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Research on Risk Management of Fixed Income Securities

Author: ZhangChen
Tutor: GuoMing; WangYiMin
School: Shanghai Jiaotong University
Course: Business Administration
Keywords: Fixed Income Securities Risk Management Market Risk Credit Risk
CLC:
Type: Master's thesis
Year: 2013
Downloads: 198
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Abstract


Fixed-income securities market is a major component of the capitalmarket, playing an important role to the improvement of the financialsystem and the coordinated development of the economy.International fixed-income securities market is thriving as a whole.China’s fixed-income securities market development lagged behindcompared to international counterparties. Approved by the State Council in2012, One Bank and Three Councils released financial sector developmentand reform "12th Five-Year Plan", stating that we should actively developthe fixed-income securities market, encourage the steady expansion of themarket, and promote product innovation and diversification, for thedevelopment of the fixed income securities market to create a goodinstitutional environment. There is a trend to vigorously develop China’sfixed-income securities market. In this process, risk management willbecome even more important.Based on international and domestic fixed income securitiesdevelopment history and present situation as the background, this papersystematically reviews the domestic and international risk managementtheory and related research accomplishments, the management of marketrisk and credit risk. On this basis, factors such as the influence of shadow banking to the fixed income securities market, the RMBinternationalization and marketization of interest rate and risk factors ofcredit risk characteristics are analyzed in the application of riskmanagement in China’s fixed income securities market. Thus somesuggestions and measures are put forward: In order to hedge the credit risk,we should vigorously develop similar credit hedge tools; At the same timein order to reduce the credit risk of a market and increase liquidity in themarket, we should encourage the development of asset securitization;Finally from the perspective of helping industrial transformation andeconomic development, we should encourage the development of highyield bond to reduce the credit risk of fixed income securities market. Thedevelopment of these products can help investors better manage fixedincome securities risks in our country.The first chapter "Introduction" is an overview of the paper by brieflydiscusses the research background and methods; China’s fixed securitiesmarket status and significance of research topics and the research methodsand ideas. The second chapter is “Literature Review”, citing the relatedtheories and the research status of the field of risk management offixed-income securities and lays a solid theoretical foundation for the laterchapters. The third chapter is “Fixed Income Risk Management Overview”.It describes the relevant definition of the concept of fixed-incomesecurities risk category-quantifiable risk and non-quantitative riskmanifestations. Thus it leads to the two most important risks. The fourthchapter "Market Risk Management" and the fifth chapter "Credit RiskManagement" describe the theory and application of tools to analyze thetwo major risks of fixed-income securities. The sixth chapter "Suggestions on Application of Risk Management in Chinese Market" describes theapplications and features of risk factors in China and proposes somesuggestions. The Seventh Chapter "Conclusion" summarizes theinnovations and future research directions.

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