我国集团企业财务公司外汇风险管理的研究

发布时间：2018-01-23 01:11

本文关键词： 集团企业财务公司外汇业务风险管理　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：近年来国内外经济环境下行的复杂局面,使得我国大型集团企业财务公司在为集团内客户提供国际结算、结售汇、外汇贷款、远期结售汇业务等外汇业务时,面临着越来越多的金融风险。本文尝试系统分析我国企业集团财务公司的外汇风险管理问题,通过剖析我国财务公司外汇风险管理现状,借鉴国外财务公司成功经验,结合我国财务公司业务特点,介绍了外汇风险的辨识、度量和策略选择方法,并通过具体案例阐述我国财务公司怎样通过制度设置、授信额度控制、风险计量系统控制和流程监控等手段,实现有效控制外汇业务信用风险、市场风险和操作风险的目的,并且详细分析Monte Carlo模拟法计量VaR值的原理,解析通过metlab建立数学模型度量外汇市场风险的步骤,可以为财务公司如何建立市场风险计量系统提供设计依据,最后在理论阐述和实证分析的基础上得出结论,对完善我国大型企业集团财务公司外汇风险管理提出建议。
[Abstract]:In recent years, the domestic and foreign economic environment of the complex situation, so that China's large conglomerate financial companies in the group to provide customers with international settlement, foreign exchange settlement, foreign exchange loans, forward settlement and sales of foreign exchange business and other foreign exchange business. Facing more and more financial risks, this paper attempts to systematically analyze the foreign exchange risk management problems of Chinese enterprise group financial companies, through the analysis of the current situation of foreign exchange risk management of financial companies in China. Based on the successful experience of foreign financial companies and the business characteristics of Chinese financial companies, this paper introduces the identification, measurement and strategy selection of foreign exchange risk. And through specific cases to explain how our financial companies through the system setting, credit quota control, risk measurement system control and process monitoring and other means to achieve effective control of foreign exchange business credit risk. The purpose of market risk and operation risk, and the principle of VaR value measurement by Monte Carlo simulation method is analyzed in detail. Analyzing the steps of establishing mathematical model by metlab to measure the foreign exchange market risk can provide the design basis for how to set up the market risk measurement system of the finance company. Finally, on the basis of theoretical analysis and empirical analysis, the author draws a conclusion and puts forward some suggestions for perfecting the foreign exchange risk management of large enterprise group financial companies in China.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.39

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