Exceptions

Key "271" for array with keys "0" does not exist.

500 Internal Server Error - Twig_Error_Runtime

Stack Trace

in plugins/MeetingPlugin/Resources/views/Meeting/detail.html.twig at line 963
1. {% if categoryNones %}
2. {% for category in categoryNones[0] %}
4. {% if categoryNones[category.id] %}
6. {% for categorySub in categoryNones[category.id] %}
7. <div class="modal-title flex-between-center">
at Twig_Template ->getAttribute (array(array(array('id' => '271', 'meetingId' => '38', 'type' => 'none', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1601265020', 'weight' => '1', 'price' => '0'))), '271', array(), 'array')
in app/cache/dev/Ilingdai/twig/cb/cbdd215a273f7bc357486b2e65777167aaf54bea7f25ba34d49c0b95c4c3d680.php at line 1842
1. echo "
2. \t\t\t\t\t\t";
3. // line 963
4. if ($this->getAttribute(($context["categoryNones"] ?? $this->getContext($context, "categoryNones")), $this->getAttribute($context["category"], "id", array()), array(), "array")) {
5. // line 964
6. echo "
7. \t\t\t\t\t\t\t";
at __TwigTemplate_6793a0c3cabe10a616e192498e5200267497a740c26a922645be0c9c26b11096 ->block_content (array('meeting' => array('id' => '38', 'title' => '2020TGES前沿讲座主题系列一金融市场交易与市场风险管理', 'subtitle' => '天弈全球专家研讨（TGES）利用近二十年专业交流积累的丰富国内外专家资源，邀请126位资深专家分12个系列24天隆重推出“TGES2020周末在线前沿讲座系列”。', 'thumb' => 'public://meeting/2020/07-23/1440237687df477710.jpg', 'originalThumb' => 'public://article/2020/07-23/14402379ba3d715737.jpg', 'price' => '15000.00', 'about' => '主题系列1：金融市场交易与市场风险管理   7月11日（星期六）讲座1：风险信息在股市和债市之间的传递— 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）             彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）               陈璐，华夏银行风险管理部副总经理讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）              倪斌，招商银行总行金融市场部风险总监讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）              薛宏立，浦发银行总行金融市场部总经理   7月12日（星期日）讲座5：大宗商品套利及其风险点（7月12日 8:30—9:45）              杨晓武，国投安信期货有限公司副总经理讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）              沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监讲座7：投资与风险管理（7月12日 11:10~12:25）              徐凡，盛宝银行大中华区首席执行官、全球执委会委员讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）              张嘉为，银河证券自营投资总部副总经理讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）              黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理    ', 'plan' => ' ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p> ', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx"> <p style="font-size: 1.3em;font-weight: bold;">天弈方圆·天弈研究院</p> <p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p> <p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进“基于风险和科技驱动的金融（RBTDF）”在中国的发展。</p> </footer> ', 'subjectCount' => '0', 'savantCount' => '0', 'receipt' => '', 'appendix' => null, 'startTime' => '1594425600', 'endTime' => '1594548000', 'locale' => '线上', 'type' => 'review', 'classify' => 'chari', 'createdTime' => '1595488014', 'updatedTime' => '1618222496', 'attachment' => array('fileIds' => '', 'targetType' => 'meeting', 'type' => 'attachment'), 'sticky' => '', 'weight' => '16', 'banner' => 'files/meeting/2020/07-23/150634ab3f22622535.jpg', 'enabled' => '1', 'topic' => '0', 'streamlink' => '', 'tencent' => '', 'circle' => '0', 'process' => '2', 'process_start' => '0', 'process_end' => '0', 'webviewed' => '0', 'onviewing' => '5672', 'inclass' => '1', 'trueprice' => '15000'), 'experts' => array(array(array('id' => '548', 'title' => '风险信息在股市和债市之间的传递— 兼论资本结构套利及莫顿模型在中国适用性', 'meetingId' => '38', 'categoryId' => '271', 'type' => 'expert', 'name' => '彭一凡', 'ranks' => '波士顿咨询公司（纽约）风险管理部董事总经理', 'about' => '波士顿咨询公司（纽约）风险管理部董事总经理。曾任美银美林交易对手风险量化模型及管理高级顾问，香港美林（亚太）证券结构化产品部总监，在美国金融界从业20余年，曾先后在美国惠誉评级公司、瑞士信贷第一波士顿银行等担任部门副总裁、总监等职。近十年专注交易对手风险与模型风险测度的理论探讨与实践', 'thumb' => '/files/default/2020/09-28/11591313de3e272133.jpg?version=8.3.20', 'videoUrl' => null, 'linkUrl' => null, 'createdTime' => '1601265556', 'updatedTime' => '1611387742', 'weight' => '10', 'expertId' => '0', 'short' => '', 'showable' => '0', 'broad' => '0', 'process' => '0'), array('id' => '550', 'title' => '巴Ⅲ市场风险新监管标准实施对商业银行的挑战', 'meetingId' => '38', 'categoryId' => '271', 'type' => 'expert', 'name' => '陈璐', 'ranks' => '华夏银行产业数字金融部总经理', 'about' => '华夏银行风险管理部副总经理。金融学博士，银监会与北京大学联合培养博士后。主要负责巴塞尔新资本协议在银行风险管理中的实施、市场风险管理、内部评级及智能风控的相关工作等。', 'thumb' => '/files/default/2020/09-28/12002484fbcf314069.jpg?version=8.3.20', 'videoUrl' => null, 'linkUrl' => null, 'createdTime' => '1601265626', 'updatedTime' => '1611387750', 'weight' => '8', 'expertId' => '0', 'short' => '', 'showable' => '0', 'broad' => '0', 'process' => '0'), array('id' => '551', 'title' => '以全面风险管理维度审视金融市场业务', 'meetingId' => '38', 'categoryId' => '271', 'type' => 'expert', 'name' => '倪斌', 'ranks' => '招商银行总行金融市场部风险总监', 'about' => '招商银行总行金融市场部风险总监。招商银行总行金融市场部风险总监。曾任招商银行首席交易员、招商银行市场风险管理部总经理,先后在国有商业银行海外分行、招商银行总行从事交易和投资，具有20年的交易实践和风险管理经验', 'thumb' => '/files/default/2020/09-28/1337200802e2852866.jpg?version=8.3.20', 'videoUrl' => null, 'linkUrl' => null, 'createdTime' => '1601271442', 'updatedTime' => '1612030862', 'weight' => '7', 'expertId' => '0', 'short' => '', 'showable' => '0', 'broad' => '0', 'process' => '0'), array('id' => '552', 'title' => '明变，有备而战⸺ 金融市场和交易逻辑衍变梳理', 'meetingId' => '38', 'categoryId' => '271', 'type' => 'expert', 'name' => '薛宏立', 'ranks' => '浦发银行总行金融市场部总经理', 'about' => '浦发银行总行金融市场部总经理。博士，高级经济师，曾任邮储银行总行金融市场部副总经理，光大银行资金部投资交易处处长、资产负债处处长、廊坊分行副行长等职。亚行压力测试中国技援组副组长，发改委PPP专家库专家，国家外专局国际金融风险管理高级人才培养项目核心专家、交易商协会衍生品业务专家委员会委员等。', 'thumb' => '/files/default/2020/09-28/133805d32f30635087.jpg?version=8.3.20', 'videoUrl' => null, 'linkUrl' => null, 'createdTime' => '1601271486', 'updatedTime' => '1611387770', 'weight' => '6', 'expertId' => '0', 'short' => '', 'showable' => '0', 'broad' => '0', 'process' => '0'), array('id' => '553', 'title' => '大宗商品套利及其风险点', 'meetingId' => '38', 'categoryId' => '271', 'type' => 'expert', 'name' => '杨晓武', 'ranks' => '国投安信期货有限公司副总经理，国投中谷上海投资公司董事长', 'about' => '国投安信期货有限公司副总经理，国投中谷上海投资公司董事长，高级经济师。长期在央企从事大宗商品进出口及衍生品保值业务，对境内外期货等衍生工具保值业务无论从风险控制、保值数量、保值效果和保值工具的应用方面，都有独到和成功运作的案例。', 'thumb' => '/files/default/2020/09-28/134149ded84c809280.jpg?version=8.3.20', 'videoUrl' => null, 'linkUrl' => null, 'createdTime' => '1601271718', 'updatedTime' => '1611387776', 'weight' => '4', 'expertId' => '0', 'short' => '', 'showable' => '0', 'broad' => '0', 'process' => '0'), array('id' => '554', 'title' => '金融科技在国内期货期权交易中的应用及心得', 'meetingId' => '38', 'categoryId' => '271', 'type' => 'expert', 'name' => '沈雁', 'ranks' => '衍生品交易和风险管理国际资深专家，曾任高盛FICC泛亚地区风险总监', 'about' => '衍生品交易和风险管理国际资深专家，曾任职高盛FICC战略交易组，复杂衍生品交易部，泛亚太地区风险管理总监，衍生品分析部全球掉期产品负责人。德意志银行中国区机构性产品业务总监。樱花全球资本新产品亚洲区负责人，自营交易员。热衷金融工程，复杂衍生品定价理论，风险管理交易系统实现及技术手段。美国Brown大学博士。', 'thumb' => '/files/default/2020/09-28/134645502548545925.jpg?version=8.3.20', 'videoUrl' => null, 'linkUrl' => null, 'createdTime' => '1601272008', 'updatedTime' => '1611387785', 'weight' => '3', 'expertId' => '0', 'short' => '', 'showable' => '0', 'broad' => '0', 'process' => '0'), array('id' => '555', 'title' => '投资与风险管理', 'meetingId' => '38', 'categoryId' => '271', 'type' => 'expert', 'name' => '徐凡', 'ranks' => '盛宝银行大中华区首席执行官、全球执委会委员', 'about' => '盛宝银行大中华区首席执行官、全球执委会委员。美国哥伦比亚大学博士。曾任纽约花旗银行总部全球金融市场部资深交易员；中国光大银行资金部副总经理、中国光大银行风险部市场风险总监；中信保诚人寿保险有限公司总经理助理、资金运用部门负责人、首席投资官。', 'thumb' => '/files/default/2020/09-28/13484196613d276585.jpg?version=8.3.20', 'videoUrl' => null, 'linkUrl' => null, 'createdTime' => '1601272123', 'updatedTime' => '1611387792', 'weight' => '2', 'expertId' => '0', 'short' => '', 'showable' => '0', 'broad' => '0', 'process' => '0'), array('id' => '557', 'title' => '固定收益投资业务风险管理实务探讨', 'meetingId' => '38', 'categoryId' => '271', 'type' => 'expert', 'name' => '黄辉', 'ranks' => '申万宏源证券公司固定收益外汇商品事业部董事副总经理', 'about' => '申万宏源证券公司固定收益外汇商品事业部（Ficc事业部）董事副总经理，负责固定收益、大宗商品等业务投资管理及风控。历任申万宏源证券公司固定收益交易总部副总经理，宏源证券公司风险管理总部副总经理，多年从事证券投资管理工作，有超过八年的投资业务、资管业务风险管理经验。曾供职投资公司、商品交易所等机构。', 'thumb' => '/files/default/2020/09-28/1349586022b2470203.jpg?version=8.3.20', 'videoUrl' => null, 'linkUrl' => null, 'createdTime' => '1601272199', 'updatedTime' => '1611387811', 'weight' => '0', 'expertId' => '0', 'short' => '', 'showable' => '0', 'broad' => '0', 'process' => '0'))), 'info_comp' => '0', 'standpoints' => array(array('id' => '61', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座九固定收益投资业务风险管理实务探讨', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/154204c1b074796923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIb2yJh4ibjfspI9YEfYAJmfJKj0kujAzboOCRvChq0YichpmRefyZ5ghA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIb2yJh4ibjfspI9YEfYAJmfJKj0kujAzboOCRvChq0YichpmRefyZ5ghA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="黄辉.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉  申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p> <section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490128', 'updatedTime' => '1595490128', 'weight' => '0', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '59', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座七金融科技在国内期货期权交易中的应用及心得', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15400119b32f996986.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="沈雁.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁  原高盛亚太地区市场风险管理总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490010', 'updatedTime' => '1595490010', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '60', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座八利率衍生品及利率风险管理策略实践', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/154058a5c123713755.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="张嘉为.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为  银河证券公司自营投资总部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的“三角力量”均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490062', 'updatedTime' => '1595490062', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '58', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座六投资与风险管理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/1538328cb599795149.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="徐凡.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡  盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489947', 'updatedTime' => '1595489947', 'weight' => '4', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '57', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座五大宗商品套利业务与风险控制', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15371396ed0b454218.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="杨晓武.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武  国投安信期货有限公司副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489835', 'updatedTime' => '1595489835', 'weight' => '5', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '55', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座三以全面风险管理维度审视金融市场业务', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/153347bd5350990353.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="倪斌.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌招商银行金融市场部风险总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489639', 'updatedTime' => '1595489639', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '56', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座四明变，有备而战---关于金融市场和交易的逻辑衍变的梳理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15344774c4f0709923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="薛宏立.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立 浦发银行总行金融市场部总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的“智能投研”业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键“变局”时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈“W”型波动。</span></p> <div> </div> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489702', 'updatedTime' => '1595489702', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '54', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座二巴Ⅲ市场风险新监管标准实施对商业银行的挑战', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15312086af86013032.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="陈璐.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐 华夏银行风险管理部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p> </section> </section> </section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489485', 'updatedTime' => '1595489539', 'weight' => '7', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '53', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座一风险信息在股市和债市之间的传递——兼论资本结构套利及莫顿模型在中国适用性', 'body' => '<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft 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padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/152203b47cfa925273.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="pengyifan.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡  <span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595488810', 'updatedTime' => '1595489518', 'weight' => '8', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0')), 'morning' => array('id' => '0', 'process' => '0'), 'afternoon' => array('id' => '0', 'process' => '0'), 'circle' => '1', 'summary' => '', 'categorys' => array('list' => array(array('id' => '260', 'meetingId' => '38', 'type' => 'list', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1595488079', 'weight' => '0', 'price' => '0'), array('id' => '261', 'meetingId' 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src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIb2yJh4ibjfspI9YEfYAJmfJKj0kujAzboOCRvChq0YichpmRefyZ5ghA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="黄辉.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word 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100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉  申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino 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text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p> <section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490128', 'updatedTime' => '1595490128', 'weight' => '0', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '59', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座七金融科技在国内期货期权交易中的应用及心得', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 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style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁  原高盛亚太地区市场风险管理总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490010', 'updatedTime' => '1595490010', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '60', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座八利率衍生品及利率风险管理策略实践', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/154058a5c123713755.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="张嘉为.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为  银河证券公司自营投资总部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的“三角力量”均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490062', 'updatedTime' => '1595490062', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '58', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座六投资与风险管理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/1538328cb599795149.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="徐凡.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡  盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489947', 'updatedTime' => '1595489947', 'weight' => '4', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '57', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座五大宗商品套利业务与风险控制', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15371396ed0b454218.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="杨晓武.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武  国投安信期货有限公司副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489835', 'updatedTime' => '1595489835', 'weight' => '5', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '55', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座三以全面风险管理维度审视金融市场业务', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/153347bd5350990353.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="倪斌.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌招商银行金融市场部风险总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489639', 'updatedTime' => '1595489639', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '56', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座四明变，有备而战---关于金融市场和交易的逻辑衍变的梳理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15344774c4f0709923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="薛宏立.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立 浦发银行总行金融市场部总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的“智能投研”业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键“变局”时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈“W”型波动。</span></p> <div> </div> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489702', 'updatedTime' => '1595489702', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '54', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座二巴Ⅲ市场风险新监管标准实施对商业银行的挑战', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15312086af86013032.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="陈璐.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐 华夏银行风险管理部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p> </section> </section> </section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489485', 'updatedTime' => '1595489539', 'weight' => '7', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '53', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座一风险信息在股市和债市之间的传递——兼论资本结构套利及莫顿模型在中国适用性', 'body' => '<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 0em; box-sizing: border-box !important; overflow-wrap: break-word !important;"> </p> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/152203b47cfa925273.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="pengyifan.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡  <span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595488810', 'updatedTime' => '1595489518', 'weight' => '8', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0')), 'morning' => array('id' => '0', 'process' => '0'), 'afternoon' => array('id' => '0', 'process' => '0'), 'circle' => '1', 'summary' => '', 'categorys' => array('list' => array(array('id' => '260', 'meetingId' => '38', 'type' => 'list', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1595488079', 'weight' => '0', 'price' => '0'), array('id' => '261', 'meetingId' 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max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉  申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p> <section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490128', 'updatedTime' => '1595490128', 'weight' => '0', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '59', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座七金融科技在国内期货期权交易中的应用及心得', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15400119b32f996986.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="沈雁.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁  原高盛亚太地区市场风险管理总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490010', 'updatedTime' => '1595490010', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '60', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座八利率衍生品及利率风险管理策略实践', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/154058a5c123713755.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="张嘉为.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为  银河证券公司自营投资总部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的“三角力量”均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490062', 'updatedTime' => '1595490062', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '58', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座六投资与风险管理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/1538328cb599795149.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="徐凡.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡  盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489947', 'updatedTime' => '1595489947', 'weight' => '4', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '57', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座五大宗商品套利业务与风险控制', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15371396ed0b454218.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="杨晓武.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武  国投安信期货有限公司副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489835', 'updatedTime' => '1595489835', 'weight' => '5', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '55', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座三以全面风险管理维度审视金融市场业务', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/153347bd5350990353.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="倪斌.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌招商银行金融市场部风险总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489639', 'updatedTime' => '1595489639', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '56', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座四明变，有备而战---关于金融市场和交易的逻辑衍变的梳理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15344774c4f0709923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="薛宏立.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立 浦发银行总行金融市场部总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的“智能投研”业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键“变局”时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈“W”型波动。</span></p> <div> </div> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489702', 'updatedTime' => '1595489702', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '54', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座二巴Ⅲ市场风险新监管标准实施对商业银行的挑战', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15312086af86013032.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="陈璐.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐 华夏银行风险管理部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p> </section> </section> </section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489485', 'updatedTime' => '1595489539', 'weight' => '7', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '53', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座一风险信息在股市和债市之间的传递——兼论资本结构套利及莫顿模型在中国适用性', 'body' => '<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft 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padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/152203b47cfa925273.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="pengyifan.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡  <span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595488810', 'updatedTime' => '1595489518', 'weight' => '8', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0')), 'morning' => array('id' => '0', 'process' => '0'), 'afternoon' => array('id' => '0', 'process' => '0'), 'circle' => '1', 'summary' => '', 'categorys' => array('list' => array(array('id' => '260', 'meetingId' => '38', 'type' => 'list', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1595488079', 'weight' => '0', 'price' => '0'), array('id' => '261', 'meetingId' 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3. echo "\t";
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11:10~12:25）              徐凡，盛宝银行大中华区首席执行官、全球执委会委员讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）              张嘉为，银河证券自营投资总部副总经理讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）              黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理    ', 'plan' => ' ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p> ', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx"> <p style="font-size: 1.3em;font-weight: bold;">天弈方圆·天弈研究院</p> <p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p> <p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进“基于风险和科技驱动的金融（RBTDF）”在中国的发展。</p> </footer> ', 'subjectCount' => '0', 'savantCount' => '0', 'receipt' => '', 'appendix' => null, 'startTime' => '1594425600', 'endTime' => '1594548000', 'locale' => '线上', 'type' => 'review', 'classify' => 'chari', 'createdTime' => '1595488014', 'updatedTime' => '1618222496', 'attachment' => array('fileIds' => '', 'targetType' => 'meeting', 'type' => 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max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉  申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p> <section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490128', 'updatedTime' => '1595490128', 'weight' => '0', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '59', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座七金融科技在国内期货期权交易中的应用及心得', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15400119b32f996986.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="沈雁.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁  原高盛亚太地区市场风险管理总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490010', 'updatedTime' => '1595490010', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '60', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座八利率衍生品及利率风险管理策略实践', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/154058a5c123713755.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="张嘉为.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为  银河证券公司自营投资总部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的“三角力量”均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490062', 'updatedTime' => '1595490062', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '58', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座六投资与风险管理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/1538328cb599795149.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="徐凡.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡  盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489947', 'updatedTime' => '1595489947', 'weight' => '4', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '57', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座五大宗商品套利业务与风险控制', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15371396ed0b454218.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="杨晓武.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武  国投安信期货有限公司副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489835', 'updatedTime' => '1595489835', 'weight' => '5', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '55', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座三以全面风险管理维度审视金融市场业务', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/153347bd5350990353.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="倪斌.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌招商银行金融市场部风险总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489639', 'updatedTime' => '1595489639', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '56', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座四明变，有备而战---关于金融市场和交易的逻辑衍变的梳理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15344774c4f0709923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="薛宏立.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立 浦发银行总行金融市场部总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的“智能投研”业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键“变局”时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈“W”型波动。</span></p> <div> </div> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489702', 'updatedTime' => '1595489702', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '54', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座二巴Ⅲ市场风险新监管标准实施对商业银行的挑战', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15312086af86013032.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="陈璐.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐 华夏银行风险管理部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p> </section> </section> </section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489485', 'updatedTime' => '1595489539', 'weight' => '7', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '53', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座一风险信息在股市和债市之间的传递——兼论资本结构套利及莫顿模型在中国适用性', 'body' => '<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft 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data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="pengyifan.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡  <span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595488810', 'updatedTime' => '1595489518', 'weight' => '8', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0')), 'morning' => array('id' => '0', 'process' => '0'), 'afternoon' => array('id' => '0', 'process' => '0'), 'circle' => '1', 'summary' => '', 'categorys' => array('list' => array(array('id' => '260', 'meetingId' => '38', 'type' => 'list', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1595488079', 'weight' => '0', 'price' => '0'), array('id' => '261', 'meetingId' 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at Twig_Template ->displayBlock ('full_content', array('meeting' => array('id' => '38', 'title' => '2020TGES前沿讲座主题系列一金融市场交易与市场风险管理', 'subtitle' => '天弈全球专家研讨（TGES）利用近二十年专业交流积累的丰富国内外专家资源，邀请126位资深专家分12个系列24天隆重推出“TGES2020周末在线前沿讲座系列”。', 'thumb' => 'public://meeting/2020/07-23/1440237687df477710.jpg', 'originalThumb' => 'public://article/2020/07-23/14402379ba3d715737.jpg', 'price' => '15000.00', 'about' => '主题系列1：金融市场交易与市场风险管理   7月11日（星期六）讲座1：风险信息在股市和债市之间的传递— 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）             彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）               陈璐，华夏银行风险管理部副总经理讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）              倪斌，招商银行总行金融市场部风险总监讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）              薛宏立，浦发银行总行金融市场部总经理   7月12日（星期日）讲座5：大宗商品套利及其风险点（7月12日 8:30—9:45）              杨晓武，国投安信期货有限公司副总经理讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）              沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监讲座7：投资与风险管理（7月12日 11:10~12:25）             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'weight' => '16', 'banner' => 'files/meeting/2020/07-23/150634ab3f22622535.jpg', 'enabled' => '1', 'topic' => '0', 'streamlink' => '', 'tencent' => '', 'circle' => '0', 'process' => '2', 'process_start' => '0', 'process_end' => '0', 'webviewed' => '0', 'onviewing' => '5672', 'inclass' => '1', 'trueprice' => '15000'), 'experts' => array(array(array('id' => '548', 'title' => '风险信息在股市和债市之间的传递— 兼论资本结构套利及莫顿模型在中国适用性', 'meetingId' => '38', 'categoryId' => '271', 'type' => 'expert', 'name' => '彭一凡', 'ranks' => '波士顿咨询公司（纽约）风险管理部董事总经理', 'about' => '波士顿咨询公司（纽约）风险管理部董事总经理。曾任美银美林交易对手风险量化模型及管理高级顾问，香港美林（亚太）证券结构化产品部总监，在美国金融界从业20余年，曾先后在美国惠誉评级公司、瑞士信贷第一波士顿银行等担任部门副总裁、总监等职。近十年专注交易对手风险与模型风险测度的理论探讨与实践', 'thumb' => '/files/default/2020/09-28/11591313de3e272133.jpg?version=8.3.20', 'videoUrl' => null, 'linkUrl' => null, 'createdTime' => '1601265556', 'updatedTime' => '1611387742', 'weight' => '10', 'expertId' => '0', 'short' => '', 'showable' => '0', 'broad' => '0', 'process' => '0'), array('id' => '550', 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max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉  申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p> <section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490128', 'updatedTime' => '1595490128', 'weight' => '0', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '59', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座七金融科技在国内期货期权交易中的应用及心得', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 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overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15400119b32f996986.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="沈雁.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁  原高盛亚太地区市场风险管理总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490010', 'updatedTime' => '1595490010', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '60', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座八利率衍生品及利率风险管理策略实践', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/154058a5c123713755.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="张嘉为.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为  银河证券公司自营投资总部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的“三角力量”均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490062', 'updatedTime' => '1595490062', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '58', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座六投资与风险管理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/1538328cb599795149.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="徐凡.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡  盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489947', 'updatedTime' => '1595489947', 'weight' => '4', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '57', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座五大宗商品套利业务与风险控制', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15371396ed0b454218.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="杨晓武.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武  国投安信期货有限公司副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489835', 'updatedTime' => '1595489835', 'weight' => '5', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '55', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座三以全面风险管理维度审视金融市场业务', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/153347bd5350990353.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="倪斌.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌招商银行金融市场部风险总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489639', 'updatedTime' => '1595489639', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '56', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座四明变，有备而战---关于金融市场和交易的逻辑衍变的梳理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15344774c4f0709923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="薛宏立.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立 浦发银行总行金融市场部总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的“智能投研”业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键“变局”时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈“W”型波动。</span></p> <div> </div> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489702', 'updatedTime' => '1595489702', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '54', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座二巴Ⅲ市场风险新监管标准实施对商业银行的挑战', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15312086af86013032.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="陈璐.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐 华夏银行风险管理部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p> </section> </section> </section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489485', 'updatedTime' => '1595489539', 'weight' => '7', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '53', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座一风险信息在股市和债市之间的传递——兼论资本结构套利及莫顿模型在中国适用性', 'body' => '<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 0em; box-sizing: border-box !important; overflow-wrap: break-word !important;"> </p> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/152203b47cfa925273.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="pengyifan.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡  <span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595488810', 'updatedTime' => '1595489518', 'weight' => '8', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0')), 'morning' => array('id' => '0', 'process' => '0'), 'afternoon' => array('id' => '0', 'process' => '0'), 'circle' => '1', 'summary' => '', 'categorys' => array('list' => array(array('id' => '260', 'meetingId' => '38', 'type' => 'list', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1595488079', 'weight' => '0', 'price' => '0'), array('id' => '261', 'meetingId' 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style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉  申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p> <section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490128', 'updatedTime' => '1595490128', 'weight' => '0', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '59', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座七金融科技在国内期货期权交易中的应用及心得', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15400119b32f996986.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="沈雁.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁  原高盛亚太地区市场风险管理总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490010', 'updatedTime' => '1595490010', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '60', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座八利率衍生品及利率风险管理策略实践', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/154058a5c123713755.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="张嘉为.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为  银河证券公司自营投资总部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的“三角力量”均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490062', 'updatedTime' => '1595490062', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '58', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座六投资与风险管理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/1538328cb599795149.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="徐凡.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡  盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489947', 'updatedTime' => '1595489947', 'weight' => '4', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '57', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座五大宗商品套利业务与风险控制', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15371396ed0b454218.