk of bond investment has attracted significantly attention from investors, especially since bond defaults have broken the rigid payment since 2014. The subject of bond defaulted has shifted from private enterprises to high-rated state-owned enterprises since 2020. These have led to rising concerns in the market. Financial institutions, especially banks, are major bond investors. Bond investment business is playing an increasingly important role in the financial market business of commercial banks, becoming an important tool for optimizing asset allocation and improving asset quality. The income from bond investment has increasingly become one of the main sources of bank income. At the same time, banks are also taking a lot of credit risks. In particular, the spread of the epidemic across the country has reduced the ability of bond entities and counterparties to perform, and the credit risks of bank bond investment business have gradually exposed. In this context, it is more urgent for commercial banks to strengthen the risk management of bond investment. Meanwhile, in the current era of informatization and digitalization, bank risk management is becoming more and more complicated. Big data technology has been widely used in the field of bond investment risk management, which can more effectively monitor and manage risks, and then effectively improve profitability. This article summarizes the development history of China’s bond market and analyzes the risks faced by the bond business on the basis of a large number of documents on bond market default risk and commercial bank risk management. Based on the related theoretical perspectives such as comprehensive risk management, bond business risk, and bond investment business risk management, using approaches such as literature analysis, qualitative and quantitative analysis and survey analysis, we analyze H Bank’s own bond investment business operation and risk management status from the following four aspects: organizational structure, business process and management, risk identification and evaluation, risk control. We then summarize the problems in the risk management of H Bank’s bond investment, including deficiencies in risk research capabilities, risk control measures, asset pricing, and information technology construction. In terms of risk research capabilities, it is mainly reflected in the lack of professional research teams, such as the lack of researchers in the financial market department and the lack of personnel in the risk management department. There are fewer compound talents who understand both business and risk. Insufficient professional capabilities have led to the inability to make timely changes in investment strategies for macroeconomic policies and economic changes. In terms of risk control measures, first of all, the effectiveness of risk investment strategies is insufficient, such as the lack of active management capabilities, especially the line management department cannot adjust investment strategies immediately depending on market changes in 2020, when interest rates change rapidly due to the impact of large bond turnover losses and large-scale indicator assessments; the market risk limit management system is not differentiated according to the account portfolio; the corresponding responsibilities, loss allocation and liability determination of the business of other departments in the financial market department's agency bank for bond trading operations are not clear. Secondly, risk identification and measurement are inaccurate. The access of bond investment business relies heavily on external rating results. The VaR method is used to realize the risk measurement of the investment portfolio, but there is no special market risk stress test plan, nor complex stress situations such as stress VaR and extreme scenario simulations. Risk management lacks quantitative indicator evaluation. In addition, the risk early-warning mechanism is imperfect. On the whole, Bank H's risk early-warning management is in a passive situation. Corresponding handling mechanisms have not been adopted when multiple indicators exceed the limit, the exceeding limit has not been handled in accordance with regulations, and the credit risk limit setting, limit adjustment, over-limit reporting and processing system have not been established. Risk measurement tools and information management systems related to limit management are not perfect, which make it impossible to support the calculation and automatic control of credit risk limits, and simple limit setting, adjustment and report can be only done manually. In terms of asset pricing management, asset pricing includes a risk premium, which means that a certain amount of compensation should be obtained for taking risks. H Bank’s bond investment pricing uses an additive pricing model. In the risk cost part, it only relies on the internal rating to determine the expected loss, without considering factors such as liquidity risk, market risk, and reinvestment risk. Besides, the measurement of other costs is not accurate. The bank-wide expenses are simply used to distinguish between fixed expenses and labor expenses. Cost sharing system has been not established. In terms of system construction, it is mainly reflected in the imperfect functions of the bond investment business system, many important data cannot be obtained through the system, and the dispersion of the system is not conducive to the overall management of risk management. Secondly, the risk early warning and monitoring system has functional defects and insufficient model construction due to poor data quality. Finally, combined with H Bank’s own characteristics and China’s bond market environment, corresponding countermeasures and suggestions are put forward. In order to improve ability of risk research, we must first establish the concept of risk creating value, that is, we should pay more attention to risk management from top to bottom; Secondly, through the establishment of a comprehensive talent echelon, internal training, external introduction and cooperation to enhance the strength of the management team and research team. In terms of optimizing risk management and control mechanisms, it is necessary to adopt appropriate bond investment portfolio strategies to respond to market risks, such as adjusting bond holding periods, improving active investment capabilities, and optimizing risk measurement models; improving internal credit rating systems and establishing portfolio ratings; increasing bond investment risk identification capabilities include identifying industry risks and highly leveraged companies; optimizing risk response strategies and implementing risk treatment measures, including risk monitoring to achieve full business coverage, differentiated risk management, and black and gray list mechanisms. In terms of optimizing asset pricing management, it is necessary to improve the bond investment business pricing model, add more risk factors to the pricing model, and more objectively reflect risks and returns; strengthen the refined management of cost measurement, and establish a cost sharing system. In strengthening the application of financial technology in risk management, it is necessary to improve the ability to build bond investment business systems, such as strengthening the construction of scientific and technological talents, improving the application of artificial intelligence, and improving the functions of the bond investment business system; using big data to improve the risk warning system, such as data integrate and improving model decision-making capabilities. By strengthening the risk management capabilities of H bank’s bond investment business ,it can improve the profitability of H bank. It will provide certain guidance for the development of Bank H’s bond investment business in the future, and provide a reference for the risk management of commercial banks’ bond investment business.
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