我国商业银行衍生金融工具信息披露研究

发布时间：2018-07-09 14:39

本文选题：衍生金融工具 + 会计信息　；参考：《西南财经大学》2012年硕士论文

【摘要】：次贷危机2007年仅局限于美国,却在2008年席卷全球。华尔街众多金融机构因参与衍生金融工具交易发生巨亏乃至倒闭。信贷违约掉期(CDS)便是本次危机的主角。社会各界针对衍生金融工具监管的有效性提出质疑。以CDS为代表的衍生金融工具的信息披露制度再次被置于聚光灯下。衍生金融工具指具有以下特征的—类金融工具：(1)其价值随特定利率、汇率、证券指数、信用等级等变量的变动而变动；(2)不要求初始净投资,或与对市场条件变动具有类似反应的其他类型合同相比,要求较少的净投资；(3)在未来日期结算。远期、期货、期权、互换构成了衍生金融工具的四种基本形式。在上述特征的影响下,标的的微小变动可以迅速被放大导致衍生金融工具价格以成倍的幅度变动。衍生金融工具本是作为风险管理工具被引入。企业通过合理地使用衍生金融工具,可以规避风险和锁定利润。然而衍生金融工具是一把“双刃剑”。错误的使用衍生金融工具不仅无法规避风险,反而会让企业陷于风险中,而且这种风险往往是致命的。衍生金融工具就其实质而言是契约化的“零和博弈”。巨大的系统性风险在衍生金融工具市场中不断累积。一系列恶性事件为衍生金融工具的应用敲响了警钟。鉴于最近美国次贷危机以及三十年来多次与衍生金融工具交易相关的惨痛教训,控制衍生金融工具交易者的风险显得极为重要。商业银行以金融资产和负债作为经营对象,是现代社会经济活动支付中介、信用中介,并提供种类繁多的金融服务。商业银行在中央银行的领导下发挥着信用创造的特殊功能,是信用的主要提供者。强顺周期性使商业银行对社会经济的影响程度和受社会经济影响程度远大于一般企业。商业银行除了对股东和客户负责外,还必须对整个社会负责。这是因为商业银行具有特殊的外部性。商业银行是衍生金融工具交易市场活跃的参与者。商业银行的外部性和其参与交易的衍生金融工具固有的高风险性使得研究如何控制商业银行衍生金融工具风险十分必要。自上世纪80年代末90年代初,衍生金融工具逐渐被引入我国商业银行。虽然我国商业银行衍生金融工具业务取得了一定的发展,但还是面临着诸多限制。受制于有限的经验和对衍生金融工具的认识不足,同国际商业银行相比较,我国商业银行提供的衍生金融工具种类偏少而且同质性很严重。在缺乏既有衍生金融工具定价权的同时,我国商业银行金融创新能力也大大落后于国际同行,新衍生金融工具的引入主要来自于对国外商业银行相应产品的简单模仿。银行客户日益个性化、多元化的需求难以得到满足。金融全球化的趋势不可阻挡,随着金融领域的不断开放,我国的商业银行将全面参与国际竞争,对衍生金融工具市场的参与度亦会逐渐加深。加强衍生金融工具风险控制是我国商业银行和各监管主体迫切需要解决的问题。信息披露主体将会计报表、公司治理以及重大事项等以一定方式向股东、债权人、监管主体和其他利益相关者予以公开。这些反映其财务状况、经营成果等方面信息的公开过程即信息披露。在众多的经济信息中,会计信息占据了绝大多数。会计信息的全面性、真实性是其他信息无法比拟的。会计信息披露是企业信息披露的主体,在衍生金融工具风险管理中发挥着基础性作用。会计信息披露是有效监管最重要组成部分。完善的会计信息披露有利于约束企业保持合理的风险头寸、加强内部控制建设以保障稳健经营。众多学者的研究表明：会计信息披露有助于限制银行过多承担风险。银行偿付危机发生的概率和其会计信息的披露水平呈负相关。而且充分的会计信息披露有助于降低投资者的判断风险。因此发达国家把修改和完善现有的会计信息披露制度作为解决衍生金融工具交易中信息不对称的主要工作。通过完善衍生金融工具会计信息披露以抑制过度投机并化解系统性风险,市场配置资源的基础作用才能有效发挥。商业银行在其公开披露的会计信息中涵盖了衍生金融工具。商业银行衍生金融工具的会计信息披露具有狭义和广义的分别。狭义的披露仅指报表附注。广义的披露则包括了在报表列报和表外附注两部分。本文所指的披露特指广义的披露。国外对衍生金融工具的研究主要集中于两方面。这两方面是：一、衍生金融工具是否采用公允价值计量；二、是否对衍生金融工具实施会计监管。这两方面都存在着争论,还没有形成一致的意见。与国外相比,我国相关研究开始较晚。这和我国衍生金融工具的引入较晚有关。我国对衍生金融工具的研究可以按时间顺序分为两个阶段。第一个阶段主要探讨衍生金融工具对传统会计的冲击。第二个阶段致力于介绍国外衍生金融工具会计相关准则的进展及其对会计信息披露的影响。衍生金融工具会计面临众多有待解决的问题,一个完整的衍生金融工具会计信息披露体系尚未建立。笔者选择了商业银行衍生金融工具会计信息披露这一课题进行研究,力求做出些许贡献。本文从会计的角度,探讨如何将衍生金融工具的风险及时准确地确认、计量并披露给信息使用者,以及通过内部控制与外部监管相结合以控制衍生金融工具潜在风险。规范分析是本文主要的研究方法,规范研究认为理论的作用在于指导实践,理论来源于实践,但是高于实践。通过逻辑推理得出的会计理论能够对会计实务起到规范作用。