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="杨晓武.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武  国投安信期货有限公司副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489835', 'updatedTime' => '1595489835', 'weight' => '5', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '55', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座三以全面风险管理维度审视金融市场业务', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/153347bd5350990353.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="倪斌.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌招商银行金融市场部风险总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489639', 'updatedTime' => '1595489639', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '56', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座四明变，有备而战---关于金融市场和交易的逻辑衍变的梳理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15344774c4f0709923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="薛宏立.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立 浦发银行总行金融市场部总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的“智能投研”业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键“变局”时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈“W”型波动。</span></p> <div> </div> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489702', 'updatedTime' => '1595489702', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '54', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座二巴Ⅲ市场风险新监管标准实施对商业银行的挑战', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15312086af86013032.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="陈璐.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐 华夏银行风险管理部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p> </section> </section> </section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489485', 'updatedTime' => '1595489539', 'weight' => '7', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '53', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座一风险信息在股市和债市之间的传递——兼论资本结构套利及莫顿模型在中国适用性', 'body' => '<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft 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padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/152203b47cfa925273.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="pengyifan.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡  <span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595488810', 'updatedTime' => '1595489518', 'weight' => '8', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0')), 'morning' => array('id' => '0', 'process' => '0'), 'afternoon' => array('id' => '0', 'process' => '0'), 'circle' => '1', 'summary' => '', 'categorys' => array('list' => array(array('id' => '260', 'meetingId' => '38', 'type' => 'list', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1595488079', 'weight' => '0', 'price' => '0'), array('id' => '261', 'meetingId' 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style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉  申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p> <section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490128', 'updatedTime' => '1595490128', 'weight' => '0', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '59', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座七金融科技在国内期货期权交易中的应用及心得', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15400119b32f996986.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="沈雁.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁  原高盛亚太地区市场风险管理总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490010', 'updatedTime' => '1595490010', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '60', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座八利率衍生品及利率风险管理策略实践', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/154058a5c123713755.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="张嘉为.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为  银河证券公司自营投资总部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的“三角力量”均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490062', 'updatedTime' => '1595490062', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '58', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座六投资与风险管理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/1538328cb599795149.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="徐凡.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡  盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489947', 'updatedTime' => '1595489947', 'weight' => '4', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '57', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座五大宗商品套利业务与风险控制', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15371396ed0b454218.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="杨晓武.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武  国投安信期货有限公司副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489835', 'updatedTime' => '1595489835', 'weight' => '5', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '55', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座三以全面风险管理维度审视金融市场业务', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/153347bd5350990353.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="倪斌.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌招商银行金融市场部风险总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489639', 'updatedTime' => '1595489639', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '56', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座四明变，有备而战---关于金融市场和交易的逻辑衍变的梳理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15344774c4f0709923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="薛宏立.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立 浦发银行总行金融市场部总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的“智能投研”业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键“变局”时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈“W”型波动。</span></p> <div> </div> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489702', 'updatedTime' => '1595489702', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '54', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座二巴Ⅲ市场风险新监管标准实施对商业银行的挑战', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15312086af86013032.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="陈璐.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐 华夏银行风险管理部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p> </section> </section> </section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489485', 'updatedTime' => '1595489539', 'weight' => '7', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '53', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座一风险信息在股市和债市之间的传递——兼论资本结构套利及莫顿模型在中国适用性', 'body' => '<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 0em; box-sizing: border-box !important; overflow-wrap: break-word !important;"> </p> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; 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data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="pengyifan.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡  <span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595488810', 'updatedTime' => '1595489518', 'weight' => '8', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0')), 'morning' => array('id' => '0', 'process' => '0'), 'afternoon' => array('id' => '0', 'process' => '0'), 'circle' => '1', 'summary' => '', 'categorys' => array('list' => array(array('id' => '260', 'meetingId' => '38', 'type' => 'list', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1595488079', 'weight' => '0', 'price' => '0'), array('id' => '261', 'meetingId' 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src="/files/default/2020/07-23/154204c1b074796923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIb2yJh4ibjfspI9YEfYAJmfJKj0kujAzboOCRvChq0YichpmRefyZ5ghA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIb2yJh4ibjfspI9YEfYAJmfJKj0kujAzboOCRvChq0YichpmRefyZ5ghA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="黄辉.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉  申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p> <section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490128', 'updatedTime' => '1595490128', 'weight' => '0', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '59', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座七金融科技在国内期货期权交易中的应用及心得', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 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overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15400119b32f996986.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="沈雁.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁  原高盛亚太地区市场风险管理总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490010', 'updatedTime' => '1595490010', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '60', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座八利率衍生品及利率风险管理策略实践', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/154058a5c123713755.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="张嘉为.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为  银河证券公司自营投资总部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的“三角力量”均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490062', 'updatedTime' => '1595490062', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '58', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座六投资与风险管理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/1538328cb599795149.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="徐凡.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡  盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489947', 'updatedTime' => '1595489947', 'weight' => '4', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '57', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座五大宗商品套利业务与风险控制', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15371396ed0b454218.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="杨晓武.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武  国投安信期货有限公司副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489835', 'updatedTime' => '1595489835', 'weight' => '5', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '55', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座三以全面风险管理维度审视金融市场业务', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/153347bd5350990353.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="倪斌.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌招商银行金融市场部风险总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489639', 'updatedTime' => '1595489639', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '56', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座四明变，有备而战---关于金融市场和交易的逻辑衍变的梳理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15344774c4f0709923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="薛宏立.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立 浦发银行总行金融市场部总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的“智能投研”业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键“变局”时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈“W”型波动。</span></p> <div> </div> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489702', 'updatedTime' => '1595489702', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '54', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座二巴Ⅲ市场风险新监管标准实施对商业银行的挑战', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15312086af86013032.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="陈璐.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐 华夏银行风险管理部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p> </section> </section> </section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489485', 'updatedTime' => '1595489539', 'weight' => '7', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '53', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座一风险信息在股市和债市之间的传递——兼论资本结构套利及莫顿模型在中国适用性', 'body' => '<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 0em; box-sizing: border-box !important; overflow-wrap: break-word !important;"> </p> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/152203b47cfa925273.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="pengyifan.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡  <span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595488810', 'updatedTime' => '1595489518', 'weight' => '8', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0')), 'morning' => array('id' => '0', 'process' => '0'), 'afternoon' => array('id' => '0', 'process' => '0'), 'circle' => '1', 'summary' => '', 'categorys' => array('list' => array(array('id' => '260', 'meetingId' => '38', 'type' => 'list', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1595488079', 'weight' => '0', 'price' => '0'), array('id' => '261', 'meetingId' 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'杨晓武：基本面对冲套利基本条件', 'body' => '<p>      </p> ', 'type' => 'video', 'catalogue' => '226', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606292652', 'updatedTime' => '1607605293', 'weight' => '0', 'isExpert' => '0', 'guestId' => '553', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '90', 'meetingId' => '38', 'categoryId' => '271', 'title' => '徐凡：常见投资思路、错误、计划与执行', 'body' => '<p>      </p> ', 'type' => 'video', 'catalogue' => '225', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606292594', 'updatedTime' => '1607605533', 'weight' => '0', 'isExpert' => '0', 'guestId' => '555', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '89', 'meetingId' => '38', 'categoryId' => '271', 'title' => '沈雁：金融科技与风险管理前移', 'body' => '<p>     </p> ', 'type' => 'video', 'catalogue' => '224', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606292530', 'updatedTime' => '1607605461', 'weight' => '0', 'isExpert' => '0', 'guestId' => '554', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '88', 'meetingId' => '38', 'categoryId' => '271', 'title' => '薛宏立：金融市场逻辑微观变化', 'body' => '<p>        </p> ', 'type' => 'video', 'catalogue' => '223', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606292187', 'updatedTime' => '1607513949', 'weight' => '0', 'isExpert' => '0', 'guestId' => '552', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '86', 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array('id' => '84', 'meetingId' => '38', 'categoryId' => '271', 'title' => '薛宏立：金融市场逻辑宏观变化', 'body' => '<p>     </p> ', 'type' => 'video', 'catalogue' => '219', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606290649', 'updatedTime' => '1607513968', 'weight' => '0', 'isExpert' => '0', 'guestId' => '552', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '83', 'meetingId' => '38', 'categoryId' => '271', 'title' => '徐凡：投资与风险管理的目的', 'body' => '<p>     </p> ', 'type' => 'video', 'catalogue' => '218', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606290556', 'updatedTime' => '1607605525', 'weight' => '0', 'isExpert' => '0', 'guestId' => '555', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '82', 'meetingId' => '38', 'categoryId' => '271', 'title' => '倪斌：以全面风险管理维度审视金融市场业务（完整版视频）', 'body' => '<p>       20-前沿-01-</p> ', 'type' => 'video', 'catalogue' => '271', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606290476', 'updatedTime' => '1615517494', 'weight' => '0', 'isExpert' => '0', 'guestId' => '551', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '87', 'visited' => '1'), array('id' => '78', 'meetingId' => '38', 'categoryId' => '271', 'title' => '倪斌：以全面风险管理维度审视金融市场业务', 'body' => '<p>  </p> ', 'type' => 'none', 'catalogue' => '406', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606288436', 'updatedTime' => '1612030881', 'weight' => '0', 'isExpert' => '0', 'guestId' => '551', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '43', 'visited' => '1'), array('id' => '77', 'meetingId' => '38', 'categoryId' => '271', 'title' => '陈璐：巴塞尔Ⅲ——市场风险国际监管标准的演变', 'body' => '<p>      </p> <p> <audio controls="controls" style="display: none;"> </audio> </p> ', 'type' => 'video', 'catalogue' => '216', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606189722', 'updatedTime' => '1611468912', 'weight' => '0', 'isExpert' => '0', 'guestId' => '550', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'))), 'picture' => array('id' => '22', 'meetingId' => '38', 'dataJson' => array(), 'createdTime' => '1595488640', 'updatedTime' => '1595488640'), 'agent' => array('id' => '23', 'meetingId' => '38', 'dataJson' => array(), 'createdTime' => '1595488824', 'updatedTime' => '1595488824'), 'paginator' => object(Paginator), 'admin' => '0', 'classrooms' => array(array('id' => '105', 'title' => '治理、战略和文化与全面风险管理', 'status' => 'published', 'about' => '<p style="margin-top:0pt;margin-bottom:2.5pt;text-align:justify;"><span style="font-size:12pt;"><span style="line-height:150%;"><span style="font-family:'等线';"><span style="font-size:10.5pt;"><span style="font-family:'等线';">Green Credit, Carbon Finance and ESG Risk Management</span></span></span></span></span></p> ', 'categoryId' => '50', 'description' => null, 'price' => '12800.00', 'vipLevelId' => '0', 'smallPicture' => '', 'middlePicture' => '', 'largePicture' => '', 'headTeacherId' => '0', 'teacherIds' => array('3'), 'assistantIds' => array(), 'hitNum' => '0', 'auditorNum' => '0', 'studentNum' => '1', 'courseNum' => '766', 'lessonNum' => '0', 'threadNum' => '0', 'noteNum' => '0', 'postNum' => '0', 'rating' => '0', 'ratingNum' => '0', 'hotSeq' => '0', 'income' => '0.00', 'createdTime' => '1650018027', 'updatedTime' => '1704937825', 'service' => array(), 'private' => '0', 'recommended' => '0', 'recommendedSeq' => '100', 'recommendedTime' => '0', 'maxRate' => '100', 'showable' => '1', 'buyable' => '1', 'conversationId' => '0', 'orgId' => '1', 'orgCode' => '1.', 'expiryMode' => 'days', 'expiryValue' => '365', 'creator' => '3', 'scheme' => '', 'approve' => '', 'cate' => '', 'free' => '13706,13704,13705,13708', 'qianyan' => '24527,28378,28452,28451,28450,28474,28548,24526,13709', 'zanzhu' => '', 'length' => '', 'content' => ''), array('id' => '95', 'title' => '金融市场业务与风险管理', 'status' => 'published', 'about' => '<p>Financial products, market transactions and risk management</p> ', 'categoryId' => '50', 'description' => null, 'price' => '12800.00', 'vipLevelId' => '0', 'smallPicture' => '', 'middlePicture' => '', 'largePicture' => '', 'headTeacherId' => '0', 'teacherIds' => array('3'), 'assistantIds' => array(), 'hitNum' => '0', 'auditorNum' => '0', 'studentNum' => '0', 'courseNum' => '586', 'lessonNum' => '0', 'threadNum' => '0', 'noteNum' => '0', 'postNum' => '0', 'rating' => '0', 'ratingNum' => '0', 'hotSeq' => '0', 'income' => '0.00', 'createdTime' => '1650018037', 'updatedTime' => '1717481693', 'service' => array(), 'private' => '0', 'recommended' => '0', 'recommendedSeq' => '100', 'recommendedTime' => '0', 'maxRate' => '100', 'showable' => '1', 'buyable' => '1', 'conversationId' => '0', 'orgId' => '1', 'orgCode' => '1.', 'expiryMode' => 'days', 'expiryValue' => '365', 'creator' => '3', 'scheme' => '', 'approve' => '', 'cate' => '{"1":{"parent":"\u503a\u5238","child":[]},"2":{"parent":"\u5546\u4e1a\u94f6\u884c\u91d1\u878d\u5e02\u573a\u4e1a\u52a1","child":[]},"3":{"parent":"\u5e02\u573a\u98ce\u9669","child":[]},"4":{"parent":"\u91d1\u878d\u884d\u751f\u54c1","child":[]}}', 'free' => '13576,13574,12922,12920', 'qianyan' => '28417,24442,24443,24444,28381,28584,28583,13198,13614', 'zanzhu' => '', 'length' => '', 'content' => '')), 'special' => array(), 'app' => object(AppVariable), 'site_tracking' => false, 'siteNav' => 'meeting', 'bodyClass' => 'supplyChain ld-offline homepage', '_target_path' => '/app_dev.php/meeting', 'web_macro' => object(__TwigTemplate_3d69de47031d2f6ca18518379d163efd44dce8430d2f15502f7c87f180c331a0), 'lang' => 'zh_CN', 'mobile' => false, 'currentTheme' => array('id' => '2', 'name' => '领带金融', 'config' => array('maincolor' => 'orange', 'navigationcolor' => 'white', 'blocks' => array('left' => array('activity' => array('title' => '活动预告', 'count' => '4', 'code' => 'activity', 'defaultTitle' => '活动预告', 'subTitle' => ' ', 'defaultSubTitle' => '聚集业界精英人士奉献一场思想盛宴', 'id' => 'activity', 'blockKey' => 'left', 'categoryCount' => '2'), 'review' => array('title' => '活动回顾', 'count' => '4', 'code' => 'review', 'defaultTitle' => '活动回顾', 'subTitle' => ' ', 'defaultSubTitle' => '聚集业界精英人士奉献一场思想盛宴', 'id' => 'review', 'blockKey' => 'left', 'categoryCount' => '2'), 'friendLink"' => array('title' => '', 'count' => '', 'code' => 'friend-link', 'defaultTitle' => '友情链接', 'id' => 'friendLink"'), 'footerLink"' => array('title' => '', 'count' => '', 'code' => 'footer-link', 'defaultTitle' => '底部链接', 'id' => 'footerLink"'))), 'bottom' => 'simple'), 'confirmConfig' => array('maincolor' => 'orange', 'navigationcolor' => 'white', 'blocks' => array('left' => array('activity' => array('title' => '活动预告', 'count' => '4', 'code' => 'activity', 'defaultTitle' => '活动预告', 'subTitle' => ' ', 'defaultSubTitle' => '聚集业界精英人士奉献一场思想盛宴', 'id' => 'activity', 'blockKey' => 'left', 'categoryCount' => '2'), 'review' => array('title' => '活动回顾', 'count' => '4', 'code' => 'review', 'defaultTitle' => '活动回顾', 'subTitle' => ' ', 'defaultSubTitle' => '聚集业界精英人士奉献一场思想盛宴', 'id' => 'review', 'blockKey' => 'left', 'categoryCount' => '2'), 'friendLink"' => array('title' => '', 'count' => '', 'code' => 'friend-link', 'defaultTitle' => '友情链接', 'id' => 'friendLink"'), 'footerLink"' => array('title' => '', 'count' => '', 'code' => 'footer-link', 'defaultTitle' => '底部链接', 'id' => 'footerLink"'))), 'bottom' => 'simple'), 'allConfig' => array('maincolor' => 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=> '资深专家', 'subTitle' => '', 'defaultSubTitle' => '聚集全球资深专家指导业务一线实践', 'id' => 'teacher'), array('title' => '', 'count' => '6', 'code' => 'team', 'defaultTitle' => '团队培养', 'subTitle' => '', 'defaultSubTitle' => '权威系统标准化的课件体系', 'id' => 'team'), array('title' => '', 'code' => 'agency', 'defaultTitle' => '合作机构', 'id' => 'agency'), array('title' => '', 'count' => '', 'code' => 'advertisement-banner', 'defaultTitle' => '中部广告', 'id' => 'advertisement-banner'), array('title' => '', 'count' => '', 'code' => 'friend-link', 'defaultTitle' => '友情链接', 'id' => 'friendLink"'), array('title' => '', 'count' => '', 'code' => 'footer-link', 'defaultTitle' => '底部链接', 'id' => 'footerLink"'))), 'bottom' => 'simple'), 'updatedTime' => '1611394059', 'createdTime' => '1552737794', 'updatedUserId' => '3'), 'themeConfig' => array('maincolor' => 'orange', 'navigationcolor' => 'white', 'blocks' => array('left' => array('activity' => array('title' => '活动预告', 'count' => '4', 'code' => 'activity', 'defaultTitle' => '活动预告', 'subTitle' => ' ', 'defaultSubTitle' => '聚集业界精英人士奉献一场思想盛宴', 'id' => 'activity', 'blockKey' => 'left', 'categoryCount' => '2'), 'review' => array('title' => '活动回顾', 'count' => '4', 'code' => 'review', 'defaultTitle' => '活动回顾', 'subTitle' => ' ', 'defaultSubTitle' => '聚集业界精英人士奉献一场思想盛宴', 'id' => 'review', 'blockKey' => 'left', 'categoryCount' => '2'), 'friendLink"' => array('title' => '', 'count' => '', 'code' => 'friend-link', 'defaultTitle' => '友情链接', 'id' => 'friendLink"'), 'footerLink"' => array('title' => '', 'count' => '', 'code' => 'footer-link', 'defaultTitle' => '底部链接', 'id' => 'footerLink"'))), 'bottom' => 'simple'), 'maincolor' => 'orange', 'navigationcolor' => 'white'), array('title' => array(object(__TwigTemplate_6793a0c3cabe10a616e192498e5200267497a740c26a922645be0c9c26b11096), 'block_title'), 'meta' => array(object(__TwigTemplate_fe4afae5977b0f06c4a76ed2e793b538f76eab4e93d480fa9f0351ca689cdbd5), 'block_meta'), 'keywords' => 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array(object(__TwigTemplate_fe4afae5977b0f06c4a76ed2e793b538f76eab4e93d480fa9f0351ca689cdbd5), 'block_header'), 'full_content' => array(object(__TwigTemplate_6793a0c3cabe10a616e192498e5200267497a740c26a922645be0c9c26b11096), 'block_full_content'), 'top_content' => array(object(__TwigTemplate_fe4afae5977b0f06c4a76ed2e793b538f76eab4e93d480fa9f0351ca689cdbd5), 'block_top_content'), 'content' => array(object(__TwigTemplate_6793a0c3cabe10a616e192498e5200267497a740c26a922645be0c9c26b11096), 'block_content'), 'bottom_content' => array(object(__TwigTemplate_fe4afae5977b0f06c4a76ed2e793b538f76eab4e93d480fa9f0351ca689cdbd5), 'block_bottom_content'), 'footer' => array(object(__TwigTemplate_fe4afae5977b0f06c4a76ed2e793b538f76eab4e93d480fa9f0351ca689cdbd5), 'block_footer'), 'footer_mobile' => array(object(__TwigTemplate_fe4afae5977b0f06c4a76ed2e793b538f76eab4e93d480fa9f0351ca689cdbd5), 'block_footer_mobile'), 'bottom' => array(object(__TwigTemplate_fe4afae5977b0f06c4a76ed2e793b538f76eab4e93d480fa9f0351ca689cdbd5), 'block_bottom'), 'esBar' => array(object(__TwigTemplate_fe4afae5977b0f06c4a76ed2e793b538f76eab4e93d480fa9f0351ca689cdbd5), 'block_esBar'), 'floatConsult' => array(object(__TwigTemplate_fe4afae5977b0f06c4a76ed2e793b538f76eab4e93d480fa9f0351ca689cdbd5), 'block_floatConsult'), 'footer_script' => array(object(__TwigTemplate_fe4afae5977b0f06c4a76ed2e793b538f76eab4e93d480fa9f0351ca689cdbd5), 'block_footer_script')))
in app/cache/dev/Ilingdai/classes.php at line 5145
1. protected function displayWithErrorHandling(array $context, array $blocks = array())
2. {
3. try {
4. $this->doDisplay($context, $blocks);
5. } catch (Twig_Error $e) {
6. if (!$e->getSourceContext()) {
7. $e->setSourceContext($this->getSourceContext());
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max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p 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border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p> <section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490128', 'updatedTime' => '1595490128', 'weight' => '0', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '59', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座七金融科技在国内期货期权交易中的应用及心得', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15400119b32f996986.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="沈雁.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁  原高盛亚太地区市场风险管理总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490010', 'updatedTime' => '1595490010', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '60', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座八利率衍生品及利率风险管理策略实践', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/154058a5c123713755.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="张嘉为.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为  银河证券公司自营投资总部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的“三角力量”均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490062', 'updatedTime' => '1595490062', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '58', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座六投资与风险管理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/1538328cb599795149.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="徐凡.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡  盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489947', 'updatedTime' => '1595489947', 'weight' => '4', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '57', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座五大宗商品套利业务与风险控制', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15371396ed0b454218.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="杨晓武.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武  国投安信期货有限公司副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489835', 'updatedTime' => '1595489835', 'weight' => '5', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '55', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座三以全面风险管理维度审视金融市场业务', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/153347bd5350990353.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="倪斌.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌招商银行金融市场部风险总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489639', 'updatedTime' => '1595489639', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '56', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座四明变，有备而战---关于金融市场和交易的逻辑衍变的梳理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15344774c4f0709923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="薛宏立.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立 浦发银行总行金融市场部总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的“智能投研”业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键“变局”时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈“W”型波动。</span></p> <div> </div> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489702', 'updatedTime' => '1595489702', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '54', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座二巴Ⅲ市场风险新监管标准实施对商业银行的挑战', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15312086af86013032.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="陈璐.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐 华夏银行风险管理部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p> </section> </section> </section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489485', 'updatedTime' => '1595489539', 'weight' => '7', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '53', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座一风险信息在股市和债市之间的传递——兼论资本结构套利及莫顿模型在中国适用性', 'body' => '<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft 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data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="pengyifan.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡  <span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595488810', 'updatedTime' => '1595489518', 'weight' => '8', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0')), 'morning' => array('id' => '0', 'process' => '0'), 'afternoon' => array('id' => '0', 'process' => '0'), 'circle' => '1', 'summary' => '', 'categorys' => array('list' => array(array('id' => '260', 'meetingId' => '38', 'type' => 'list', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1595488079', 'weight' => '0', 'price' => '0'), array('id' => '261', 'meetingId' 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14:10-15:25）              张嘉为，银河证券自营投资总部副总经理讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）              黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理    ', 'plan' => ' ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p> ', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx"> <p style="font-size: 1.3em;font-weight: bold;">天弈方圆·天弈研究院</p> <p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p> <p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进“基于风险和科技驱动的金融（RBTDF）”在中国的发展。</p> </footer> ', 'subjectCount' => '0', 'savantCount' => '0', 'receipt' => '', 'appendix' => null, 'startTime' => '1594425600', 'endTime' => '1594548000', 'locale' => '线上', 'type' => 'review', 'classify' => 'chari', 'createdTime' => '1595488014', 'updatedTime' => '1618222496', 'attachment' => array('fileIds' => '', 'targetType' => 'meeting', 'type' => 'attachment'), 'sticky' => '', 'weight' => '16', 'banner' => 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max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉  申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p> <section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490128', 'updatedTime' => '1595490128', 'weight' => '0', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '59', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座七金融科技在国内期货期权交易中的应用及心得', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 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overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15400119b32f996986.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="沈雁.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁  原高盛亚太地区市场风险管理总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490010', 'updatedTime' => '1595490010', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '60', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座八利率衍生品及利率风险管理策略实践', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/154058a5c123713755.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="张嘉为.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为  银河证券公司自营投资总部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的“三角力量”均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490062', 'updatedTime' => '1595490062', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '58', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座六投资与风险管理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/1538328cb599795149.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="徐凡.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡  盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489947', 'updatedTime' => '1595489947', 'weight' => '4', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '57', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座五大宗商品套利业务与风险控制', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15371396ed0b454218.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="杨晓武.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武  国投安信期货有限公司副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489835', 'updatedTime' => '1595489835', 'weight' => '5', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '55', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座三以全面风险管理维度审视金融市场业务', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/153347bd5350990353.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="倪斌.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌招商银行金融市场部风险总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489639', 'updatedTime' => '1595489639', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '56', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座四明变，有备而战---关于金融市场和交易的逻辑衍变的梳理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15344774c4f0709923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="薛宏立.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立 浦发银行总行金融市场部总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的“智能投研”业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键“变局”时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈“W”型波动。</span></p> <div> </div> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489702', 'updatedTime' => '1595489702', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '54', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座二巴Ⅲ市场风险新监管标准实施对商业银行的挑战', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15312086af86013032.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="陈璐.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐 华夏银行风险管理部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p> </section> </section> </section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489485', 'updatedTime' => '1595489539', 'weight' => '7', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '53', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座一风险信息在股市和债市之间的传递——兼论资本结构套利及莫顿模型在中国适用性', 'body' => '<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft 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padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/152203b47cfa925273.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="pengyifan.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡  <span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595488810', 'updatedTime' => '1595489518', 'weight' => '8', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0')), 'morning' => array('id' => '0', 'process' => '0'), 'afternoon' => array('id' => '0', 'process' => '0'), 'circle' => '1', 'summary' => '', 'categorys' => array('list' => array(array('id' => '260', 'meetingId' => '38', 'type' => 'list', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1595488079', 'weight' => '0', 'price' => '0'), array('id' => '261', 'meetingId' 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border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p> <section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490128', 'updatedTime' => '1595490128', 'weight' => '0', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '59', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座七金融科技在国内期货期权交易中的应用及心得', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 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style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁  原高盛亚太地区市场风险管理总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490010', 'updatedTime' => '1595490010', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '60', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座八利率衍生品及利率风险管理策略实践', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/154058a5c123713755.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="张嘉为.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为  银河证券公司自营投资总部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的“三角力量”均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490062', 'updatedTime' => '1595490062', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '58', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座六投资与风险管理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/1538328cb599795149.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="徐凡.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡  盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489947', 'updatedTime' => '1595489947', 'weight' => '4', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '57', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座五大宗商品套利业务与风险控制', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15371396ed0b454218.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="杨晓武.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武  国投安信期货有限公司副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489835', 'updatedTime' => '1595489835', 'weight' => '5', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '55', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座三以全面风险管理维度审视金融市场业务', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/153347bd5350990353.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="倪斌.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌招商银行金融市场部风险总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489639', 'updatedTime' => '1595489639', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '56', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座四明变，有备而战---关于金融市场和交易的逻辑衍变的梳理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15344774c4f0709923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="薛宏立.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立 浦发银行总行金融市场部总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的“智能投研”业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键“变局”时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈“W”型波动。</span></p> <div> </div> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489702', 'updatedTime' => '1595489702', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '54', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座二巴Ⅲ市场风险新监管标准实施对商业银行的挑战', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15312086af86013032.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="陈璐.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐 华夏银行风险管理部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p> </section> </section> </section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489485', 'updatedTime' => '1595489539', 'weight' => '7', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '53', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座一风险信息在股市和债市之间的传递——兼论资本结构套利及莫顿模型在中国适用性', 'body' => '<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 0em; box-sizing: border-box !important; overflow-wrap: break-word !important;"> </p> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/152203b47cfa925273.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="pengyifan.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡  <span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595488810', 'updatedTime' => '1595489518', 'weight' => '8', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0')), 'morning' => array('id' => '0', 'process' => '0'), 'afternoon' => array('id' => '0', 'process' => '0'), 'circle' => '1', 'summary' => '', 'categorys' => array('list' => array(array('id' => '260', 'meetingId' => '38', 'type' => 'list', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1595488079', 'weight' => '0', 'price' => '0'), array('id' => '261', 'meetingId' 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'categoryId' => '271', 'title' => '沈雁：金融科技与风险管理前移', 'body' => '<p>     </p> ', 'type' => 'video', 'catalogue' => '224', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606292530', 'updatedTime' => '1607605461', 'weight' => '0', 'isExpert' => '0', 'guestId' => '554', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '88', 'meetingId' => '38', 'categoryId' => '271', 'title' => '薛宏立：金融市场逻辑微观变化', 'body' => '<p>        </p> ', 'type' => 'video', 'catalogue' => '223', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606292187', 'updatedTime' => '1607513949', 'weight' => '0', 'isExpert' => '0', 'guestId' => '552', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '86', 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in app/cache/dev/Ilingdai/classes.php at line 5145
