中小银行债券投资决策机制与分析模型
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摘要
目前,债券投资业务是国内商业银行除存贷款之外的主要业务之一,但商业银行普遍以存贷款业务为主,对债券投资业务重视程度不够,管理较粗放,风险较大。随着我国利率市场化进程的加快,商业银行必须改变传统的以存贷利差为主要利润来源的盈利模式,而发展债券投资业务将是主要选择之一。作为国内银行业的重要组成部分,中小银行同样面临这一挑战,而且更需尽快将债券投资业务发展提上议事日程。因此,研究中小银行债券投资问题,对中小银行改进管理、实现业务转型具有重要意义。
本文围绕中小银行债券投资问题,重点从决策机制和分析模型两方面进行了深入研究。全文共分五部分：第一部分介绍了中小银行债券投资研究的背景和意义,以及国内外研究现状；第二部分概述了中小银行债券投资业务的基本情况,分析了中小银行债券投资的特点、功能、做法和目前存在的问题、风险：第三部分从实务的角度研究了中小银行债券投资的决策机制建设。针对当前中小银行债券投资决策机制存在的问题,结合债券投资特点和国内国际同业经验,分别设计了中小银行债券投资的资源配置机制、决策组织架构和绩效考核机制；第四部分从定性、定量两方面研究了宏观经济因索对中小银行债券投资收益的影响。在从宏观经济指标、经济政策和债券市场资金面三方面研究经济变量对债券投资收益影响的定性分析基础上，利用因子分析和主成分分析方法构建了债券投资收益的宏观经济计量模型；第五部分从投资策略分析角度,引入久期约束、用下半方差作为风险度量,构建了基于利率风险和流动性风险管理的中小银行债券投资组合优化模型。在理论上分析了模型最优解的存在性,证明了模型具有全局最优解；依据模型的随机属性,构造了求解模型的蒙特卡罗罚函数算法并证明了算法的收敛性,给出了相应的数值算例。文章最后总结了本文主要的研究结论,探讨了研究的局限性和进一步研究的扩展方向。
本文的特色及创新之处,一是从实务角度研究了中小银行债券投资的决策机制建设,为中小银行债券投资提供了规范的运作模式；二是从定性和定量两方面建立了中小银行债券投资宏观影响因素分析框架,建立了债券投资收益的宏观经济计量模型,以此为中小银行债券投资提供基本面分析的理论基础；三是研究了中小银行债券投资组合策略,建立了基于中小银行风险管理的债券投资组合优化模型,为中小银行债券投资提供了选择最优策略的科学方法和决策依据。
At present the bond investment is one of the main businesses except deposits and loans which are the most ones in almost all banks in China. However, the bond investment in banks is not focused by the bank's managers, and the management method is not only very easier but also be with more risks. With the development of the market-based interest rate reform in our country, the profit styles in banks of China need to be changed from the interest spread between deposit and loan in the conventional businesses to the developing bond investment which is one of the main choices. As the important part in the banks of China, there are many challenges and some things developed in the small and medium-sized banks. Therefore, it is a very significant problem for the small and medium-sized banks to improve their management level and to change the styles of their businesses by the way of the bond investment.
In this dissertation, the bond investment problems in the small and medium banks are studied, especially its decision mechanism and analysis model are the most problems. There are five parts in this dissertation. Firstly, the background and significance and the literatures about the bond investment are introduced. Secondly, the based things of bond investment in the small and medium size banks are introduced, and analyzing its characteristic, functions, operations, problems and risk. Thirdly, from the practical point of view, the decision mechanisms of the bond investment in banks are studied, we devised the system of allocation of resources, the system of organization and the system of performance appraisal according to the characteristic of the management of the small and medium size bank. Fourthly, we studied the effect of the macroeconomic indicators on the return of the bond investment with both qualitative and quantitative methods. Based on the qualitative analysis, the econometrics model is made in order to research this effect by using the factor analysis and the principal component analysis method. In the fifth part, we studied the strategy of the bond investment of the small and medium size bank by an investment portfolio bond model based on the risk management of the small and medium size bank. By introduction of the duration constraint, using the Semi-variance as a risk measure, we set up a bond portfolio model suitable for the small and medium size bank's risk management of interest rate and liquidity. We analyzed the existence of the optimal solution of the model, and proved that the solution is a global solution of the model. Moreover, a Monte Carlo penalty function algorithm was constructed to get the optimal portfolio policies via the random attribute of the model, and proved the convergence of the algorithm. The corresponding numerical example was given for illustrating the validity of the model. At last, we summarized the conclusion and the shortcomings of our study and further studies.
The main contributions lie in three aspects:
The first, we studied the decision mechanism of the bond investment in the small and medium-sized banks from a practical view, and in order to providing some regulatory running styles for this kind of banks.
The second, we construct the analytical framework for the effect of the macroeconomic indicators on the bond investment in this banks by both qualitative and quantitative methods. By constructing a multivariate statistical regression model used to analyze this effect, the economic explanation of the bond investment is given, and as a theoretical basis on study of the bond investment in this type of banks.
