货币期权套期保值的创新与应用研究

发布时间：2018-04-29 07:09

本文选题：货币期权 + 外汇风险　；参考：《华东师范大学》2012年硕士论文

【摘要】：2011年4月1日我国正式在银行间外汇市场推出人民币对外汇期权交易,这标志着国内人民币期权的诞生,对于我国外汇衍生品市场的建设与发展具有重要而深远的意义。期权是国际金融市场上与远期、期货、互换同样重要的基本金融衍生产品,也是构建创新金融衍生工具的必需构件。货币期权由于其独特的功能,不但是外汇市场的重要组成部分,也在外币资产的套期保值管理中有着远期和期货无法比拟的优势。货币期权在国际外汇市场上已经持续发展与创新,在货币风险管理中也得到了较为广泛的应用,但对于我国微观主体来说,还是属于“新生事物”。然而随着中国经济的日益开放,人民币汇率弹性的不断增强,运用衍生产品对外汇风险进行管理已经成为国内企业以及金融机构的内在需求,这也对我国发展包括人民币期权在内的外汇衍生品市场,推动衍生产品创新提出了内在要求。在此背景下,本文围绕着货币期权套期保值的功能,对其创新品种与应用进行了研究,同时也分析了我国货币期权的发展现状以及存在的问题,旨在论证货币期权在企业汇率风险管理中的有效性,以期从微观主体避险需求的角度为人民币期权业务的发展与创新提供一定的启示与思路以及政策建议。本文首先对货币期权套期保值的基本功能进行了介绍,并通过与其他套期保值工具如远期,期货的对比论证其独特优势,随后对目前国际社会上应用较为广泛的货币期权创新品种与组合进行了梳理与总结,并结合案例实证分析了外汇结构性期权组合避险保值的应用；接下来本文对我国货币期权的发展与应用现状进行了研究,介绍了人民币期权的发展与我国货币期权业务的开展情况,并对衍生品套期保值应用中本身的风险问题进行了讨论；最后提炼出本文的结论,提出相关政策建议。
[Abstract]:On April 1, 2011, China formally launched RMB to foreign exchange option trading in the interbank foreign exchange market, which marks the birth of domestic RMB option, and has important and far-reaching significance for the construction and development of China's foreign exchange derivatives market. Option is the basic financial derivative which is equally important in the international financial market, as well as forward, futures and swaps. It is also an essential component of the construction of innovative financial derivatives. Because of its unique function, currency option is not only an important part of the foreign exchange market, but also has unparalleled advantages in the hedging management of foreign currency assets. Currency option has been continuously developed and innovated in the international foreign exchange market and has been widely used in currency risk management, but it is still a "new thing" for the micro subject of our country. However, with the increasingly open economy of China and the increasing flexibility of RMB exchange rate, the use of derivatives to manage foreign exchange risk has become the internal demand of domestic enterprises and financial institutions. This also puts forward internal requirements for China to develop foreign exchange derivatives market including RMB options and promote derivatives innovation. In this context, this paper studies the innovative varieties and applications of currency options, and analyzes the current situation and existing problems of currency options in China. The purpose of this paper is to demonstrate the effectiveness of currency options in the management of exchange rate risk in enterprises, in order to provide some enlightenment and ideas and policy suggestions for the development and innovation of RMB options business from the angle of the demand for risk-averse of micro subjects. This paper first introduces the basic functions of currency option hedging, and demonstrates its unique advantages by comparing with other hedging tools such as forward and futures. Then, the paper combs and summarizes the innovative varieties and combinations of currency options which are widely used in the international community, and analyzes the application of foreign exchange structural options portfolio hedging with a case study. Then this paper studies the development and application of currency options in China, introduces the development of RMB options and the development of Chinese currency options business, and discusses the risk problems in the application of derivatives hedging. Finally, the conclusion of this paper is extracted, and the relevant policy recommendations are put forward.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.6

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