1. protected function displayWithErrorHandling(array $context, array $blocks = array())
2. {
3. try {
4. $this->doDisplay($context, $blocks);
5. } catch (Twig_Error $e) {
6. if (!$e->getSourceContext()) {
7. $e->setSourceContext($this->getSourceContext());
at Twig_Template ->displayWithErrorHandling (array('meeting' => array('id' => '38', 'title' => '2020TGES前沿讲座主题系列一金融市场交易与市场风险管理', 'subtitle' => '天弈全球专家研讨（TGES）利用近二十年专业交流积累的丰富国内外专家资源，邀请126位资深专家分12个系列24天隆重推出“TGES2020周末在线前沿讲座系列”。', 'thumb' => 'public://meeting/2020/07-23/1440237687df477710.jpg', 'originalThumb' => 'public://article/2020/07-23/14402379ba3d715737.jpg', 'price' => '15000.00', 'about' => '主题系列1：金融市场交易与市场风险管理   7月11日（星期六）讲座1：风险信息在股市和债市之间的传递— 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）             彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）               陈璐，华夏银行风险管理部副总经理讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）              倪斌，招商银行总行金融市场部风险总监讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）              薛宏立，浦发银行总行金融市场部总经理   7月12日（星期日）讲座5：大宗商品套利及其风险点（7月12日 8:30—9:45）              杨晓武，国投安信期货有限公司副总经理讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）              沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监讲座7：投资与风险管理（7月12日 11:10~12:25）              徐凡，盛宝银行大中华区首席执行官、全球执委会委员讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）              张嘉为，银河证券自营投资总部副总经理讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）              黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理    ', 'plan' => ' ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p> ', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx"> <p style="font-size: 1.3em;font-weight: bold;">天弈方圆·天弈研究院</p> <p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p> <p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进“基于风险和科技驱动的金融（RBTDF）”在中国的发展。</p> </footer> ', 'subjectCount' => '0', 'savantCount' => '0', 'receipt' => '', 'appendix' => null, 'startTime' => '1594425600', 'endTime' => '1594548000', 'locale' => '线上', 'type' => 'review', 'classify' => 'chari', 'createdTime' => '1595488014', 'updatedTime' => '1618222496', 'attachment' => array('fileIds' => '', 'targetType' => 'meeting', 'type' => 'attachment'), 'sticky' => '', 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style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉  申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p> <section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490128', 'updatedTime' => '1595490128', 'weight' => '0', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '59', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座七金融科技在国内期货期权交易中的应用及心得', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15400119b32f996986.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="沈雁.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁  原高盛亚太地区市场风险管理总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490010', 'updatedTime' => '1595490010', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '60', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座八利率衍生品及利率风险管理策略实践', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/154058a5c123713755.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="张嘉为.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为  银河证券公司自营投资总部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的“三角力量”均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490062', 'updatedTime' => '1595490062', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '58', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座六投资与风险管理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/1538328cb599795149.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="徐凡.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡  盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489947', 'updatedTime' => '1595489947', 'weight' => '4', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '57', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座五大宗商品套利业务与风险控制', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15371396ed0b454218.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="杨晓武.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武  国投安信期货有限公司副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489835', 'updatedTime' => '1595489835', 'weight' => '5', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '55', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座三以全面风险管理维度审视金融市场业务', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/153347bd5350990353.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="倪斌.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌招商银行金融市场部风险总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489639', 'updatedTime' => '1595489639', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '56', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座四明变，有备而战---关于金融市场和交易的逻辑衍变的梳理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15344774c4f0709923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="薛宏立.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立 浦发银行总行金融市场部总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的“智能投研”业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键“变局”时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈“W”型波动。</span></p> <div> </div> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489702', 'updatedTime' => '1595489702', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '54', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座二巴Ⅲ市场风险新监管标准实施对商业银行的挑战', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15312086af86013032.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="陈璐.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐 华夏银行风险管理部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p> </section> </section> </section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489485', 'updatedTime' => '1595489539', 'weight' => '7', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '53', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座一风险信息在股市和债市之间的传递——兼论资本结构套利及莫顿模型在中国适用性', 'body' => '<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 0em; box-sizing: border-box !important; overflow-wrap: break-word !important;"> </p> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; 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data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="pengyifan.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡  <span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595488810', 'updatedTime' => '1595489518', 'weight' => '8', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0')), 'morning' => array('id' => '0', 'process' => '0'), 'afternoon' => array('id' => '0', 'process' => '0'), 'circle' => '1', 'summary' => '', 'categorys' => array('list' => array(array('id' => '260', 'meetingId' => '38', 'type' => 'list', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1595488079', 'weight' => '0', 'price' => '0'), array('id' => '261', 'meetingId' 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in app/cache/dev/Ilingdai/classes.php at line 5121
1. }
2. public function display(array $context, array $blocks = array())
3. {
4. $this->displayWithErrorHandling($this->env->mergeGlobals($context), array_merge($this->blocks, $blocks));
5. }
6. public function render(array $context)
7. {
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14:10-15:25）              张嘉为，银河证券自营投资总部副总经理讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）              黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理    ', 'plan' => ' ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p> ', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx"> <p style="font-size: 1.3em;font-weight: bold;">天弈方圆·天弈研究院</p> <p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p> <p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进“基于风险和科技驱动的金融（RBTDF）”在中国的发展。</p> </footer> ', 'subjectCount' => '0', 'savantCount' => '0', 'receipt' => '', 'appendix' => null, 'startTime' => '1594425600', 'endTime' => '1594548000', 'locale' => '线上', 'type' => 'review', 'classify' => 'chari', 'createdTime' => '1595488014', 'updatedTime' => '1618222496', 'attachment' => array('fileIds' => '', 'targetType' => 'meeting', 'type' => 'attachment'), 'sticky' => '', 'weight' => '16', 'banner' => 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max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉  申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p> <section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490128', 'updatedTime' => '1595490128', 'weight' => '0', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '59', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座七金融科技在国内期货期权交易中的应用及心得', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15400119b32f996986.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="沈雁.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁  原高盛亚太地区市场风险管理总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490010', 'updatedTime' => '1595490010', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '60', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座八利率衍生品及利率风险管理策略实践', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/154058a5c123713755.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="张嘉为.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为  银河证券公司自营投资总部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的“三角力量”均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490062', 'updatedTime' => '1595490062', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '58', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座六投资与风险管理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/1538328cb599795149.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="徐凡.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡  盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489947', 'updatedTime' => '1595489947', 'weight' => '4', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '57', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座五大宗商品套利业务与风险控制', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15371396ed0b454218.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="杨晓武.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武  国投安信期货有限公司副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489835', 'updatedTime' => '1595489835', 'weight' => '5', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '55', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座三以全面风险管理维度审视金融市场业务', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/153347bd5350990353.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="倪斌.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌招商银行金融市场部风险总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489639', 'updatedTime' => '1595489639', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '56', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座四明变，有备而战---关于金融市场和交易的逻辑衍变的梳理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15344774c4f0709923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="薛宏立.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立 浦发银行总行金融市场部总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的“智能投研”业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键“变局”时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈“W”型波动。</span></p> <div> </div> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489702', 'updatedTime' => '1595489702', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '54', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座二巴Ⅲ市场风险新监管标准实施对商业银行的挑战', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15312086af86013032.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="陈璐.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐 华夏银行风险管理部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p> </section> </section> </section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489485', 'updatedTime' => '1595489539', 'weight' => '7', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '53', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座一风险信息在股市和债市之间的传递——兼论资本结构套利及莫顿模型在中国适用性', 'body' => '<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft 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data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="pengyifan.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡  <span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595488810', 'updatedTime' => '1595489518', 'weight' => '8', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0')), 'morning' => array('id' => '0', 'process' => '0'), 'afternoon' => array('id' => '0', 'process' => '0'), 'circle' => '1', 'summary' => '', 'categorys' => array('list' => array(array('id' => '260', 'meetingId' => '38', 'type' => 'list', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1595488079', 'weight' => '0', 'price' => '0'), array('id' => '261', 'meetingId' 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in app/cache/dev/Ilingdai/classes.php at line 5128
1. $level = ob_get_level();
2. ob_start();
3. try {
4. $this->display($context);
5. } catch (Exception $e) {
6. while (ob_get_level() > $level) {
7. ob_end_clean();
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14:10-15:25）              张嘉为，银河证券自营投资总部副总经理讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）              黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理    ', 'plan' => ' ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p> ', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx"> <p style="font-size: 1.3em;font-weight: bold;">天弈方圆·天弈研究院</p> <p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p> <p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进“基于风险和科技驱动的金融（RBTDF）”在中国的发展。</p> </footer> ', 'subjectCount' => '0', 'savantCount' => '0', 'receipt' => '', 'appendix' => null, 'startTime' => '1594425600', 'endTime' => '1594548000', 'locale' => '线上', 'type' => 'review', 'classify' => 'chari', 'createdTime' => '1595488014', 'updatedTime' => '1618222496', 'attachment' => array('fileIds' => '', 'targetType' => 'meeting', 'type' => 'attachment'), 'sticky' => '', 'weight' => '16', 'banner' => 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max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉  申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p> <section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490128', 'updatedTime' => '1595490128', 'weight' => '0', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '59', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座七金融科技在国内期货期权交易中的应用及心得', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15400119b32f996986.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="沈雁.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁  原高盛亚太地区市场风险管理总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490010', 'updatedTime' => '1595490010', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '60', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座八利率衍生品及利率风险管理策略实践', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/154058a5c123713755.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="张嘉为.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为  银河证券公司自营投资总部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的“三角力量”均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490062', 'updatedTime' => '1595490062', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '58', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座六投资与风险管理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/1538328cb599795149.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="徐凡.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡  盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489947', 'updatedTime' => '1595489947', 'weight' => '4', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '57', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座五大宗商品套利业务与风险控制', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15371396ed0b454218.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="杨晓武.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武  国投安信期货有限公司副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489835', 'updatedTime' => '1595489835', 'weight' => '5', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '55', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座三以全面风险管理维度审视金融市场业务', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/153347bd5350990353.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="倪斌.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌招商银行金融市场部风险总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489639', 'updatedTime' => '1595489639', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '56', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座四明变，有备而战---关于金融市场和交易的逻辑衍变的梳理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15344774c4f0709923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="薛宏立.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立 浦发银行总行金融市场部总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的“智能投研”业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键“变局”时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈“W”型波动。</span></p> <div> </div> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489702', 'updatedTime' => '1595489702', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '54', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座二巴Ⅲ市场风险新监管标准实施对商业银行的挑战', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15312086af86013032.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="陈璐.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐 华夏银行风险管理部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p> </section> </section> </section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489485', 'updatedTime' => '1595489539', 'weight' => '7', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '53', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座一风险信息在股市和债市之间的传递——兼论资本结构套利及莫顿模型在中国适用性', 'body' => '<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft 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data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="pengyifan.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡  <span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595488810', 'updatedTime' => '1595489518', 'weight' => '8', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0')), 'morning' => array('id' => '0', 'process' => '0'), 'afternoon' => array('id' => '0', 'process' => '0'), 'circle' => '1', 'summary' => '', 'categorys' => array('list' => array(array('id' => '260', 'meetingId' => '38', 'type' => 'list', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1595488079', 'weight' => '0', 'price' => '0'), array('id' => '261', 'meetingId' 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in vendor/symfony/symfony/src/Symfony/Bridge/Twig/TwigEngine.php at line 50
1. */
2. public function render($name, array $parameters = array())
3. {
4. return $this->load($name)->render($parameters);
5. }
7. /**
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 徐凡，盛宝银行大中华区首席执行官、全球执委会委员讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）              张嘉为，银河证券自营投资总部副总经理讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）              黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理    ', 'plan' => ' ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p> ', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx"> <p style="font-size: 1.3em;font-weight: bold;">天弈方圆·天弈研究院</p> <p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p> <p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进“基于风险和科技驱动的金融（RBTDF）”在中国的发展。</p> </footer> ', 'subjectCount' => '0', 'savantCount' => '0', 'receipt' => '', 'appendix' => null, 'startTime' => '1594425600', 'endTime' => '1594548000', 'locale' => '线上', 'type' => 'review', 'classify' => 'chari', 'createdTime' => '1595488014', 'updatedTime' => '1618222496', 'attachment' => array('fileIds' => '', 'targetType' => 'meeting', 'type' => 'attachment'), 'sticky' => '', 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max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉  申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p> <section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490128', 'updatedTime' => '1595490128', 'weight' => '0', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '59', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座七金融科技在国内期货期权交易中的应用及心得', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15400119b32f996986.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="沈雁.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁  原高盛亚太地区市场风险管理总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490010', 'updatedTime' => '1595490010', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '60', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座八利率衍生品及利率风险管理策略实践', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/154058a5c123713755.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="张嘉为.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为  银河证券公司自营投资总部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的“三角力量”均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490062', 'updatedTime' => '1595490062', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '58', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座六投资与风险管理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/1538328cb599795149.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="徐凡.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡  盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489947', 'updatedTime' => '1595489947', 'weight' => '4', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '57', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座五大宗商品套利业务与风险控制', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15371396ed0b454218.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="杨晓武.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武  国投安信期货有限公司副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489835', 'updatedTime' => '1595489835', 'weight' => '5', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '55', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座三以全面风险管理维度审视金融市场业务', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/153347bd5350990353.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="倪斌.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌招商银行金融市场部风险总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489639', 'updatedTime' => '1595489639', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '56', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座四明变，有备而战---关于金融市场和交易的逻辑衍变的梳理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15344774c4f0709923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="薛宏立.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立 浦发银行总行金融市场部总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的“智能投研”业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键“变局”时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈“W”型波动。</span></p> <div> </div> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489702', 'updatedTime' => '1595489702', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '54', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座二巴Ⅲ市场风险新监管标准实施对商业银行的挑战', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15312086af86013032.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="陈璐.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐 华夏银行风险管理部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p> </section> </section> </section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489485', 'updatedTime' => '1595489539', 'weight' => '7', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '53', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座一风险信息在股市和债市之间的传递——兼论资本结构套利及莫顿模型在中国适用性', 'body' => '<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft 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data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="pengyifan.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡  <span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595488810', 'updatedTime' => '1595489518', 'weight' => '8', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0')), 'morning' => array('id' => '0', 'process' => '0'), 'afternoon' => array('id' => '0', 'process' => '0'), 'circle' => '1', 'summary' => '', 'categorys' => array('list' => array(array('id' => '260', 'meetingId' => '38', 'type' => 'list', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1595488079', 'weight' => '0', 'price' => '0'), array('id' => '261', 'meetingId' 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in vendor/symfony/symfony/src/Symfony/Bundle/TwigBundle/TwigEngine.php at line 72
1. public function render($name, array $parameters = array())
2. {
3. try {
4. return parent::render($name, $parameters);
5. } catch (\Twig_Error $e) {
6. if ($name instanceof TemplateReference && !method_exists($e, 'setSourceContext')) {
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 徐凡，盛宝银行大中华区首席执行官、全球执委会委员讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）              张嘉为，银河证券自营投资总部副总经理讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）              黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理    ', 'plan' => ' ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p> ', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx"> <p style="font-size: 1.3em;font-weight: bold;">天弈方圆·天弈研究院</p> <p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p> <p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进“基于风险和科技驱动的金融（RBTDF）”在中国的发展。</p> </footer> ', 'subjectCount' => '0', 'savantCount' => '0', 'receipt' => '', 'appendix' => null, 'startTime' => '1594425600', 'endTime' => '1594548000', 'locale' => '线上', 'type' => 'review', 'classify' => 'chari', 'createdTime' => '1595488014', 'updatedTime' => '1618222496', 'attachment' => array('fileIds' => '', 'targetType' => 'meeting', 'type' => 'attachment'), 'sticky' => '', 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max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉  申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p> <section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490128', 'updatedTime' => '1595490128', 'weight' => '0', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '59', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座七金融科技在国内期货期权交易中的应用及心得', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15400119b32f996986.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="沈雁.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁  原高盛亚太地区市场风险管理总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490010', 'updatedTime' => '1595490010', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '60', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座八利率衍生品及利率风险管理策略实践', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/154058a5c123713755.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="张嘉为.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为  银河证券公司自营投资总部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的“三角力量”均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490062', 'updatedTime' => '1595490062', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '58', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座六投资与风险管理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/1538328cb599795149.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="徐凡.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡  盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489947', 'updatedTime' => '1595489947', 'weight' => '4', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '57', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座五大宗商品套利业务与风险控制', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15371396ed0b454218.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="杨晓武.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武  国投安信期货有限公司副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489835', 'updatedTime' => '1595489835', 'weight' => '5', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '55', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座三以全面风险管理维度审视金融市场业务', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/153347bd5350990353.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="倪斌.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌招商银行金融市场部风险总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489639', 'updatedTime' => '1595489639', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '56', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座四明变，有备而战---关于金融市场和交易的逻辑衍变的梳理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15344774c4f0709923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="薛宏立.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立 浦发银行总行金融市场部总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的“智能投研”业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键“变局”时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈“W”型波动。</span></p> <div> </div> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489702', 'updatedTime' => '1595489702', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '54', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座二巴Ⅲ市场风险新监管标准实施对商业银行的挑战', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15312086af86013032.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="陈璐.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐 华夏银行风险管理部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p> </section> </section> </section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489485', 'updatedTime' => '1595489539', 'weight' => '7', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '53', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座一风险信息在股市和债市之间的传递——兼论资本结构套利及莫顿模型在中国适用性', 'body' => '<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft 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data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="pengyifan.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡  <span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595488810', 'updatedTime' => '1595489518', 'weight' => '8', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0')), 'morning' => array('id' => '0', 'process' => '0'), 'afternoon' => array('id' => '0', 'process' => '0'), 'circle' => '1', 'summary' => '', 'categorys' => array('list' => array(array('id' => '260', 'meetingId' => '38', 'type' => 'list', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1595488079', 'weight' => '0', 'price' => '0'), array('id' => '261', 'meetingId' 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in vendor/symfony/symfony/src/Symfony/Bundle/TwigBundle/TwigEngine.php at line 99
1. $response = new Response();
2. }
4. $response->setContent($this->render($view, $parameters));
6. return $response;
7. }
