【作者】 李志强；

【导师】 胡珑瑛；

【作者基本信息】 哈尔滨工业大学 ， 工商管理， 2012， 硕士

【摘要】 债券市场是金融市场的重要组成部分，也是一个国家和企业融资的主要渠道，一直以来受到世界各国的高度重视和支持。我国于1981年恢复国债发行以来，债券市场得到了长足发展。目前中国债券市场的格局是银行间债券市场为主要市场，交易所，银行柜台市场为补充。债券品种、发行主体、交易形式都得到了极大的发展。银行间债券市场的形成，给市场成员投融资创造了极大的便利条件，为市场成员调整资产结构、扩大投资渠道、分散资产风险拓展了空间。同时，也增强了资金的流动性，提高了资金的使用效率。目前债券投资业务已经成为金融机构三大资产业务之一，在经营中发挥着至关重要的作用。然而影响债券的市场价格和实际收益率的因素很多，诸如国家宏观经济政策和外部环境因素这些都使得债券投资者的收益不断发生变化，从而使债券投资者面临各种风险，因此如何选择债券投资组合策略是债券投资首要解决的问题。本文通过对国外债券投资组合研究发展历程、我国同业拆借市场、债券市场、哈尔滨银行债券投资业务发展现状的论述，指出目前哈尔滨银行债券投资业务中存在的主要问题，在此基础之上对哈尔滨银行债券投资组合策略选择、债券投资组合风险控制行了研究。在投资组合策略选择方面，通过对债券价值的分析和债券投资在资产负债管理中的作用，提出了积极的债券投资组合策略和消极的债券投资组合策略；在投资风险控制方面，通过对债券的久期和凸性的计算，判断利率变化对投资收益率的敏感程度，为提高债券投资收益和有效规避投资风险提供了很好的分析工具。更多还原

【Abstract】 Bond market is an important part of the financial markets, but also the mainchannel of a country and corporate finance, which has received worldwideattention and support. In1981, China resumed the issue of bonds, and the bondmarket kept growing since then. Currently, China’s bond market has theinter-bank bond market as main body, exchange and bank counter bond market assupplement. It has been developed a great deal in the varieties of bonds, themain body of issuing, and the form of transaction. The formation of theinter-bank bond market has created great convenience for market participants’investment and financing, and expanded the space for the market participants toadjust asset structure, expand investment channels, and disperse the assets risk. Italso enhances the capital mobility, and improves the capital efficiency. Thecurrent bond investment business has become one of the three assets businessesof financial institutions, and plays a crucial role. However, due to the marketprice and the actual bond yield is affected by many factors, with changes in thenational macro-economic policies and external environmental factors, theinvestors’ actual returns will also change, so that the behavior of investors willproduce a variety of risks. Therefore, the bond portfolio choosing strategy hasbecome the focus of investors’ attention.Based on the study of development process of foreign bond portfolio,China’s interbank market, bond market, and bond investment banking business ofHarbin Bank, this thesis points out the main problems in the bond investmentbusiness of Harbin Bank, and, on this basis, studies the bond por tfolio strategyselection as well as the bond portfolio risk control of Harbin Bank. As to thestrategic choices of portfolio, through the analysis of the value of bonds and therole of bond investment in the asset-liability management, it makes positive andpassive bond portfolio strategies. In terms of investment risk control, through thecalculations of bond duration and convexity, it makes judgment on the sensitivityof the interest rate changes to the investment income, and provides a goodanalysis tool to improve the bond income and avoid investment risk effectively.更多还原