The third, we studied the strategy of the bond investment of the small and medium size bank by an investment portfolio bond model based on the risk management of the small and medium size bank, in order to provide some scientific methods and decision for the optimal bond investment in the small and medium-sized banks.
本文围绕中小银行债券投资问题,重点从决策机制和分析模型两方面进行了深入研究。全文共分五部分：第一部分介绍了中小银行债券投资研究的背景和意义,以及国内外研究现状；第二部分概述了中小银行债券投资业务的基本情况,分析了中小银行债券投资的特点、功能、做法和目前存在的问题、风险：第三部分从实务的角度研究了中小银行债券投资的决策机制建设。针对当前中小银行债券投资决策机制存在的问题,结合债券投资特点和国内国际同业经验,分别设计了中小银行债券投资的资源配置机制、决策组织架构和绩效考核机制；第四部分从定性、定量两方面研究了宏观经济因索对中小银行债券投资收益的影响。在从宏观经济指标、经济政策和债券市场资金面三方面研究经济变量对债券投资收益影响的定性分析基础上，利用因子分析和主成分分析方法构建了债券投资收益的宏观经济计量模型；第五部分从投资策略分析角度,引入久期约束、用下半方差作为风险度量,构建了基于利率风险和流动性风险管理的中小银行债券投资组合优化模型。在理论上分析了模型最优解的存在性,证明了模型具有全局最优解；依据模型的随机属性,构造了求解模型的蒙特卡罗罚函数算法并证明了算法的收敛性,给出了相应的数值算例。文章最后总结了本文主要的研究结论,探讨了研究的局限性和进一步研究的扩展方向。
本文的特色及创新之处,一是从实务角度研究了中小银行债券投资的决策机制建设,为中小银行债券投资提供了规范的运作模式；二是从定性和定量两方面建立了中小银行债券投资宏观影响因素分析框架,建立了债券投资收益的宏观经济计量模型,以此为中小银行债券投资提供基本面分析的理论基础；三是研究了中小银行债券投资组合策略,建立了基于中小银行风险管理的债券投资组合优化模型,为中小银行债券投资提供了选择最优策略的科学方法和决策依据。
At present the bond investment is one of the main businesses except deposits and loans which are the most ones in almost all banks in China. However, the bond investment in banks is not focused by the bank's managers, and the management method is not only very easier but also be with more risks. With the development of the market-based interest rate reform in our country, the profit styles in banks of China need to be changed from the interest spread between deposit and loan in the conventional businesses to the developing bond investment which is one of the main choices. As the important part in the banks of China, there are many challenges and some things developed in the small and medium-sized banks. Therefore, it is a very significant problem for the small and medium-sized banks to improve their management level and to change the styles of their businesses by the way of the bond investment.
In this dissertation, the bond investment problems in the small and medium banks are studied, especially its decision mechanism and analysis model are the most problems. There are five parts in this dissertation. Firstly, the background and significance and the literatures about the bond investment are introduced. Secondly, the based things of bond investment in the small and medium size banks are introduced, and analyzing its characteristic, functions, operations, problems and risk. Thirdly, from the practical point of view, the decision mechanisms of the bond investment in banks are studied, we devised the system of allocation of resources, the system of organization and the system of performance appraisal according to the characteristic of the management of the small and medium size bank. Fourthly, we studied the effect of the macroeconomic indicators on the return of the bond investment with both qualitative and quantitative methods. Based on the qualitative analysis, the econometrics model is made in order to research this effect by using the factor analysis and the principal component analysis method. In the fifth part, we studied the strategy of the bond investment of the small and medium size bank by an investment portfolio bond model based on the risk management of the small and medium size bank. By introduction of the duration constraint, using the Semi-variance as a risk measure, we set up a bond portfolio model suitable for the small and medium size bank's risk management of interest rate and liquidity. We analyzed the existence of the optimal solution of the model, and proved that the solution is a global solution of the model. Moreover, a Monte Carlo penalty function algorithm was constructed to get the optimal portfolio policies via the random attribute of the model, and proved the convergence of the algorithm. The corresponding numerical example was given for illustrating the validity of the model. At last, we summarized the conclusion and the shortcomings of our study and further studies.
The main contributions lie in three aspects:
The first, we studied the decision mechanism of the bond investment in the small and medium-sized banks from a practical view, and in order to providing some regulatory running styles for this kind of banks.
The second, we construct the analytical framework for the effect of the macroeconomic indicators on the bond investment in this banks by both qualitative and quantitative methods. By constructing a multivariate statistical regression model used to analyze this effect, the economic explanation of the bond investment is given, and as a theoretical basis on study of the bond investment in this type of banks.
The third, we studied the strategy of the bond investment of the small and medium size bank by an investment portfolio bond model based on the risk management of the small and medium size bank, in order to provide some scientific methods and decision for the optimal bond investment in the small and medium-sized banks.
引文
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