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 徐凡，盛宝银行大中华区首席执行官、全球执委会委员讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）              张嘉为，银河证券自营投资总部副总经理讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）              黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理    ', 'plan' => ' ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p> ', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx"> <p style="font-size: 1.3em;font-weight: bold;">天弈方圆·天弈研究院</p> <p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p> <p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进“基于风险和科技驱动的金融（RBTDF）”在中国的发展。</p> </footer> ', 'subjectCount' => '0', 'savantCount' => '0', 'receipt' => '', 'appendix' => null, 'startTime' => '1594425600', 'endTime' => '1594548000', 'locale' => '线上', 'type' => 'review', 'classify' => 'chari', 'createdTime' => '1595488014', 'updatedTime' => '1618222496', 'attachment' => array('fileIds' => '', 'targetType' => 'meeting', 'type' => 'attachment'), 'sticky' => '', 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max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉  申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p> <section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490128', 'updatedTime' => '1595490128', 'weight' => '0', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '59', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座七金融科技在国内期货期权交易中的应用及心得', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15400119b32f996986.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="沈雁.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁  原高盛亚太地区市场风险管理总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490010', 'updatedTime' => '1595490010', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '60', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座八利率衍生品及利率风险管理策略实践', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/154058a5c123713755.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="张嘉为.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为  银河证券公司自营投资总部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的“三角力量”均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490062', 'updatedTime' => '1595490062', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '58', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座六投资与风险管理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/1538328cb599795149.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="徐凡.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡  盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489947', 'updatedTime' => '1595489947', 'weight' => '4', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '57', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座五大宗商品套利业务与风险控制', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15371396ed0b454218.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="杨晓武.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武  国投安信期货有限公司副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489835', 'updatedTime' => '1595489835', 'weight' => '5', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '55', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座三以全面风险管理维度审视金融市场业务', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/153347bd5350990353.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="倪斌.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌招商银行金融市场部风险总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489639', 'updatedTime' => '1595489639', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '56', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座四明变，有备而战---关于金融市场和交易的逻辑衍变的梳理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15344774c4f0709923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="薛宏立.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立 浦发银行总行金融市场部总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的“智能投研”业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键“变局”时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈“W”型波动。</span></p> <div> </div> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489702', 'updatedTime' => '1595489702', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '54', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座二巴Ⅲ市场风险新监管标准实施对商业银行的挑战', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15312086af86013032.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="陈璐.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐 华夏银行风险管理部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p> </section> </section> </section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489485', 'updatedTime' => '1595489539', 'weight' => '7', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '53', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座一风险信息在股市和债市之间的传递——兼论资本结构套利及莫顿模型在中国适用性', 'body' => '<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft 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data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="pengyifan.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡  <span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595488810', 'updatedTime' => '1595489518', 'weight' => '8', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0')), 'morning' => array('id' => '0', 'process' => '0'), 'afternoon' => array('id' => '0', 'process' => '0'), 'circle' => '1', 'summary' => '', 'categorys' => array('list' => array(array('id' => '260', 'meetingId' => '38', 'type' => 'list', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1595488079', 'weight' => '0', 'price' => '0'), array('id' => '261', 'meetingId' 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in vendor/symfony/symfony/src/Symfony/Bundle/FrameworkBundle/Controller/Controller.php at line 185
1. public function render($view, array $parameters = array(), Response $response = null)
2. {
3. if ($this->container->has('templating')) {
4. return $this->container->get('templating')->renderResponse($view, $parameters, $response);
5. }
7. if (!$this->container->has('twig')) {
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 徐凡，盛宝银行大中华区首席执行官、全球执委会委员讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）              张嘉为，银河证券自营投资总部副总经理讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）              黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理    ', 'plan' => ' ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p> ', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx"> <p style="font-size: 1.3em;font-weight: bold;">天弈方圆·天弈研究院</p> <p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p> <p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进“基于风险和科技驱动的金融（RBTDF）”在中国的发展。</p> </footer> ', 'subjectCount' => '0', 'savantCount' => '0', 'receipt' => '', 'appendix' => null, 'startTime' => '1594425600', 'endTime' => '1594548000', 'locale' => '线上', 'type' => 'review', 'classify' => 'chari', 'createdTime' => '1595488014', 'updatedTime' => '1618222496', 'attachment' => array('fileIds' => '', 'targetType' => 'meeting', 'type' => 'attachment'), 'sticky' => '', 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max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉  申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p> <section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490128', 'updatedTime' => '1595490128', 'weight' => '0', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '59', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座七金融科技在国内期货期权交易中的应用及心得', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15400119b32f996986.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="沈雁.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁  原高盛亚太地区市场风险管理总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490010', 'updatedTime' => '1595490010', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '60', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座八利率衍生品及利率风险管理策略实践', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/154058a5c123713755.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="张嘉为.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为  银河证券公司自营投资总部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的“三角力量”均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490062', 'updatedTime' => '1595490062', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '58', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座六投资与风险管理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/1538328cb599795149.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="徐凡.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡  盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489947', 'updatedTime' => '1595489947', 'weight' => '4', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '57', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座五大宗商品套利业务与风险控制', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15371396ed0b454218.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="杨晓武.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武  国投安信期货有限公司副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489835', 'updatedTime' => '1595489835', 'weight' => '5', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '55', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座三以全面风险管理维度审视金融市场业务', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/153347bd5350990353.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="倪斌.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌招商银行金融市场部风险总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489639', 'updatedTime' => '1595489639', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '56', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座四明变，有备而战---关于金融市场和交易的逻辑衍变的梳理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15344774c4f0709923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="薛宏立.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立 浦发银行总行金融市场部总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的“智能投研”业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键“变局”时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈“W”型波动。</span></p> <div> </div> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489702', 'updatedTime' => '1595489702', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '54', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座二巴Ⅲ市场风险新监管标准实施对商业银行的挑战', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15312086af86013032.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="陈璐.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐 华夏银行风险管理部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p> </section> </section> </section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489485', 'updatedTime' => '1595489539', 'weight' => '7', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '53', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座一风险信息在股市和债市之间的传递——兼论资本结构套利及莫顿模型在中国适用性', 'body' => '<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft 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data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="pengyifan.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡  <span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595488810', 'updatedTime' => '1595489518', 'weight' => '8', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0')), 'morning' => array('id' => '0', 'process' => '0'), 'afternoon' => array('id' => '0', 'process' => '0'), 'circle' => '1', 'summary' => '', 'categorys' => array('list' => array(array('id' => '260', 'meetingId' => '38', 'type' => 'list', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1595488079', 'weight' => '0', 'price' => '0'), array('id' => '261', 'meetingId' 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=> 'none', 'catalogue' => '441', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606300014', 'updatedTime' => '1607605266', 'weight' => '0', 'isExpert' => '0', 'guestId' => '552', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '16', 'visited' => '1'), array('id' => '95', 'meetingId' => '38', 'categoryId' => '271', 'title' => ' 徐凡：投资与风险管理', 'body' => '<p>        </p> ', 'type' => 'none', 'catalogue' => '440', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606299968', 'updatedTime' => '1607605545', 'weight' => '0', 'isExpert' => '0', 'guestId' => '555', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '43', 'visited' => '1'), array('id' => '94', 'meetingId' => '38', 'categoryId' => '271', 'title' => '沈雁：金融科技在国内期货期权交易中的应用及心得', 'body' => '<p>       </p> ', 'type' => 'none', 'catalogue' => '439', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606299894', 'updatedTime' => '1607605470', 'weight' => '0', 'isExpert' => '0', 'guestId' => '554', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '16', 'visited' => '1'), array('id' => '93', 'meetingId' => '38', 'categoryId' => '271', 'title' => '彭一凡：风险信息在股市和债市之间的传递', 'body' => '<p>      </p> ', 'type' => 'none', 'catalogue' => '438', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606299822', 'updatedTime' => '1607605002', 'weight' => '0', 'isExpert' => '0', 'guestId' => '548', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '43', 'visited' => '1'), array('id' => '91', 'meetingId' => '38', 'categoryId' => '271', 'title' => 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'categoryId' => '271', 'title' => '沈雁：金融科技与风险管理前移', 'body' => '<p>     </p> ', 'type' => 'video', 'catalogue' => '224', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606292530', 'updatedTime' => '1607605461', 'weight' => '0', 'isExpert' => '0', 'guestId' => '554', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '88', 'meetingId' => '38', 'categoryId' => '271', 'title' => '薛宏立：金融市场逻辑微观变化', 'body' => '<p>        </p> ', 'type' => 'video', 'catalogue' => '223', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606292187', 'updatedTime' => '1607513949', 'weight' => '0', 'isExpert' => '0', 'guestId' => '552', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '86', 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array('id' => '84', 'meetingId' => '38', 'categoryId' => '271', 'title' => '薛宏立：金融市场逻辑宏观变化', 'body' => '<p>     </p> ', 'type' => 'video', 'catalogue' => '219', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606290649', 'updatedTime' => '1607513968', 'weight' => '0', 'isExpert' => '0', 'guestId' => '552', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '83', 'meetingId' => '38', 'categoryId' => '271', 'title' => '徐凡：投资与风险管理的目的', 'body' => '<p>     </p> ', 'type' => 'video', 'catalogue' => '218', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606290556', 'updatedTime' => '1607605525', 'weight' => '0', 'isExpert' => '0', 'guestId' => '555', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 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in src/AppBundle/Controller/BaseController.php at line 363
1. $view = $resolver->generateRenderView($view, $parameters);
2. }
4. return parent::render($view, $parameters, $response);
5. }
7. public function renderView($view, array $parameters = array())
at BaseController ->render ('MeetingPlugin:Meeting:detail.html.twig', array('meeting' => array('id' => '38', 'title' => '2020TGES前沿讲座主题系列一金融市场交易与市场风险管理', 'subtitle' => '天弈全球专家研讨（TGES）利用近二十年专业交流积累的丰富国内外专家资源，邀请126位资深专家分12个系列24天隆重推出“TGES2020周末在线前沿讲座系列”。', 'thumb' => 'public://meeting/2020/07-23/1440237687df477710.jpg', 'originalThumb' => 'public://article/2020/07-23/14402379ba3d715737.jpg', 'price' => '15000.00', 'about' => '主题系列1：金融市场交易与市场风险管理   7月11日（星期六）讲座1：风险信息在股市和债市之间的传递— 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）             彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）               陈璐，华夏银行风险管理部副总经理讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）              倪斌，招商银行总行金融市场部风险总监讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）              薛宏立，浦发银行总行金融市场部总经理   7月12日（星期日）讲座5：大宗商品套利及其风险点（7月12日 8:30—9:45）              杨晓武，国投安信期货有限公司副总经理讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）              沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监讲座7：投资与风险管理（7月12日 11:10~12:25）              徐凡，盛宝银行大中华区首席执行官、全球执委会委员讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）              张嘉为，银河证券自营投资总部副总经理讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）              黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理    ', 'plan' => ' ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p> ', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx"> <p style="font-size: 1.3em;font-weight: bold;">天弈方圆·天弈研究院</p> <p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p> <p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进“基于风险和科技驱动的金融（RBTDF）”在中国的发展。</p> </footer> ', 'subjectCount' => '0', 'savantCount' => '0', 'receipt' => '', 'appendix' => null, 'startTime' => '1594425600', 'endTime' => '1594548000', 'locale' => '线上', 'type' => 'review', 'classify' => 'chari', 'createdTime' => '1595488014', 'updatedTime' => '1618222496', 'attachment' => array('fileIds' => '', 'targetType' => 'meeting', 'type' => 'attachment'), 'sticky' => '', 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max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉  申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p> <section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490128', 'updatedTime' => '1595490128', 'weight' => '0', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '59', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座七金融科技在国内期货期权交易中的应用及心得', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15400119b32f996986.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIjricmDToTFwibWia6XEYIaHxL0YOWLtRwPyp9EdTicpNZOca0Qygicmfiayg/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="沈雁.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁  原高盛亚太地区市场风险管理总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490010', 'updatedTime' => '1595490010', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '60', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座八利率衍生品及利率风险管理策略实践', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/154058a5c123713755.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI3OZGe3dRhE8tmuMicjhHFR7iczYInxyRngic8PhBPHJ4h6IWjSbF6Gb4g/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="张嘉为.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为  银河证券公司自营投资总部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的“三角力量”均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595490062', 'updatedTime' => '1595490062', 'weight' => '3', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '58', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座六投资与风险管理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/1538328cb599795149.jpg" /></p> <img _width="578px" alt="" crossorigin="anonymous" data-cropselx1="0" data-cropselx2="578" data-cropsely1="0" data-cropsely2="278" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfImWDKZkvaedUaJfhloQK5U2q9uQGEqBtcwvGZImnZrwQ3393SrlsZxQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="徐凡.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡  盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489947', 'updatedTime' => '1595489947', 'weight' => '4', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '57', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座五大宗商品套利业务与风险控制', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15371396ed0b454218.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItia5CHUef1jFcsKIB0luZ08oiasy7m6AR4DKUpuNlU3PgVmTUjV7Isuw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="杨晓武.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武  国投安信期货有限公司副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489835', 'updatedTime' => '1595489835', 'weight' => '5', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '55', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座三以全面风险管理维度审视金融市场业务', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/153347bd5350990353.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfINibOmgBTY1U8YjwDMGo4WcQHMA1WT3zakp9857pGtakot1uKeicG7ZSA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="倪斌.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌招商银行金融市场部风险总监</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489639', 'updatedTime' => '1595489639', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '56', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座四明变，有备而战---关于金融市场和交易的逻辑衍变的梳理', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15344774c4f0709923.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfItLgEeXzVtQRxhuQ7jcIicRSiaIpxAnTaMoLouar27NEz5P45cf3r2Myw/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="薛宏立.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立 浦发银行总行金融市场部总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的“智能投研”业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键“变局”时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈“W”型波动。</span></p> <div> </div> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489702', 'updatedTime' => '1595489702', 'weight' => '6', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '54', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座二巴Ⅲ市场风险新监管标准实施对商业银行的挑战', 'body' => '<section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <section data-id="97791" data-tools="135编辑器" style="margin: 0px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; box-sizing: border-box !important; overflow-wrap: break-word !important;"> <section style="margin: 10px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; text-align: center;"> <section style="margin: 0px 0px 6px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section data-width="100%" style="margin: 6px auto; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; width: 677px;"> <p><img alt="" src="/files/default/2020/07-23/15312086af86013032.jpg" /></p> <img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfI9rkyS83mPFVNgqft2oGPhHvH5tOLJTUXwsw5PMMDbicuy99AicMbL2KQ/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="陈璐.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐 华夏银行风险管理部副总经理</strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p> </section> </section> </section> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595489485', 'updatedTime' => '1595489539', 'weight' => '7', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0'), array('id' => '53', 'meetingId' => '38', 'categoryId' => null, 'title' => '专题讲座一风险信息在股市和债市之间的传递——兼论资本结构套利及莫顿模型在中国适用性', 'body' => '<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft 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data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIyHsVNrwNfu8ziahjAZEBia9Bc5To9Vok0Vua1CVEqks6W9TBBIkiaNkTA/640?wx_fmt=jpeg&tp=webp&wxfrom=5&wx_lazy=1&wx_co=1" style="margin: 0px; padding: 0px; display: block; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; width: 578px !important; visibility: visible !important;" title="pengyifan.jpg" /></section> <section style="margin: 6px 0px 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; display: flex; justify-content: center; align-items: center;"> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to right, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> <section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;"> </section> </section> <section style="margin: 0px auto; padding: 0px; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; height: 1px; width: 0px; border-width: 8px; border-style: solid; border-color: rgb(212, 212, 212) transparent transparent; overflow: hidden;"> </section> <section data-brushtype="text" style="margin: 0px; padding: 0px 1em; max-width: 100%; box-sizing: border-box; word-wrap: break-word !important; font-size: 16px; letter-spacing: 1.5px;"> <p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡  <span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p> </section> </section> </section> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p> <p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, "Helvetica Neue", "PingFang SC", "Hiragino Sans GB", "Microsoft YaHei UI", "Microsoft YaHei", Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p> ', 'type' => 'standpoint', 'catalogue' => '', 'attachment' => array(), 'createdTime' => '1595488810', 'updatedTime' => '1595489518', 'weight' => '8', 'isExpert' => '0', 'guestId' => '0', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0')), 'morning' => array('id' => '0', 'process' => '0'), 'afternoon' => array('id' => '0', 'process' => '0'), 'circle' => '1', 'summary' => '', 'categorys' => array('list' => array(array('id' => '260', 'meetingId' => '38', 'type' => 'list', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1595488079', 'weight' => '0', 'price' => '0'), array('id' => '261', 'meetingId' 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=> '158', 'meetingId' => '38', 'categoryId' => '271', 'title' => '杨晓武：大宗商品关联套利', 'body' => '<p>     </p> ', 'type' => 'video', 'catalogue' => '244', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1607048906', 'updatedTime' => '1607605316', 'weight' => '0', 'isExpert' => '0', 'guestId' => '553', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '141', 'meetingId' => '38', 'categoryId' => '271', 'title' => '徐凡：错配问题、风险管理管什么', 'body' => '<p>     </p> ', 'type' => 'video', 'catalogue' => '243', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606988596', 'updatedTime' => '1607605581', 'weight' => '0', 'isExpert' => '0', 'guestId' => '555', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '139', 'meetingId' => '38', 'categoryId' => '271', 'title' => '陈璐：巴塞尔Ⅲ——交易台的设置条件', 'body' => '<p>     </p> <p> <audio controls="controls" style="display: none;"> </audio> </p> ', 'type' => 'video', 'catalogue' => '241', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606988496', 'updatedTime' => '1611468928', 'weight' => '0', 'isExpert' => '0', 'guestId' => '550', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '137', 'meetingId' => '38', 'categoryId' => '271', 'title' => '杨晓武：大宗商品套利实际操作中的风险点', 'body' => '<p>      </p> ', 'type' => 'video', 'catalogue' => '239', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606988406', 'updatedTime' => '1607605328', 'weight' => '0', 'isExpert' => '0', 'guestId' => '553', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '136', 'meetingId' => '38', 'categoryId' => '271', 'title' => '徐凡：风险的特性与交叉', 'body' => '<p>      </p> ', 'type' => 'video', 'catalogue' => '238', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606988356', 'updatedTime' => '1607605574', 'weight' => '0', 'isExpert' => '0', 'guestId' => '555', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '134', 'meetingId' => '38', 'categoryId' => '271', 'title' => '陈璐：巴塞尔Ⅲ——银行帐簿和交易账簿划分标准和要求', 'body' => '<p>     </p> <p> <audio controls="controls" style="display: none;"> </audio> </p> ', 'type' => 'video', 'catalogue' => '236', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606988259', 'updatedTime' => '1611468923', 'weight' => '0', 'isExpert' => '0', 'guestId' => '550', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '132', 'meetingId' => '38', 'categoryId' => '271', 'title' => '杨晓武：大宗商品内因和关联套利的区', 'body' => '<p>       </p> ', 'type' => 'video', 'catalogue' => '234', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606988168', 'updatedTime' => '1607605308', 'weight' => '0', 'isExpert' => '0', 'guestId' => '553', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '131', 'meetingId' => '38', 'categoryId' => '271', 'title' => '徐凡：投资中的风险管理、识别', 'body' => '<p>      </p> ', 'type' => 'video', 'catalogue' => '233', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606988110', 'updatedTime' => '1607605566', 'weight' => '0', 'isExpert' => '0', 'guestId' => '555', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '129', 'meetingId' => '38', 'categoryId' => '271', 'title' => '陈璐：巴塞尔Ⅲ——市场风险新监管标准的框架体系', 'body' => '<p>     </p> <p> <audio controls="controls" style="display: none;"> </audio> </p> ', 'type' => 'video', 'catalogue' => '231', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606986452', 'updatedTime' => '1611468918', 'weight' => '0', 'isExpert' => '0', 'guestId' => '550', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '128', 'meetingId' => '38', 'categoryId' => '271', 'title' => '薛宏立：市场理念的变与不变', 'body' => '<p>       </p> ', 'type' => 'video', 'catalogue' => '230', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606986408', 'updatedTime' => '1607513908', 'weight' => '0', 'isExpert' => '0', 'guestId' => '552', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '97', 'meetingId' => '38', 'categoryId' => '271', 'title' => '杨晓武：大宗商品套利业务与风险控制', 'body' => '<p>       </p> ', 'type' => 'none', 'catalogue' => '442', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606300056', 'updatedTime' => '1607605301', 'weight' => '0', 'isExpert' => '0', 'guestId' => '553', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '16', 'visited' => '1'), array('id' => '96', 'meetingId' => '38', 'categoryId' => '271', 'title' => '薛宏立：明变，有备而战——金融市场和交易逻辑衍变', 'body' => '<p>      </p> ', 'type' => 'none', 'catalogue' => '441', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606300014', 'updatedTime' => '1607605266', 'weight' => '0', 'isExpert' => '0', 'guestId' => '552', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '16', 'visited' => '1'), array('id' => '95', 'meetingId' => '38', 'categoryId' => '271', 'title' => ' 徐凡：投资与风险管理', 'body' => '<p>        </p> ', 'type' => 'none', 'catalogue' => '440', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606299968', 'updatedTime' => '1607605545', 'weight' => '0', 'isExpert' => '0', 'guestId' => '555', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '43', 'visited' => '1'), array('id' => '94', 'meetingId' => '38', 'categoryId' => '271', 'title' => '沈雁：金融科技在国内期货期权交易中的应用及心得', 'body' => '<p>       </p> ', 'type' => 'none', 'catalogue' => '439', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606299894', 'updatedTime' => '1607605470', 'weight' => '0', 'isExpert' => '0', 'guestId' => '554', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '16', 'visited' => '1'), array('id' => '93', 'meetingId' => '38', 'categoryId' => '271', 'title' => '彭一凡：风险信息在股市和债市之间的传递', 'body' => '<p>      </p> ', 'type' => 'none', 'catalogue' => '438', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606299822', 'updatedTime' => '1607605002', 'weight' => '0', 'isExpert' => '0', 'guestId' => '548', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '43', 'visited' => '1'), array('id' => '91', 'meetingId' => '38', 'categoryId' => '271', 'title' => '杨晓武：基本面对冲套利基本条件', 'body' => '<p>      </p> ', 'type' => 'video', 'catalogue' => '226', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606292652', 'updatedTime' => '1607605293', 'weight' => '0', 'isExpert' => '0', 'guestId' => '553', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '90', 'meetingId' => '38', 'categoryId' => '271', 'title' => '徐凡：常见投资思路、错误、计划与执行', 'body' => '<p>      </p> ', 'type' => 'video', 'catalogue' => '225', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606292594', 'updatedTime' => '1607605533', 'weight' => '0', 'isExpert' => '0', 'guestId' => '555', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '89', 'meetingId' => '38', 'categoryId' => '271', 'title' => '沈雁：金融科技与风险管理前移', 'body' => '<p>     </p> ', 'type' => 'video', 'catalogue' => '224', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606292530', 'updatedTime' => '1607605461', 'weight' => '0', 'isExpert' => '0', 'guestId' => '554', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '88', 'meetingId' => '38', 'categoryId' => '271', 'title' => '薛宏立：金融市场逻辑微观变化', 'body' => '<p>        </p> ', 'type' => 'video', 'catalogue' => '223', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606292187', 'updatedTime' => '1607513949', 'weight' => '0', 'isExpert' => '0', 'guestId' => '552', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '86', 'meetingId' => '38', 'categoryId' => '271', 'title' => '杨晓武：大宗商品套利交易大有可为', 'body' => '<p>   </p> ', 'type' => 'video', 'catalogue' => '221', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606290795', 'updatedTime' => '1607605285', 'weight' => '0', 'isExpert' => '0', 'guestId' => '553', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '85', 'meetingId' => '38', 'categoryId' => '271', 'title' => '沈雁：金融科技的作用', 'body' => '<p>        </p> ', 'type' => 'video', 'catalogue' => '220', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606290735', 'updatedTime' => '1607605446', 'weight' => '0', 'isExpert' => '0', 'guestId' => '554', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '84', 'meetingId' => '38', 'categoryId' => '271', 'title' => '薛宏立：金融市场逻辑宏观变化', 'body' => '<p>     </p> ', 'type' => 'video', 'catalogue' => '219', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606290649', 'updatedTime' => '1607513968', 'weight' => '0', 'isExpert' => '0', 'guestId' => '552', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '83', 'meetingId' => '38', 'categoryId' => '271', 'title' => '徐凡：投资与风险管理的目的', 'body' => '<p>     </p> ', 'type' => 'video', 'catalogue' => '218', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606290556', 'updatedTime' => '1607605525', 'weight' => '0', 'isExpert' => '0', 'guestId' => '555', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '82', 'meetingId' => '38', 'categoryId' => '271', 'title' => '倪斌：以全面风险管理维度审视金融市场业务（完整版视频）', 'body' => '<p>       20-前沿-01-</p> ', 'type' => 'video', 'catalogue' => '271', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606290476', 'updatedTime' => '1615517494', 'weight' => '0', 'isExpert' => '0', 'guestId' => '551', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '87', 'visited' => '1'), array('id' => '78', 'meetingId' => '38', 'categoryId' => '271', 'title' => '倪斌：以全面风险管理维度审视金融市场业务', 'body' => '<p>  </p> ', 'type' => 'none', 'catalogue' => '406', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606288436', 'updatedTime' => '1612030881', 'weight' => '0', 'isExpert' => '0', 'guestId' => '551', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '43', 'visited' => '1'), array('id' => '77', 'meetingId' => '38', 'categoryId' => '271', 'title' => '陈璐：巴塞尔Ⅲ——市场风险国际监管标准的演变', 'body' => '<p>      </p> <p> <audio controls="controls" style="display: none;"> </audio> </p> ', 'type' => 'video', 'catalogue' => '216', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606189722', 'updatedTime' => '1611468912', 'weight' => '0', 'isExpert' => '0', 'guestId' => '550', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'))), 'picture' => array('id' => '22', 'meetingId' => '38', 'dataJson' => array(), 'createdTime' => '1595488640', 'updatedTime' => '1595488640'), 'agent' => array('id' => '23', 'meetingId' => '38', 'dataJson' => array(), 'createdTime' => '1595488824', 'updatedTime' => '1595488824'), 'paginator' => object(Paginator), 'admin' => '0', 'classrooms' => array(array('id' => '105', 'title' => '治理、战略和文化与全面风险管理', 'status' => 'published', 'about' => '<p style="margin-top:0pt;margin-bottom:2.5pt;text-align:justify;"><span style="font-size:12pt;"><span style="line-height:150%;"><span style="font-family:'等线';"><span style="font-size:10.5pt;"><span style="font-family:'等线';">Green Credit, Carbon Finance and ESG Risk Management</span></span></span></span></span></p> ', 'categoryId' => '50', 'description' => null, 'price' => '12800.00', 'vipLevelId' => '0', 'smallPicture' => '', 'middlePicture' => '', 'largePicture' => '', 'headTeacherId' => '0', 'teacherIds' => array('3'), 'assistantIds' => array(), 'hitNum' => '0', 'auditorNum' => '0', 'studentNum' => '1', 'courseNum' => '766', 'lessonNum' => '0', 'threadNum' => '0', 'noteNum' => '0', 'postNum' => '0', 'rating' => '0', 'ratingNum' => '0', 'hotSeq' => '0', 'income' => '0.00', 'createdTime' => '1650018027', 'updatedTime' => '1704937825', 'service' => array(), 'private' => '0', 'recommended' => '0', 'recommendedSeq' => '100', 'recommendedTime' => '0', 'maxRate' => '100', 'showable' => '1', 'buyable' => '1', 'conversationId' => '0', 'orgId' => '1', 'orgCode' => '1.', 'expiryMode' => 'days', 'expiryValue' => '365', 'creator' => '3', 'scheme' => '', 'approve' => '', 'cate' => '', 'free' => '13706,13704,13705,13708', 'qianyan' => '24527,28378,28452,28451,28450,28474,28548,24526,13709', 'zanzhu' => '', 'length' => '', 'content' => ''), array('id' => '95', 'title' => '金融市场业务与风险管理', 'status' => 'published', 'about' => '<p>Financial products, market transactions and risk management</p> ', 'categoryId' => '50', 'description' => null, 'price' => '12800.00', 'vipLevelId' => '0', 'smallPicture' => '', 'middlePicture' => '', 'largePicture' => '', 'headTeacherId' => '0', 'teacherIds' => array('3'), 'assistantIds' => array(), 'hitNum' => '0', 'auditorNum' => '0', 'studentNum' => '0', 'courseNum' => '586', 'lessonNum' => '0', 'threadNum' => '0', 'noteNum' => '0', 'postNum' => '0', 'rating' => '0', 'ratingNum' => '0', 'hotSeq' => '0', 'income' => '0.00', 'createdTime' => '1650018037', 'updatedTime' => '1717481693', 'service' => array(), 'private' => '0', 'recommended' => '0', 'recommendedSeq' => '100', 'recommendedTime' => '0', 'maxRate' => '100', 'showable' => '1', 'buyable' => '1', 'conversationId' => '0', 'orgId' => '1', 'orgCode' => '1.', 'expiryMode' => 'days', 'expiryValue' => '365', 'creator' => '3', 'scheme' => '', 'approve' => '', 'cate' => '{"1":{"parent":"\u503a\u5238","child":[]},"2":{"parent":"\u5546\u4e1a\u94f6\u884c\u91d1\u878d\u5e02\u573a\u4e1a\u52a1","child":[]},"3":{"parent":"\u5e02\u573a\u98ce\u9669","child":[]},"4":{"parent":"\u91d1\u878d\u884d\u751f\u54c1","child":[]}}', 'free' => '13576,13574,12922,12920', 'qianyan' => '28417,24442,24443,24444,28381,28584,28583,13198,13614', 'zanzhu' => '', 'length' => '', 'content' => '')), 'special' => array()))
in plugins/MeetingPlugin/Controller/MeetingController.php at line 410
1. 'paginator'=>$paginator,
2. 'admin'=>$admin,
3. 'classrooms'=>$classrooms,
4. 'special'=>$special
5. ));
6. }
7. public function openAction(Request $request, $id)
at MeetingController ->detailAction (object(Request), '38')
at call_user_func_array (array(object(MeetingController), 'detailAction'), array(object(Request), '38'))
in vendor/symfony/symfony/src/Symfony/Component/HttpKernel/HttpKernel.php at line 144
1. $arguments = $this->resolver->getArguments($request, $controller);
3. // call controller
4. $response = call_user_func_array($controller, $arguments);
6. // view
7. if (!$response instanceof Response) {
at HttpKernel ->handleRaw (object(Request), '1')
in vendor/symfony/symfony/src/Symfony/Component/HttpKernel/HttpKernel.php at line 64
1. $request->headers->set('X-Php-Ob-Level', ob_get_level());
3. try {
4. return $this->handleRaw($request, $type);
5. } catch (\Exception $e) {
6. if ($e instanceof ConflictingHeadersException) {
7. $e = new BadRequestHttpException('The request headers contain conflicting information regarding the origin of this request.', $e);
at HttpKernel ->handle (object(Request), '1', true)
in vendor/symfony/symfony/src/Symfony/Component/HttpKernel/DependencyInjection/ContainerAwareHttpKernel.php at line 69
1. $this->container->set('request', $request, 'request');
3. try {
4. $response = parent::handle($request, $type, $catch);
5. } catch (\Exception $e) {
6. $this->container->set('request', null, 'request');
7. $this->container->leaveScope('request');
at ContainerAwareHttpKernel ->handle (object(Request), '1', true)
in vendor/symfony/symfony/src/Symfony/Component/HttpKernel/Kernel.php at line 185
1. $this->boot();
2. }
4. return $this->getHttpKernel()->handle($request, $type, $catch);
5. }
7. /**
at Kernel ->handle (object(Request))
in web/app_dev.php at line 40
1. $kernel->loadClassCache();
2. $request = Request::createFromGlobals();
3. $kernel->setRequest($request);
4. $response = $kernel->handle($request);
5. $response->send();
6. $kernel->terminate($request, $response);

Stack Trace (Plain Text)

[1] Twig_Error_Runtime: Key "271" for array with keys "0" does not exist.
    at n/a
        in /www/wwwroot/www.cfrisk.org/plugins/MeetingPlugin/Resources/views/Meeting/detail.html.twig line 963

    at Twig_Template->getAttribute(array(array(array('id' => '271', 'meetingId' => '38', 'type' => 'none', 'name' => '主题系列1：金融市场交易与市场风险管理（7月11日—12日）', 'subname' => '', 'published' => '1', 'parentId' => '0', 'createdTime' => '1601265020', 'weight' => '1', 'price' => '0'))), '271', array(), 'array')
        in /www/wwwroot/www.cfrisk.org/app/cache/dev/Ilingdai/twig/cb/cbdd215a273f7bc357486b2e65777167aaf54bea7f25ba34d49c0b95c4c3d680.php line 1842

    at __TwigTemplate_6793a0c3cabe10a616e192498e5200267497a740c26a922645be0c9c26b11096->block_content(array('meeting' => array('id' => '38', 'title' => '2020TGES前沿讲座 主题系列一 金融市场交易与市场风险管理', 'subtitle' => '天弈全球专家研讨（TGES）利用近二十年专业交流积累的丰富国内外专家资源，邀请126位资深专家分12个系列24天隆重推出“TGES2020周末在线前沿讲座系列”。', 'thumb' => 'public://meeting/2020/07-23/1440237687df477710.jpg', 'originalThumb' => 'public://article/2020/07-23/14402379ba3d715737.jpg', 'price' => '15000.00', 'about' => '主题系列1：金融市场交易与市场风险管理

&nbsp;

7月11日（星期六）


讲座1：风险信息在股市和债市之间的传递&mdash; 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理
讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）&nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;陈璐， 华夏银行风险管理部副总经理
讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;倪斌，招商银行总行金融市场部风险总监
讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;薛宏立，浦发银行总行金融市场部总经理

&nbsp;

7月12日（星期日）


讲座5：大宗商品套利及其风险点（7月12日 8:30&mdash;9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;杨晓武， 国投安信期货有限公司副总经理
讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监

讲座7：投资与风险管理（7月12日 11:10~12:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;徐凡，盛宝银行大中华区首席执行官、全球执委会委员

讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;张嘉为， 银河证券自营投资总部副总经理
讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理&nbsp;

&nbsp;
', 'plan' => '   ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p>
', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx">
<p style="font-size: 1.3em;font-weight: bold;">天弈方圆&middot;天弈研究院</p>

<p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p>

<p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进&ldquo;基于风险和科技驱动的金融（RBTDF）&rdquo;在中国的发展。</p>
</footer>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p>

<section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁&nbsp; 原高盛亚太地区市场风险管理总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的&ldquo;三角力量&rdquo;均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡&nbsp; 盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武&nbsp;&nbsp;国投安信期货有限公司副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌 招商银行金融市场部风险总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立&nbsp;浦发银行总行金融市场部总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的&ldquo;智能投研&rdquo;业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键&ldquo;变局&rdquo;时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈&ldquo;W&rdquo;型波动。</span></p>

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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐&nbsp;华夏银行风险管理部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡&nbsp;&nbsp;<span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p>
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&nbsp;

7月11日（星期六）


讲座1：风险信息在股市和债市之间的传递&mdash; 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理
讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）&nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;陈璐， 华夏银行风险管理部副总经理
讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;倪斌，招商银行总行金融市场部风险总监
讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;薛宏立，浦发银行总行金融市场部总经理

&nbsp;

7月12日（星期日）


讲座5：大宗商品套利及其风险点（7月12日 8:30&mdash;9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;杨晓武， 国投安信期货有限公司副总经理
讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监

讲座7：投资与风险管理（7月12日 11:10~12:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;徐凡，盛宝银行大中华区首席执行官、全球执委会委员

讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;张嘉为， 银河证券自营投资总部副总经理
讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理&nbsp;

&nbsp;
', 'plan' => '   ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p>
', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx">
<p style="font-size: 1.3em;font-weight: bold;">天弈方圆&middot;天弈研究院</p>

<p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p>

<p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进&ldquo;基于风险和科技驱动的金融（RBTDF）&rdquo;在中国的发展。</p>
</footer>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p>

<section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁&nbsp; 原高盛亚太地区市场风险管理总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的&ldquo;三角力量&rdquo;均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡&nbsp; 盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武&nbsp;&nbsp;国投安信期货有限公司副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌 招商银行金融市场部风险总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立&nbsp;浦发银行总行金融市场部总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的&ldquo;智能投研&rdquo;业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键&ldquo;变局&rdquo;时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈&ldquo;W&rdquo;型波动。</span></p>

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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐&nbsp;华夏银行风险管理部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡&nbsp;&nbsp;<span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p>
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&nbsp;

7月11日（星期六）


讲座1：风险信息在股市和债市之间的传递&mdash; 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理
讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）&nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;陈璐， 华夏银行风险管理部副总经理
讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;倪斌，招商银行总行金融市场部风险总监
讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;薛宏立，浦发银行总行金融市场部总经理

&nbsp;

7月12日（星期日）


讲座5：大宗商品套利及其风险点（7月12日 8:30&mdash;9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;杨晓武， 国投安信期货有限公司副总经理
讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监

讲座7：投资与风险管理（7月12日 11:10~12:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;徐凡，盛宝银行大中华区首席执行官、全球执委会委员

讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;张嘉为， 银河证券自营投资总部副总经理
讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理&nbsp;

&nbsp;
', 'plan' => '   ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p>
', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx">
<p style="font-size: 1.3em;font-weight: bold;">天弈方圆&middot;天弈研究院</p>

<p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p>

<p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进&ldquo;基于风险和科技驱动的金融（RBTDF）&rdquo;在中国的发展。</p>
</footer>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉&nbsp; 申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p>

<section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁&nbsp; 原高盛亚太地区市场风险管理总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为&nbsp; 银河证券公司自营投资总部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的&ldquo;三角力量&rdquo;均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡&nbsp; 盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武&nbsp;&nbsp;国投安信期货有限公司副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌 招商银行金融市场部风险总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p>
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<section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;">&nbsp;</section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立&nbsp;浦发银行总行金融市场部总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的&ldquo;智能投研&rdquo;业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键&ldquo;变局&rdquo;时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈&ldquo;W&rdquo;型波动。</span></p>

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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐&nbsp;华夏银行风险管理部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡&nbsp;&nbsp;<span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p>
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&nbsp;

7月11日（星期六）


讲座1：风险信息在股市和债市之间的传递&mdash; 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理
讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）&nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;陈璐， 华夏银行风险管理部副总经理
讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;倪斌，招商银行总行金融市场部风险总监
讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;薛宏立，浦发银行总行金融市场部总经理

&nbsp;

7月12日（星期日）


讲座5：大宗商品套利及其风险点（7月12日 8:30&mdash;9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;杨晓武， 国投安信期货有限公司副总经理
讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监

讲座7：投资与风险管理（7月12日 11:10~12:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;徐凡，盛宝银行大中华区首席执行官、全球执委会委员

讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;张嘉为， 银河证券自营投资总部副总经理
讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理&nbsp;

&nbsp;
', 'plan' => '   ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p>
', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx">
<p style="font-size: 1.3em;font-weight: bold;">天弈方圆&middot;天弈研究院</p>

<p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p>

<p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进&ldquo;基于风险和科技驱动的金融（RBTDF）&rdquo;在中国的发展。</p>
</footer>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉&nbsp; 申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p>

<section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁&nbsp; 原高盛亚太地区市场风险管理总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为&nbsp; 银河证券公司自营投资总部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的&ldquo;三角力量&rdquo;均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡&nbsp; 盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武&nbsp;&nbsp;国投安信期货有限公司副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立&nbsp;浦发银行总行金融市场部总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的&ldquo;智能投研&rdquo;业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键&ldquo;变局&rdquo;时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈&ldquo;W&rdquo;型波动。</span></p>

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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐&nbsp;华夏银行风险管理部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡&nbsp;&nbsp;<span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p>
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&nbsp;

7月11日（星期六）


讲座1：风险信息在股市和债市之间的传递&mdash; 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理
讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）&nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;陈璐， 华夏银行风险管理部副总经理
讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;倪斌，招商银行总行金融市场部风险总监
讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;薛宏立，浦发银行总行金融市场部总经理

&nbsp;

7月12日（星期日）


讲座5：大宗商品套利及其风险点（7月12日 8:30&mdash;9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;杨晓武， 国投安信期货有限公司副总经理
讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监

讲座7：投资与风险管理（7月12日 11:10~12:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;徐凡，盛宝银行大中华区首席执行官、全球执委会委员

讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;张嘉为， 银河证券自营投资总部副总经理
讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理&nbsp;

&nbsp;
', 'plan' => '   ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p>
', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx">
<p style="font-size: 1.3em;font-weight: bold;">天弈方圆&middot;天弈研究院</p>

<p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p>

<p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进&ldquo;基于风险和科技驱动的金融（RBTDF）&rdquo;在中国的发展。</p>
</footer>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉&nbsp; 申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p>

<section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁&nbsp; 原高盛亚太地区市场风险管理总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为&nbsp; 银河证券公司自营投资总部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的&ldquo;三角力量&rdquo;均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡&nbsp; 盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武&nbsp;&nbsp;国投安信期货有限公司副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌 招商银行金融市场部风险总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立&nbsp;浦发银行总行金融市场部总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的&ldquo;智能投研&rdquo;业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键&ldquo;变局&rdquo;时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈&ldquo;W&rdquo;型波动。</span></p>

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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐&nbsp;华夏银行风险管理部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡&nbsp;&nbsp;<span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p>
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&nbsp;

7月11日（星期六）


讲座1：风险信息在股市和债市之间的传递&mdash; 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理
讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）&nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;陈璐， 华夏银行风险管理部副总经理
讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;倪斌，招商银行总行金融市场部风险总监
讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;薛宏立，浦发银行总行金融市场部总经理

&nbsp;

7月12日（星期日）


讲座5：大宗商品套利及其风险点（7月12日 8:30&mdash;9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;杨晓武， 国投安信期货有限公司副总经理
讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监

讲座7：投资与风险管理（7月12日 11:10~12:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;徐凡，盛宝银行大中华区首席执行官、全球执委会委员

讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;张嘉为， 银河证券自营投资总部副总经理
讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理&nbsp;

&nbsp;
', 'plan' => '   ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p>
', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx">
<p style="font-size: 1.3em;font-weight: bold;">天弈方圆&middot;天弈研究院</p>

<p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p>

<p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进&ldquo;基于风险和科技驱动的金融（RBTDF）&rdquo;在中国的发展。</p>
</footer>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉&nbsp; 申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p>

<section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁&nbsp; 原高盛亚太地区市场风险管理总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为&nbsp; 银河证券公司自营投资总部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的&ldquo;三角力量&rdquo;均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡&nbsp; 盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武&nbsp;&nbsp;国投安信期货有限公司副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌 招商银行金融市场部风险总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p>
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<section style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; flex: 1 1 0%; background-image: linear-gradient(to left, rgba(211, 19, 20, 0) 0%, rgb(212, 212, 212) 100%); height: 1px; overflow: hidden;">&nbsp;</section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立&nbsp;浦发银行总行金融市场部总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的&ldquo;智能投研&rdquo;业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键&ldquo;变局&rdquo;时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈&ldquo;W&rdquo;型波动。</span></p>

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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐&nbsp;华夏银行风险管理部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡&nbsp;&nbsp;<span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p>
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&nbsp;

7月11日（星期六）


讲座1：风险信息在股市和债市之间的传递&mdash; 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理
讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）&nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;陈璐， 华夏银行风险管理部副总经理
讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;倪斌，招商银行总行金融市场部风险总监
讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;薛宏立，浦发银行总行金融市场部总经理

&nbsp;

7月12日（星期日）


讲座5：大宗商品套利及其风险点（7月12日 8:30&mdash;9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;杨晓武， 国投安信期货有限公司副总经理
讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监

讲座7：投资与风险管理（7月12日 11:10~12:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;徐凡，盛宝银行大中华区首席执行官、全球执委会委员

讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;张嘉为， 银河证券自营投资总部副总经理
讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理&nbsp;

&nbsp;
', 'plan' => '   ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p>
', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx">
<p style="font-size: 1.3em;font-weight: bold;">天弈方圆&middot;天弈研究院</p>

<p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p>

<p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进&ldquo;基于风险和科技驱动的金融（RBTDF）&rdquo;在中国的发展。</p>
</footer>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉&nbsp; 申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p>

<section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁&nbsp; 原高盛亚太地区市场风险管理总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为&nbsp; 银河证券公司自营投资总部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的&ldquo;三角力量&rdquo;均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡&nbsp; 盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武&nbsp;&nbsp;国投安信期货有限公司副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立&nbsp;浦发银行总行金融市场部总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的&ldquo;智能投研&rdquo;业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键&ldquo;变局&rdquo;时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈&ldquo;W&rdquo;型波动。</span></p>

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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐&nbsp;华夏银行风险管理部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡&nbsp;&nbsp;<span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p>
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&nbsp;

7月11日（星期六）


讲座1：风险信息在股市和债市之间的传递&mdash; 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理
讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）&nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;陈璐， 华夏银行风险管理部副总经理
讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;倪斌，招商银行总行金融市场部风险总监
讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;薛宏立，浦发银行总行金融市场部总经理

&nbsp;

7月12日（星期日）


讲座5：大宗商品套利及其风险点（7月12日 8:30&mdash;9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;杨晓武， 国投安信期货有限公司副总经理
讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监

讲座7：投资与风险管理（7月12日 11:10~12:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;徐凡，盛宝银行大中华区首席执行官、全球执委会委员

讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;张嘉为， 银河证券自营投资总部副总经理
讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理&nbsp;

&nbsp;
', 'plan' => '   ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p>
', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx">
<p style="font-size: 1.3em;font-weight: bold;">天弈方圆&middot;天弈研究院</p>

<p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p>

<p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进&ldquo;基于风险和科技驱动的金融（RBTDF）&rdquo;在中国的发展。</p>
</footer>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉&nbsp; 申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p>

<section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁&nbsp; 原高盛亚太地区市场风险管理总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为&nbsp; 银河证券公司自营投资总部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的&ldquo;三角力量&rdquo;均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡&nbsp; 盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武&nbsp;&nbsp;国投安信期货有限公司副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌 招商银行金融市场部风险总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立&nbsp;浦发银行总行金融市场部总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的&ldquo;智能投研&rdquo;业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键&ldquo;变局&rdquo;时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈&ldquo;W&rdquo;型波动。</span></p>

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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐&nbsp;华夏银行风险管理部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡&nbsp;&nbsp;<span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p>
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&nbsp;

7月11日（星期六）


讲座1：风险信息在股市和债市之间的传递&mdash; 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理
讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）&nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;陈璐， 华夏银行风险管理部副总经理
讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;倪斌，招商银行总行金融市场部风险总监
讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;薛宏立，浦发银行总行金融市场部总经理

&nbsp;

7月12日（星期日）


讲座5：大宗商品套利及其风险点（7月12日 8:30&mdash;9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;杨晓武， 国投安信期货有限公司副总经理
讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监

讲座7：投资与风险管理（7月12日 11:10~12:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;徐凡，盛宝银行大中华区首席执行官、全球执委会委员

讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;张嘉为， 银河证券自营投资总部副总经理
讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理&nbsp;

&nbsp;
', 'plan' => '   ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p>
', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx">
<p style="font-size: 1.3em;font-weight: bold;">天弈方圆&middot;天弈研究院</p>

<p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p>

<p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进&ldquo;基于风险和科技驱动的金融（RBTDF）&rdquo;在中国的发展。</p>
</footer>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉&nbsp; 申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p>

<section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁&nbsp; 原高盛亚太地区市场风险管理总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为&nbsp; 银河证券公司自营投资总部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的&ldquo;三角力量&rdquo;均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡&nbsp; 盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武&nbsp;&nbsp;国投安信期货有限公司副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌 招商银行金融市场部风险总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立&nbsp;浦发银行总行金融市场部总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的&ldquo;智能投研&rdquo;业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键&ldquo;变局&rdquo;时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈&ldquo;W&rdquo;型波动。</span></p>

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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐&nbsp;华夏银行风险管理部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡&nbsp;&nbsp;<span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p>
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        in /www/wwwroot/www.cfrisk.org/app/cache/dev/Ilingdai/classes.php line 5121

    at Twig_Template->display(array('meeting' => array('id' => '38', 'title' => '2020TGES前沿讲座 主题系列一 金融市场交易与市场风险管理', 'subtitle' => '天弈全球专家研讨（TGES）利用近二十年专业交流积累的丰富国内外专家资源，邀请126位资深专家分12个系列24天隆重推出“TGES2020周末在线前沿讲座系列”。', 'thumb' => 'public://meeting/2020/07-23/1440237687df477710.jpg', 'originalThumb' => 'public://article/2020/07-23/14402379ba3d715737.jpg', 'price' => '15000.00', 'about' => '主题系列1：金融市场交易与市场风险管理

&nbsp;

7月11日（星期六）


讲座1：风险信息在股市和债市之间的传递&mdash; 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理
讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）&nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;陈璐， 华夏银行风险管理部副总经理
讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;倪斌，招商银行总行金融市场部风险总监
讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;薛宏立，浦发银行总行金融市场部总经理

&nbsp;

7月12日（星期日）


讲座5：大宗商品套利及其风险点（7月12日 8:30&mdash;9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;杨晓武， 国投安信期货有限公司副总经理
讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监

讲座7：投资与风险管理（7月12日 11:10~12:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;徐凡，盛宝银行大中华区首席执行官、全球执委会委员

讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;张嘉为， 银河证券自营投资总部副总经理
讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理&nbsp;

&nbsp;
', 'plan' => '   ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p>
', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx">
<p style="font-size: 1.3em;font-weight: bold;">天弈方圆&middot;天弈研究院</p>

<p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p>

<p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进&ldquo;基于风险和科技驱动的金融（RBTDF）&rdquo;在中国的发展。</p>
</footer>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉&nbsp; 申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p>

<section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁&nbsp; 原高盛亚太地区市场风险管理总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为&nbsp; 银河证券公司自营投资总部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的&ldquo;三角力量&rdquo;均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡&nbsp; 盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武&nbsp;&nbsp;国投安信期货有限公司副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌 招商银行金融市场部风险总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立&nbsp;浦发银行总行金融市场部总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的&ldquo;智能投研&rdquo;业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键&ldquo;变局&rdquo;时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈&ldquo;W&rdquo;型波动。</span></p>

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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐&nbsp;华夏银行风险管理部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡&nbsp;&nbsp;<span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p>
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&nbsp;

7月11日（星期六）


讲座1：风险信息在股市和债市之间的传递&mdash; 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理
讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）&nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;陈璐， 华夏银行风险管理部副总经理
讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;倪斌，招商银行总行金融市场部风险总监
讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;薛宏立，浦发银行总行金融市场部总经理

&nbsp;

7月12日（星期日）


讲座5：大宗商品套利及其风险点（7月12日 8:30&mdash;9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;杨晓武， 国投安信期货有限公司副总经理
讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监

讲座7：投资与风险管理（7月12日 11:10~12:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;徐凡，盛宝银行大中华区首席执行官、全球执委会委员

讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;张嘉为， 银河证券自营投资总部副总经理
讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理&nbsp;

&nbsp;
', 'plan' => '   ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p>
', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx">
<p style="font-size: 1.3em;font-weight: bold;">天弈方圆&middot;天弈研究院</p>

<p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p>

<p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进&ldquo;基于风险和科技驱动的金融（RBTDF）&rdquo;在中国的发展。</p>
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<p><img alt="" src="/files/default/2020/07-23/154204c1b074796923.jpg" /></p>
<img _width="100%" alt="" crossorigin="anonymous" data-fail="0" data-ratio="0.48133333333333334" data-src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIb2yJh4ibjfspI9YEfYAJmfJKj0kujAzboOCRvChq0YichpmRefyZ5ghA/640?wx_fmt=jpeg" data-type="jpeg" data-w="750" data-width="100%" src="https://mmbiz.qpic.cn/mmbiz_jpg/xyUdBOGLjxKhKyrTiaFlU9Sz5OnyKVtfIb2yJh4ibjfspI9YEfYAJmfJKj0kujAzboOCRvChq0YichpmRefyZ5ghA/640?wx_fmt=jpeg&amp;tp=webp&amp;wxfrom=5&amp;wx_lazy=1&amp;wx_co=1" style="margin: 0px; padding: 0px; display: block; width: 677px; box-sizing: border-box !important; overflow-wrap: break-word !important; height: auto !important; visibility: visible !important;" title="黄辉.jpg" /></section>

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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉&nbsp; 申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p>

<section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁&nbsp; 原高盛亚太地区市场风险管理总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为&nbsp; 银河证券公司自营投资总部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的&ldquo;三角力量&rdquo;均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡&nbsp; 盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武&nbsp;&nbsp;国投安信期货有限公司副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌 招商银行金融市场部风险总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立&nbsp;浦发银行总行金融市场部总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的&ldquo;智能投研&rdquo;业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键&ldquo;变局&rdquo;时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈&ldquo;W&rdquo;型波动。</span></p>

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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐&nbsp;华夏银行风险管理部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡&nbsp;&nbsp;<span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p>
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&nbsp;

7月11日（星期六）


讲座1：风险信息在股市和债市之间的传递&mdash; 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理
讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）&nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;陈璐， 华夏银行风险管理部副总经理
讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;倪斌，招商银行总行金融市场部风险总监
讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;薛宏立，浦发银行总行金融市场部总经理

&nbsp;

7月12日（星期日）


讲座5：大宗商品套利及其风险点（7月12日 8:30&mdash;9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;杨晓武， 国投安信期货有限公司副总经理
讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监

讲座7：投资与风险管理（7月12日 11:10~12:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;徐凡，盛宝银行大中华区首席执行官、全球执委会委员

讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;张嘉为， 银河证券自营投资总部副总经理
讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理&nbsp;

&nbsp;
', 'plan' => '   ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p>
', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx">
<p style="font-size: 1.3em;font-weight: bold;">天弈方圆&middot;天弈研究院</p>

<p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p>

<p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进&ldquo;基于风险和科技驱动的金融（RBTDF）&rdquo;在中国的发展。</p>
</footer>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉&nbsp; 申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p>

<section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁&nbsp; 原高盛亚太地区市场风险管理总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为&nbsp; 银河证券公司自营投资总部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的&ldquo;三角力量&rdquo;均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡&nbsp; 盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武&nbsp;&nbsp;国投安信期货有限公司副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌 招商银行金融市场部风险总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立&nbsp;浦发银行总行金融市场部总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的&ldquo;智能投研&rdquo;业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键&ldquo;变局&rdquo;时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈&ldquo;W&rdquo;型波动。</span></p>

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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐&nbsp;华夏银行风险管理部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡&nbsp;&nbsp;<span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p>
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&nbsp;

7月11日（星期六）


讲座1：风险信息在股市和债市之间的传递&mdash; 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理
讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）&nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;陈璐， 华夏银行风险管理部副总经理
讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;倪斌，招商银行总行金融市场部风险总监
讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;薛宏立，浦发银行总行金融市场部总经理

&nbsp;

7月12日（星期日）


讲座5：大宗商品套利及其风险点（7月12日 8:30&mdash;9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;杨晓武， 国投安信期货有限公司副总经理
讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监

讲座7：投资与风险管理（7月12日 11:10~12:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;徐凡，盛宝银行大中华区首席执行官、全球执委会委员

讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;张嘉为， 银河证券自营投资总部副总经理
讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理&nbsp;

&nbsp;
', 'plan' => '   ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p>
', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx">
<p style="font-size: 1.3em;font-weight: bold;">天弈方圆&middot;天弈研究院</p>

<p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p>

<p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进&ldquo;基于风险和科技驱动的金融（RBTDF）&rdquo;在中国的发展。</p>
</footer>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉&nbsp; 申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p>

<section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁&nbsp; 原高盛亚太地区市场风险管理总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为&nbsp; 银河证券公司自营投资总部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的&ldquo;三角力量&rdquo;均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡&nbsp; 盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武&nbsp;&nbsp;国投安信期货有限公司副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌 招商银行金融市场部风险总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立&nbsp;浦发银行总行金融市场部总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的&ldquo;智能投研&rdquo;业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键&ldquo;变局&rdquo;时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈&ldquo;W&rdquo;型波动。</span></p>

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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐&nbsp;华夏银行风险管理部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡&nbsp;&nbsp;<span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p>
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&nbsp;

7月11日（星期六）


讲座1：风险信息在股市和债市之间的传递&mdash; 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理
讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）&nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;陈璐， 华夏银行风险管理部副总经理
讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;倪斌，招商银行总行金融市场部风险总监
讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;薛宏立，浦发银行总行金融市场部总经理

&nbsp;

7月12日（星期日）


讲座5：大宗商品套利及其风险点（7月12日 8:30&mdash;9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;杨晓武， 国投安信期货有限公司副总经理
讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监

讲座7：投资与风险管理（7月12日 11:10~12:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;徐凡，盛宝银行大中华区首席执行官、全球执委会委员

讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;张嘉为， 银河证券自营投资总部副总经理
讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理&nbsp;

&nbsp;
', 'plan' => '   ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p>
', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx">
<p style="font-size: 1.3em;font-weight: bold;">天弈方圆&middot;天弈研究院</p>

<p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p>

<p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进&ldquo;基于风险和科技驱动的金融（RBTDF）&rdquo;在中国的发展。</p>
</footer>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉&nbsp; 申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p>

<section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁&nbsp; 原高盛亚太地区市场风险管理总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为&nbsp; 银河证券公司自营投资总部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的&ldquo;三角力量&rdquo;均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡&nbsp; 盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武&nbsp;&nbsp;国投安信期货有限公司副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌 招商银行金融市场部风险总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立&nbsp;浦发银行总行金融市场部总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的&ldquo;智能投研&rdquo;业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键&ldquo;变局&rdquo;时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈&ldquo;W&rdquo;型波动。</span></p>

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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐&nbsp;华夏银行风险管理部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡&nbsp;&nbsp;<span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p>
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&nbsp;

7月11日（星期六）


讲座1：风险信息在股市和债市之间的传递&mdash; 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理
讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）&nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;陈璐， 华夏银行风险管理部副总经理
讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;倪斌，招商银行总行金融市场部风险总监
讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;薛宏立，浦发银行总行金融市场部总经理

&nbsp;

7月12日（星期日）


讲座5：大宗商品套利及其风险点（7月12日 8:30&mdash;9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;杨晓武， 国投安信期货有限公司副总经理
讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监

讲座7：投资与风险管理（7月12日 11:10~12:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;徐凡，盛宝银行大中华区首席执行官、全球执委会委员

讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;张嘉为， 银河证券自营投资总部副总经理
讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理&nbsp;

&nbsp;
', 'plan' => '   ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p>
', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx">
<p style="font-size: 1.3em;font-weight: bold;">天弈方圆&middot;天弈研究院</p>

<p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p>

<p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进&ldquo;基于风险和科技驱动的金融（RBTDF）&rdquo;在中国的发展。</p>
</footer>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉&nbsp; 申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p>

<section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁&nbsp; 原高盛亚太地区市场风险管理总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为&nbsp; 银河证券公司自营投资总部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的&ldquo;三角力量&rdquo;均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡&nbsp; 盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武&nbsp;&nbsp;国投安信期货有限公司副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌 招商银行金融市场部风险总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立&nbsp;浦发银行总行金融市场部总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的&ldquo;智能投研&rdquo;业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键&ldquo;变局&rdquo;时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈&ldquo;W&rdquo;型波动。</span></p>

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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐&nbsp;华夏银行风险管理部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡&nbsp;&nbsp;<span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p>
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&nbsp;

7月11日（星期六）


讲座1：风险信息在股市和债市之间的传递&mdash; 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理
讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）&nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;陈璐， 华夏银行风险管理部副总经理
讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;倪斌，招商银行总行金融市场部风险总监
讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;薛宏立，浦发银行总行金融市场部总经理

&nbsp;

7月12日（星期日）


讲座5：大宗商品套利及其风险点（7月12日 8:30&mdash;9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;杨晓武， 国投安信期货有限公司副总经理
讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监

讲座7：投资与风险管理（7月12日 11:10~12:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;徐凡，盛宝银行大中华区首席执行官、全球执委会委员

讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;张嘉为， 银河证券自营投资总部副总经理
讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理&nbsp;

&nbsp;
', 'plan' => '   ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p>
', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx">
<p style="font-size: 1.3em;font-weight: bold;">天弈方圆&middot;天弈研究院</p>

<p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p>

<p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进&ldquo;基于风险和科技驱动的金融（RBTDF）&rdquo;在中国的发展。</p>
</footer>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉&nbsp; 申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p>

<section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁&nbsp; 原高盛亚太地区市场风险管理总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为&nbsp; 银河证券公司自营投资总部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的&ldquo;三角力量&rdquo;均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡&nbsp; 盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武&nbsp;&nbsp;国投安信期货有限公司副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌 招商银行金融市场部风险总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立&nbsp;浦发银行总行金融市场部总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的&ldquo;智能投研&rdquo;业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键&ldquo;变局&rdquo;时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈&ldquo;W&rdquo;型波动。</span></p>

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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐&nbsp;华夏银行风险管理部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡&nbsp;&nbsp;<span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p>
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&nbsp;

7月11日（星期六）


讲座1：风险信息在股市和债市之间的传递&mdash; 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理
讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）&nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;陈璐， 华夏银行风险管理部副总经理
讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;倪斌，招商银行总行金融市场部风险总监
讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;薛宏立，浦发银行总行金融市场部总经理

&nbsp;

7月12日（星期日）


讲座5：大宗商品套利及其风险点（7月12日 8:30&mdash;9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;杨晓武， 国投安信期货有限公司副总经理
讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监

讲座7：投资与风险管理（7月12日 11:10~12:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;徐凡，盛宝银行大中华区首席执行官、全球执委会委员

讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;张嘉为， 银河证券自营投资总部副总经理
讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理&nbsp;

&nbsp;
', 'plan' => '   ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p>
', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx">
<p style="font-size: 1.3em;font-weight: bold;">天弈方圆&middot;天弈研究院</p>

<p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p>

<p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进&ldquo;基于风险和科技驱动的金融（RBTDF）&rdquo;在中国的发展。</p>
</footer>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉&nbsp; 申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p>

<section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁&nbsp; 原高盛亚太地区市场风险管理总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为&nbsp; 银河证券公司自营投资总部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的&ldquo;三角力量&rdquo;均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡&nbsp; 盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武&nbsp;&nbsp;国投安信期货有限公司副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌 招商银行金融市场部风险总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立&nbsp;浦发银行总行金融市场部总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的&ldquo;智能投研&rdquo;业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键&ldquo;变局&rdquo;时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈&ldquo;W&rdquo;型波动。</span></p>

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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐&nbsp;华夏银行风险管理部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡&nbsp;&nbsp;<span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p>
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&nbsp;

7月11日（星期六）


讲座1：风险信息在股市和债市之间的传递&mdash; 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理
讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）&nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;陈璐， 华夏银行风险管理部副总经理
讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;倪斌，招商银行总行金融市场部风险总监
讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;薛宏立，浦发银行总行金融市场部总经理

&nbsp;

7月12日（星期日）


讲座5：大宗商品套利及其风险点（7月12日 8:30&mdash;9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;杨晓武， 国投安信期货有限公司副总经理
讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监

讲座7：投资与风险管理（7月12日 11:10~12:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;徐凡，盛宝银行大中华区首席执行官、全球执委会委员

讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;张嘉为， 银河证券自营投资总部副总经理
讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理&nbsp;

&nbsp;
', 'plan' => '   ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p>
', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx">
<p style="font-size: 1.3em;font-weight: bold;">天弈方圆&middot;天弈研究院</p>

<p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p>

<p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进&ldquo;基于风险和科技驱动的金融（RBTDF）&rdquo;在中国的发展。</p>
</footer>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉&nbsp; 申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p>

<section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁&nbsp; 原高盛亚太地区市场风险管理总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为&nbsp; 银河证券公司自营投资总部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的&ldquo;三角力量&rdquo;均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡&nbsp; 盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武&nbsp;&nbsp;国投安信期货有限公司副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌 招商银行金融市场部风险总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立&nbsp;浦发银行总行金融市场部总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的&ldquo;智能投研&rdquo;业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键&ldquo;变局&rdquo;时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈&ldquo;W&rdquo;型波动。</span></p>

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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐&nbsp;华夏银行风险管理部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡&nbsp;&nbsp;<span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p>
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        in /www/wwwroot/www.cfrisk.org/src/AppBundle/Controller/BaseController.php line 363

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&nbsp;

7月11日（星期六）


讲座1：风险信息在股市和债市之间的传递&mdash; 兼论资本结构套利及莫顿模型在中国适用性（7月11日 8:30-9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 彭一凡，波士顿咨询公司（纽约）风险管理部董事总经理
讲座2：巴Ⅲ市场风险新监管标准实施对商业银行的挑战（7月11日 10:15-11:30）&nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;陈璐， 华夏银行风险管理部副总经理
讲座3：从全面风险管理视角审视金融市场业务管理（7月11日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;倪斌，招商银行总行金融市场部风险总监
讲座4：明变，有备而战⸺ 金融市场和交易逻辑衍变梳理（7月11日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;薛宏立，浦发银行总行金融市场部总经理

&nbsp;

7月12日（星期日）


讲座5：大宗商品套利及其风险点（7月12日 8:30&mdash;9:45）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;杨晓武， 国投安信期货有限公司副总经理
讲座6：金融科技在国内期货期权交易中的应用及心得（7月12日 9:50~11:05）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;沈雁，衍盛生品交易和风险管理国际资深专家，曾任高FICC泛亚地区风险总监

讲座7：投资与风险管理（7月12日 11:10~12:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;徐凡，盛宝银行大中华区首席执行官、全球执委会委员

讲座8：利率衍生品及利率风险管理策略实践（7月12日 14:10-15:25）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;张嘉为， 银河证券自营投资总部副总经理
讲座9：固定收益投资业务风险管理实务探讨（7月12日 15:45-17:00）
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;黄辉，申万宏源证券公司固定收益外汇商品（FlCC）事业部董事副总经理&nbsp;

&nbsp;
', 'plan' => '   ', 'crowd' => '<p>各类金融机构和企业风险管理专业人士、中高层管理者和监管者。</p>
', 'subject' => '<footer style="margin: 40px 0 50px 0;text-align: center;font-size:18rpx">
<p style="font-size: 1.3em;font-weight: bold;">天弈方圆&middot;天弈研究院</p>

<p style="font-size: 1.3em;font-weight: bold;">合作联系电话：010-82563540、010-82608823</p>

<p style="font-size: 1.1em;">本次研讨会征集商务合作伙伴，合作方式包括联合主办、独家赞助、首席赞助、赞助商、参展商等多种方式。期待与有意合作的机构共同努力推进&ldquo;基于风险和科技驱动的金融（RBTDF）&rdquo;在中国的发展。</p>
</footer>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">黄辉&nbsp; 申万宏源证券公司固定收益外汇商品事业部董事副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">固定收益业务对风险的考量体现在对于价格风险的管理和对投资标的风险的重视方面，同时信用评级也是一种重要的技术手段，除了参考外部评级结果以外，内部评级机制的建立也十分必要。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">在固定收益投资业务的风险管理框架下，识别风险、承担风险、安排风险的过程就是经营风险、创造价值的过程。因此，证券公司应当依靠专业化水平，提高风险经营的核心竞争力，并着力提升资本配置和组合风险管理的能力；同时，公司可以把管理好风险资产负债表视为风险管理的抓手，从风险视角重置资产负债表，将风险偏好落实于指标体系中。因为这些风控指标的设立体现了证券公司的风险偏好，可以看作经营的风险底线。此外，外部监管要求，尤其是内控体系建设的相关要求，不仅从总体原则上对风险管理工作予以规范，还对于包括业务部门、风控部门、合规部门、后台部门等各部门职责予以明确，从而有效地促进了债券投资业务风险管理框架的完善。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">对于市场风险管理，定价能力是公司在业务层面的核心能力所在，而债券定价的基础在于收益率曲线水平的确定，可以从定性分析和定量分析两个方面确定收益率曲线水平。在确定收益率曲线水平的基础上，对于阶段性主要矛盾的关注、对于品种、久期、杠杆、仓位、基点价值等因素的动态调整，也是市场风险管理所关注的重点。在风险对冲管理方面，也要从对冲工具的选择、对冲时点的选择、对冲比例的控制以及对冲相关性等层面进行充分考虑。</span></p>

<section style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险管理的核心问题在于缓解信息不对称和由此面临的成本之间的权衡。优秀的信用分析团队所具备的信用风险管理能力，不仅要做到规避信用违约，还应该挖掘出具有合意的信用风险性价比的信用主体价值，也就是阿尔法所在。对于风险偏好动态调整的问题，要基于宏观周期和行业周期做好风险偏好动态调整和风险定价。此外，也可以借鉴同业经验，有选择地采取债券产品库管理、风险品种分类管理、交易对手白名单库管理、回购管理、内部评级管理等信用风险管理方法。公司还应当建立与自身发展战略、业务复杂程度相适应的内部信用评级体系，同时合理运用信用评级的定性定量因素，持续提升信用风险管理的精细化水平。</span></section>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">沈雁&nbsp; 原高盛亚太地区市场风险管理总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">金融科技手段的不断改进有助于前台风险管理中交易机会的把握；有助于内部部门及时掌握前台风险敞口的变化；有助于决策层有针对性地掌握关键风险点，提高决策的实效性；有助于总体成本的节省，效率的提高。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">主动前移型内部市场风险管理是值得提倡的。大额交易在执行前、执行时，风控部门就应该进行风险控制。在金融科技发展的今天，国内期货期权市场完全有能力做到同步的风险监测。风险管理的环节前移意味着实时地看到前台所有头寸变化及风险敞口，监督风险阈值。应用前台的思维管理风险非常重要，这需要了解市场行情变化，判断交易背后的逻辑是否合理。金融科技的应用还有利于快速准确地发现并跟踪风险点，及时了解前台的对冲措施及其有效性；量化极端情况的损失；发现定价模型的局限性；了解交易对手的敞口与场外波动率的变化；以及自动实现场外合约的到期结算。风险管理要实现实时化，透明化，有效化。风险管理应该是公司的增值服务，而不是成本。国内风控团队目前在薪酬机制与管理能力上与国外存在较大差距，这可以通过金融科技进行适当的弥补。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">针对国内的期权期货市场，我们团队主要是开发了以CTP为基础的交易信息系统。CTP是期货市场标准的数据传输标准。这个系统可以采集各大期货交易所的实时信息和十六个场内期权的实时报价。实时的市场信息可以使风险透明化，进行有效的数据统计。通过分析处理数据，形成具体的波动率交易策略。同时，CTP系统可以实现以波动率下单的期权交易，并且减少人为错误，降低成本。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">开发这套系统可以实现不同的前台风险管理交易策略。首先是Delta 对冲，第二是可以实现Gamma 交易，第三是可以实现波动率形状交易，第四是有助于判断是否有Calendar Spread交易机会。当出现无风险套利机会时，程序可以自动监控市场并且执行。要注意的是，目前场内合同的种类还是偏少，同时市场的深度与厚度有限，暂时不适合大资金参与。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">RiskPrism系统使用C++实现，用EXCEL作为前台界面，特点是高速快捷、简单实用、易维护扩展。目前中后台传统风险管理的不足包括：风险管理滞后，对前台业务的理解有限，技术能力不足，只是应付监管和高层的要求等。RiskPrism系统尽量克服了这些问题。面对市场，系统运用CTP进行行情推送，风险管理系统可以取得头寸透视。每一个产品的风险信息，每一个交易团队的头寸，以及每一个交易对手的敞口都可以被看到；系统还可以自动产生风险报告，进行情景分析与压力测试、进行结算提醒等。市场透视功能包括抓取动态场内波动率，判断波动率套利机会等。其他分析工具包括奇异期权静态分解、期权交易成本分析等。总体而言，系统提供了及时、透明、高效的风险管理辅助。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">张嘉为&nbsp; 银河证券公司自营投资总部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从国内市场投资的角度来说，目前只有利率风险能够较好地通过投资把控，因为我国利率风险领域已经有了相对健全的衍生品工具体系，使得在利率风险领域的事前与事中风险管理和控制是可行的。与此同时，目前中国债券市场的存量规模已经达到了近百万亿，稳居全球前列，也正是债券市场的快速发展促进了整个利率衍生品的快速发展。资本市场改革发展面临的新要求，金融供给侧结构性改革的深化和资本市场对外开放全方位提速均为利率衍生品市场的发展带来新机遇。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">利率风险管理工具中的对冲工具包括以下几种：国债期货、利率互换、利率期权、标债远期、债券借贷和信用缓释工具。相比国际市场信用衍生工具的广泛应用，国内信用衍生品发展尚处于起步阶段，而国内利率衍生品已经发展的相对成熟。总体而言，国内场内、场外利率衍生品增长迅速。具体来看，对于国债期货，随着做市商制度的引入，国债期货的流动性向更好的方向发展。同时国债期货交易机构化特征明显，机构持仓占比超过八成，期现货联动非常强，基差风险大幅降低。相比国债期货，利率互换货币市场属性较强，市场容量很大，影响因素与市场结构上也不尽相同。利率互换隐含了对于未来货币政策以及流动性的预期，因此是用于管理源于货币市场利率风险的价格波动的重要工具。目前来说，利率期权工具还不够丰富，更多需要通过期货复制期权的方式构造期权，这使得利率期权成本比较高，未来还有比较大的发展空间。要判断任何市场的发展情况需要看该市场是否存在套利、套保、投机的&ldquo;三角力量&rdquo;均衡，因为这样才能保持市场的活跃性，避免资产价格的定价偏离。同时在利率衍生品领域，套利套保投机力量是相对比较均衡的，使得市场发展较为健康。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">目前国内很多金融工具品种缺失，导致无法直接用传统的理论对一些资产的波动性进行定价，所以只能从策略层级重构资产，并从策略层面进行风险预算的分配从而进行资产组合管理。基于预期进行提前的套保才更有效，即事前和事中的风险管理更为重要。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">徐凡&nbsp; 盛宝银行大中华区首席执行官、全球执委会委员</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资是风险管理的过程，风险管理是技术性和艺术性的综合，其中技术性是对确定性的追求，艺术性的来源是市场的不确定和历史的不可重复性，投资和风险管理的共同目标应是在不确定性中寻找确定性，从而尽可能增加回收的资金及提高可靠性。金融科技是金融企业的核心竞争力。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">常见的投资思路是：市场研究、寻找机会、决定投资、确定金额、买入、跟踪判断和卖出。常见的投资错误包括：时间、任务不明、风险偏好不明、策略不明、市场情况和投资对象不明、个人以及团队能力边界不明和止损止盈不坚决。投资的计划与执行包括：目标、容忍度、投资时限、品种选择、人员选择、进程监督以及计划调整。对于投资中的风险管理可以从为什么、干什么、谁来干和怎么干的角度进行分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">投资风险包括信用风险、流动性风险、市场风险和操作风险等。其中信用风险是无法避免的，流动性风险是最致命的，市场风险是投资风险最常见的表现形式。风险管理工具的使用常常也会带来风险，具体表现为：不能消除信用风险，只能转移；可以控制市场风险，但其他风险又会引发市场风险和流动性风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">资产负债管理是所有企业经营的核心，但资产和负债很难完全匹配，因此管理好错配风险是资产负债管理的重点。理论上市场是比较有效的，没有额外的风险调整后收益且目标收益率与风险容忍度相匹配，但实际上由于人的情绪等原因，市场常常提供套利机会，并不是完全有效。虽然人工智能可以避免情绪化，但是否真的能消除套利机会，仍然有待考察。在错配问题上，金融机构的主要利润来源就是错配，包括信息、期限、信用、币种、资源和监管等的错配，但前述错配均会给金融机构带来或明或暗的风险。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理管的是风险偏好，风险偏好的落实和分解，投资能力、回报要求与风险容忍的平衡，风险评估、预测与跟踪和应急处理。金融科技是金融市场中重要的投资工具，可以提高效率、降低成本、促进产品普及和开拓新市场。但金融科技也存在局限性，它的局限性要是以下几个方面：一、工具和经验只针对过去，无法反应未来；二、投资和风险管理高度依赖于我们理解市场运行机理的这一假设；三、只用数学描述我们的理解；四、人工智能虽然反应更快，盲点更少，但并不能揭示市场的机理。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">杨晓武&nbsp;&nbsp;国投安信期货有限公司副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">与普通投机相比，套利既有相同点又有不同点，其中相同点在于都是以取得交易收益为目的、交易对象基本一致及交易风险有差异但都无法剔除；不同点则包括以下三条：一是投机只关注绝对价格水平变化，而套利是从不同合约彼此间相对价格差异的变化中赚取利润；二是投机在一段时间内只进行单向买进或卖出而套利是双向操作；三是套利的风险一般更低。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过套利在实际操作中也存在一些风险点，应从以下几方面进行防范。第一，坚持同进同出，同时操作；第二，实际操作过程中明确买卖价格差；第三，最好不要在自己不熟悉的市场和产品上操作；第四，要注意套利交易的佣金支出；第五，资金风险与投机同样值得关注；第六，要与任何其他交易隔离操作；第七，个人要与机构策略有所差异。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从套利机制上讲，商品期货套利可划分为内因套利和关联套利（也称无风险套利和相关性套利）。其中，内因套利是指当商品期货投资对象间价格关系因某种原因过分背离时，通过内在纠正力量而产生的套利行为。其盈利的基本原理为谨慎选择有限波动差价两端的极端机会，提高胜算率来保证交易的成功，即使出现意外也可以通过现货处理、向后延期等办法来抑制亏损。内因套利的全过程，就是深刻分析和理解级差收缩的过程。同时，内因套利要遵循以下五条原则：第一，介入比价或差价已经偏离正常水平；第二，比价波动是有限的；第三，持仓是可以向后延期的；第四，资金后备是充裕的；第五，市场是有效的，没有逼仓条件。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">关联性套利实际上属于受相关关系约束之下的两种投机交易的对冲，所以在关联套利中要遵循一定的投机原则，即正确合理地解决套利交易中方向、买卖价位和买卖量三要素问题。关联套利分析主要包括三个方面的研究内容，一是套利对象之间供求关系的对比分析，二是套利对象之间的相对强弱关系，三是套利对象之间的波动率研究。此外，关联套利存在三个关键点，一是买入供需关系相对紧张的品种、卖出相对宽裕的品种；二是买入供需关系相对紧张但处于价格低位的品种而卖出关系宽裕且价格高位的品种；三是总体价格趋势的方向与波动弹性较大的品种相一致，否则要考虑套利头寸中的套头保护问题。同时，关联套利也存在一些特殊风险点。第一，关联套利只有历史和统计学意义上的有效性；第二，关联套利面临关联商品生产成本因技术等原因而造成不一致甚至不同向的波动；第三，相关商品主要生产或者消费国关税政策的变动；第四，相关合约流动性存在限制；第五，参与者太多而失去套利空间和交易价值。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">倪斌 招商银行金融市场部风险总监</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，金融机构可以从全面风险管理的原则要求与管理目标、金融市场业务风险管理的基本逻辑、一道防线和二道防线的职能分工和有机协作、金融市场产品的核心风险要素、授权决策依据、限额指标分类和产品创新流程等角度认识全面风险管理在金融市场业务中的体现。具体到各风险因子，可以从信用风险、市场风险、产品风险、合规与操作风险等角度对金融市场业务的风险管理做具体分析。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">信用风险方面，信用债券管理是信用风险管理的重要部分。2019年以来，人民币债券及中资美元债的规模和违约量均上升。要将风险偏好和信贷政策作为信用债券管理的依据，从准入标准、组合结构、券种要求等方面进行管理，做好预警管理和舆情管理。此外，可以从较受市场关注的北大方正违约切入，分析比较中资美元债的三种主要信用结构以更好地管理信用债券。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">市场风险方面，客户准入与管理、风险缓释措施、追保与强平是风险管理要点。此外，还应认识到个人与机构客户的差异，从产品设计、合约设计、客户适当性、交易系统和市场重大变动应对预案等方面做好对个人客户的交易风险管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">产品风险方面，近期产品风险的影响明显扩大，应从产品本质属性、可能亏损场景分析、合同条款设计、产品制度与业务流程、风控独立回检制度等方面入手，进行产品风险的管理。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">合规与操作风险方面，外汇管理政策、反洗钱政策和金融市场间自律机制是金融市场业务合规管理的重点，机构需要建立严格的分级授权、集体投资决策与分离交易机制。可以借鉴一些机构通过录音与通讯中的关键词、关键逻辑进行交易员行为管理的模式，这一模式能起到较好的警示作用。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">除了上述措施，还应完善金融市场业务的风险监控与报告体系。要构建完整的风险报告体系，从前瞻研究预判、事中监控提示、事后复盘回检等角度入手，体现业务规模、质量、效益。此外，还应做好债券、衍生品和交易行为等系统的建设。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">整体上看，全面风险管理体系是迄今最科学有效的金融风险管理方法论。风险管理要讲究专业和平衡，要做到业务设计与风控方案的融合。可以通过投资中的阿尔法与贝塔概念来理解风险管理，风险管理要积极研究创新阿尔法，但要以贝塔作为根本方法和底线。做好风险管理需要融会贯通的知识积累、同理心和良好的沟通能力，要虚心学习、善于交流。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">薛宏立&nbsp;浦发银行总行金融市场部总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">债券市场的市场逻辑具有宏观与微观两个视角。基于宏观视角，债券市场收益率长期主要受到经济增速下行趋势制约，短期受限于政策及其传导效率。长期而言，结合发达国家利率中枢随经济增速持续下行的历史经验，预计我国的无风险利率中枢将随名义增长速度放缓而下降。短期而言，当前全球疫情的防控以及货币政策的调整将直接影响债券市场。就微观视角而言，市场参与者结构变化对债券市场产生深远影响。券商、境外机构以及股份制银行交易规模占比不断攀升，其量化交易占比较高、决策速度快的特点使得债券市场双向波幅变大，单向行情变短。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当下市场理念的变迁包括变与不变两个方面。就变化的方面看，金融市场的短期资金利率下行，市场套利空间扩张，但是依托杠杆的套利者承担尾部风险。就不变的方面而言，境外机构托管债券规模逐年攀升，我国债券市场对外开放的战略方向不变。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">各类金融机构具有不同的投资逻辑变换路径。就商业银行而言，其配置账户应从持有至到期向基于预判的择时投资转换，其交易账户应紧抓短期交易窗口，关注信息对市场走势影响的同时利用衍生品对冲风险。他还针对各类金融机构不同的投资约束以及投资策略偏好，介绍了各类金融机构未来投资的收益来源。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">当前金融市场的市场生态主要包含政策驱动以及科技赋能两个方面的驱动因子。政策驱动方面，基于基金免税的税收政策以及应对IFRS9的会计政策，商业银行积极配置摊余成本法债券基金。同时以资管新规为代表的监管政策促使银行类金融机构主要配置标准化资产。科技赋能方面，经纪人交易向机器人交易的转型促使市场流动性提高，交易盘更加活跃，二级市场价格发现功能提升。大数据产品的开发应用使得市场情绪及投资行为更易量化，也提高了市场的有效性。而基于人工智能应用的&ldquo;智能投研&rdquo;业务在加快交易决策的同时，也带来了业务向头部机构集中的趋势。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从对债券市场整体趋势的预判来说，当前债券市场处于关键&ldquo;变局&rdquo;时点，二季度经济数据的披露将是下半年走向的关键。其次，当前市场环比向好具有确定性，但是同比可能不及预期，而货币政策也可能存在不确定性。基于此，6、7月可能成为收益率的相对高点，全年利率走势呈&ldquo;W&rdquo;型波动。</span></p>

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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">陈璐&nbsp;华夏银行风险管理部副总经理</strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">从2007-2009年金融危机中银行业的实际损失来看，原有监管框架下的市场风险资本远远不足以抵御如此巨大的市场压力。因此，巴塞尔委员会陆续出台一系列改革措施，基于银行账簿与交易账簿的划分标准、风险敏感性、市场流动性等因素的影响，对计量模型进行了改进。市场风险新监管标准改革主要包括三方面的内容：银行账簿与交易账簿的划分标准更加明确；新标准法的整体计量框架出现颠覆性改变，更加反映风险敏感性；内模法的模型审批程序和评估标准更加严格，捕捉尾部风险的能力进一步增强。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">我国商业银行在实施新监管标准的过程中将面临较大挑战。一是实施策略问题，无论银行原来计量市场风险资本使用的方法是否为内模法，新监管框架要求所有银行必须使用标准法，因此银行面临内模法和标准法的选择问题，目前监管没有给出明确指引，各银行需要衡量实施成本和结果之间的性价比。二是新会计准则、国际监管要求与本土化有效融合、金融工具创新发展给账簿划分带来较大困难。三是在交易台构建方面可能面临着对系统、人员、数据和管理体系的搭建和重塑，涉及现行部门职责和组织架构的调整，会给银行带来一定的成本负担。四是系统实施方面，目前国内大部分银行实施巴2.5不久，相关系统运行已比较稳定且落地时间不长，但商业银行需要根据新监管标准开展系统改造，这对于系统建设能力较弱的中小银行是比较大的挑战。五是针对风险因子的选取，需要重新梳理产品与风险因子、风险因子组合等的映射，将现行的曲线结构与新监管框架相匹配。六是所有风险类别在实施新监管标准中都会遇到的数据质量问题，在新监管标准之下，对风险因子的准确识别和捕捉非常依赖数据的完整性和合理性，历史数据缺乏、宏观数据的积累和准确性等问题给商业银行数据质量管理带来一定挑战。七是监管要求在中国市场的适用性以及监管细则的明确等挑战。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">因此，我国商业银行需积极研究国际新监管标准，密切跟踪国际规则的本地化进程，尽快开展市场风险管理升级工作，逐步推进新监管标准的实施。具体可从三个方面着手，一是优化市场风险管理体系，准确定义银行账簿与交易账簿的关系，细化交易台划分标准，加强市场风险业务估值管理；二是推动数据治理和系统建设，做好数据积累和清洗工作，加快优化市场风险管理系统，提升市场风险计量精细化程度；三是推动新监管落地前期工作，积极开展新监管标准的试测算工作，积极参与国内具体规则的落地工作。</span></p>
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<p style="margin: 0px 0px 15px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; clear: both; min-height: 1em;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;"><strong style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">彭一凡&nbsp;&nbsp;<span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important;">波士顿咨询公司（纽约）风险管理部董事总经理</span></strong></span></p>
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<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">风险管理的第一要务是进行信息优化，风险管理如果能够更快更有效地处理信息，降低信噪比，就能够在市场上占据优势地位。风险信息如何在股市和债市之间传递，对投资决策具有重要意义。如何有效利用债券市场和股票市场的信息并采取行动是风险管理中的重要议题。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">莫顿模型作为连接股市和债市的理论框架，对衍生品管理产生了非常重大的影响。莫顿模型为分析债市和股市表现之间的关系提供了一个工具，可以计算债市和股市两个市场间的资本结构套利。模型的关键概念是债务本质上是关于企业总资产的看跌期权，股票本质上是关于企业总资产的看涨期权。根据该模型，高负债率意味着股票和债券价格高度相关，因为股票和信用利差受资产市场价值的影响。虽然莫顿模型在理论上很有吸引力，但该模型的假设较多，而且基于实证现实会发现，模型经常高估债券价格，低估信贷收益率，结构模型隐含的信用利差远低于数据显示的水平，而且静态结构模型预测的杠杆率远高于现实生活中观察到的杠杆率。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">KMV模型是在莫顿模型理论的基础上提出的，用于预测违约概率。在信用风险评估和财务风险预测领域得到了广泛的应用，一般认为该模型具有以下四方面的优点，一、使用实时数据，时效性较强，模型的违约概率可以基于现实证券市场的数据更新；二、模型并不完全依赖于有效市场的假说，在我国资本市场弱有效的环境下中适用性很强；三、KMV模型是一种前瞻性的方法，模型中的数据更多的反映的是公司的预期价值和投资者对公司未来发展趋势的判断；四、KMV模型是信用风险的基数度量，不仅能反映信用风险水平的排序，还能反映任意两家公司之间的风险差异水平。</span></p>

<p style="margin: 0px 0px 5px; padding: 0px; max-width: 100%; clear: both; min-height: 1em; font-family: -apple-system-font, BlinkMacSystemFont, &quot;Helvetica Neue&quot;, &quot;PingFang SC&quot;, &quot;Hiragino Sans GB&quot;, &quot;Microsoft YaHei UI&quot;, &quot;Microsoft YaHei&quot;, Arial, sans-serif; font-size: 17px; letter-spacing: 0.544px; text-align: justify; text-indent: 2em; box-sizing: border-box !important; overflow-wrap: break-word !important;"><span style="margin: 0px; padding: 0px; max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; font-size: 15px;">不过KMV模型在预测违约方面表现出较弱的辨别力，并且存在不适用中国企业的情况。这可能主要是以下四方面的原因：一是中国股票市场上曾经存在流通股和非流通股，导致中国股票市场价格高于实际价格，应用KMV模型会低估公司的信用风险；二是KMV模型中计算违约点的公式运用在我国房地产企业上经常会出现违背事实的情况；三是中国对破产的定义和处理方式较为特殊；四是中国企业的负面信息不能及时披露，这导致莫顿模型不能有效提取信用信息等。大多数学者认为，为了使KMV模型适应中国企业信用风险的评估，需要进一步对其假设条件进行扩展，对参数模型进行修正。</span></p>
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', 'type' => 'none', 'catalogue' => '439', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606299894', 'updatedTime' => '1607605470', 'weight' => '0', 'isExpert' => '0', 'guestId' => '554', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '16', 'visited' => '1'), array('id' => '93', 'meetingId' => '38', 'categoryId' => '271', 'title' => '彭一凡：风险信息在股市和债市之间的传递', 'body' => '<p>&nbsp; &nbsp; &nbsp;&nbsp;</p>
', 'type' => 'none', 'catalogue' => '438', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606299822', 'updatedTime' => '1607605002', 'weight' => '0', 'isExpert' => '0', 'guestId' => '548', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '43', 'visited' => '1'), array('id' => '91', 'meetingId' => '38', 'categoryId' => '271', 'title' => '杨晓武：基本面对冲套利基本条件', 'body' => '<p>&nbsp; &nbsp; &nbsp;&nbsp;</p>
', 'type' => 'video', 'catalogue' => '226', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606292652', 'updatedTime' => '1607605293', 'weight' => '0', 'isExpert' => '0', 'guestId' => '553', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '90', 'meetingId' => '38', 'categoryId' => '271', 'title' => '徐凡：常见投资思路、错误、计划与执行', 'body' => '<p>&nbsp; &nbsp; &nbsp;&nbsp;</p>
', 'type' => 'video', 'catalogue' => '225', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606292594', 'updatedTime' => '1607605533', 'weight' => '0', 'isExpert' => '0', 'guestId' => '555', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '89', 'meetingId' => '38', 'categoryId' => '271', 'title' => '沈雁：金融科技与风险管理前移', 'body' => '<p>&nbsp; &nbsp; &nbsp;</p>
', 'type' => 'video', 'catalogue' => '224', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606292530', 'updatedTime' => '1607605461', 'weight' => '0', 'isExpert' => '0', 'guestId' => '554', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '88', 'meetingId' => '38', 'categoryId' => '271', 'title' => '薛宏立：金融市场逻辑微观变化', 'body' => '<p>&nbsp; &nbsp; &nbsp; &nbsp;&nbsp;</p>
', 'type' => 'video', 'catalogue' => '223', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606292187', 'updatedTime' => '1607513949', 'weight' => '0', 'isExpert' => '0', 'guestId' => '552', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '86', 'meetingId' => '38', 'categoryId' => '271', 'title' => '杨晓武：大宗商品套利交易大有可为', 'body' => '<p>&nbsp; &nbsp;</p>
', 'type' => 'video', 'catalogue' => '221', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606290795', 'updatedTime' => '1607605285', 'weight' => '0', 'isExpert' => '0', 'guestId' => '553', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '85', 'meetingId' => '38', 'categoryId' => '271', 'title' => '沈雁：金融科技的作用', 'body' => '<p>&nbsp; &nbsp; &nbsp; &nbsp;&nbsp;</p>
', 'type' => 'video', 'catalogue' => '220', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606290735', 'updatedTime' => '1607605446', 'weight' => '0', 'isExpert' => '0', 'guestId' => '554', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '84', 'meetingId' => '38', 'categoryId' => '271', 'title' => '薛宏立：金融市场逻辑宏观变化', 'body' => '<p>&nbsp; &nbsp; &nbsp;</p>
', 'type' => 'video', 'catalogue' => '219', 'attachment' => array('fileIds' => '', 'targetType' => 'meetingContent', 'type' => 'attachment'), 'createdTime' => '1606290649', 'updatedTime' => '1607513968', 'weight' => '0', 'isExpert' => '0', 'guestId' => '552', 'expertId' => '0', 'startTime' => '1594425600', 'backmeetingid' => '0', 'backguestId' => '0', 'cate_id' => '10', 'visited' => '1'), array('id' => '83', 'meetingId' => '38', 'categoryId' => '271', 'title' => '徐凡：投资与风险管理的目的', 'body' => '<p>&nbsp; &nbsp; &nbsp;</p>
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<p>
<audio controls="controls" style="display: none;">&nbsp;</audio>
</p>
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', 'categoryId' => '50', 'description' => null, 'price' => '12800.00', 'vipLevelId' => '0', 'smallPicture' => '', 'middlePicture' => '', 'largePicture' => '', 'headTeacherId' => '0', 'teacherIds' => array('3'), 'assistantIds' => array(), 'hitNum' => '0', 'auditorNum' => '0', 'studentNum' => '1', 'courseNum' => '766', 'lessonNum' => '0', 'threadNum' => '0', 'noteNum' => '0', 'postNum' => '0', 'rating' => '0', 'ratingNum' => '0', 'hotSeq' => '0', 'income' => '0.00', 'createdTime' => '1650018027', 'updatedTime' => '1704937825', 'service' => array(), 'private' => '0', 'recommended' => '0', 'recommendedSeq' => '100', 'recommendedTime' => '0', 'maxRate' => '100', 'showable' => '1', 'buyable' => '1', 'conversationId' => '0', 'orgId' => '1', 'orgCode' => '1.', 'expiryMode' => 'days', 'expiryValue' => '365', 'creator' => '3', 'scheme' => '', 'approve' => '', 'cate' => '', 'free' => '13706,13704,13705,13708', 'qianyan' => '24527,28378,28452,28451,28450,28474,28548,24526,13709', 'zanzhu' => '', 'length' => '', 'content' => ''), array('id' => '95', 'title' => '金融市场业务与风险管理', 'status' => 'published', 'about' => '<p>Financial products, market transactions and risk management</p>
', 'categoryId' => '50', 'description' => null, 'price' => '12800.00', 'vipLevelId' => '0', 'smallPicture' => '', 'middlePicture' => '', 'largePicture' => '', 'headTeacherId' => '0', 'teacherIds' => array('3'), 'assistantIds' => array(), 'hitNum' => '0', 'auditorNum' => '0', 'studentNum' => '0', 'courseNum' => '586', 'lessonNum' => '0', 'threadNum' => '0', 'noteNum' => '0', 'postNum' => '0', 'rating' => '0', 'ratingNum' => '0', 'hotSeq' => '0', 'income' => '0.00', 'createdTime' => '1650018037', 'updatedTime' => '1717481693', 'service' => array(), 'private' => '0', 'recommended' => '0', 'recommendedSeq' => '100', 'recommendedTime' => '0', 'maxRate' => '100', 'showable' => '1', 'buyable' => '1', 'conversationId' => '0', 'orgId' => '1', 'orgCode' => '1.', 'expiryMode' => 'days', 'expiryValue' => '365', 'creator' => '3', 'scheme' => '', 'approve' => '', 'cate' => '{"1":{"parent":"\u503a\u5238","child":[]},"2":{"parent":"\u5546\u4e1a\u94f6\u884c\u91d1\u878d\u5e02\u573a\u4e1a\u52a1","child":[]},"3":{"parent":"\u5e02\u573a\u98ce\u9669","child":[]},"4":{"parent":"\u91d1\u878d\u884d\u751f\u54c1","child":[]}}', 'free' => '13576,13574,12922,12920', 'qianyan' => '28417,24442,24443,24444,28381,28584,28583,13198,13614', 'zanzhu' => '', 'length' => '', 'content' => '')), 'special' => array()))
        in /www/wwwroot/www.cfrisk.org/plugins/MeetingPlugin/Controller/MeetingController.php line 410

    at MeetingPlugin\Controller\MeetingController->detailAction(object(Request), '38')
        in  line 

    at call_user_func_array(array(object(MeetingController), 'detailAction'), array(object(Request), '38'))
        in /www/wwwroot/www.cfrisk.org/vendor/symfony/symfony/src/Symfony/Component/HttpKernel/HttpKernel.php line 144

    at Symfony\Component\HttpKernel\HttpKernel->handleRaw(object(Request), '1')
        in /www/wwwroot/www.cfrisk.org/vendor/symfony/symfony/src/Symfony/Component/HttpKernel/HttpKernel.php line 64

    at Symfony\Component\HttpKernel\HttpKernel->handle(object(Request), '1', true)
        in /www/wwwroot/www.cfrisk.org/vendor/symfony/symfony/src/Symfony/Component/HttpKernel/DependencyInjection/ContainerAwareHttpKernel.php line 69

    at Symfony\Component\HttpKernel\DependencyInjection\ContainerAwareHttpKernel->handle(object(Request), '1', true)
        in /www/wwwroot/www.cfrisk.org/vendor/symfony/symfony/src/Symfony/Component/HttpKernel/Kernel.php line 185

    at Symfony\Component\HttpKernel\Kernel->handle(object(Request))
        in /www/wwwroot/www.cfrisk.org/web/app_dev.php line 40

Symfony Profiler

https://www.cfrisk.org/app_dev.php/meeting/38/detail

Exceptions

Key "271" for array with keys "0" does not exist.

Stack Trace

Stack Trace (Plain Text)