相较于实证研究,规范研究更适合于综合性问题的探讨。本文第一章,笔者以次贷危机为引子交代了衍生金融工具会计信息披露的研究背景。在此基础上笔者阐明了本文的研究意义。研究衍生金融工具会计信息披露必须建立在该领域既有研究成果的基础上。在文献综述部分,国内国际衍生金融工具会计信息披露相关的成果得到引用并作为下文的理论铺垫。在第二章,笔者概述了衍生金融工具的定义、分类和功能。衍生金融工具的风险特点被作为重点进行了详细介绍。衍生金融工具的特征使其难以纳入传统会计的报告体系。针对衍生金融工具的会计确认、计量和列报,笔者详细介绍了其历史发展轨迹。基于信息不对称理论和决策有用观,笔者阐述了改进衍生金融工具会计信息披露的必要性。在第三章,笔者介绍了国际权威会计组织关于衍生金融工具信息披露的准则和规范,并与我国有关准则和规范进行比较。第四章,笔者选取我国11家商业银行的2010年年度报告并分析其会计政策、公允价值、风险管理和套期活动的披露等方面对相关准则的遵循度。我国上市银行对相关准则的遵循度较高是该部分得出的结论。为分析与世界先进商业银行的差距,笔者将我国样本银行衍生金融工具会计信息披露的实践与美国部分商业银行进行比较。在发掘差异的基础上,总结了美国在衍生金融工具会计信息披露中值得我国学习和借鉴的有益经验以及应该认真吸取的教训。在第五章,笔者指出我国商业银行衍生金融工具信息披露中存在准则和规范制定机构沟通不畅、准则及规范可操作性不高、准则在披露内容的要求上不够深入、格式要求不够统一和法律制度不健全等缺陷。从准则制定质量和准则执行质量两个角度笔者提出了相应的改进建议。
[Abstract]:The subprime crisis was confined to the United States in 2007 only in the United States, but it swept over the world in 2008. Many financial institutions in Wall Street suffered huge losses and even bankruptcy because of their participation in derivative financial instruments. The credit default swap (CDS) is the leading role of this crisis. All walks of life questioned the effectiveness of the regulation of derivative financial instruments. The derivative finance represented by CDS The information disclosure system of tools was once again placed under the spotlight.
A derivative financial instrument refers to a class of financial instruments with the following characteristics: (1) its value varies with the variable of specific interest rate, exchange rate, stock index, credit grade and other variables; (2) no initial net investment is required or less net investment is required than other types of contracts with similar reaction to market conditions; (3) in the future date Settlement. Forward, futures, options, and swap constitute four basic forms of derivative financial instruments. Under the influence of the above characteristics, the minor changes in the standard can rapidly be amplified to double the price of derivative financial instruments. Derivative financial instruments are introduced as a risk management tool. Financial instruments can avoid risk and lock in profits. However, derivative financial instruments are a "double-edged sword". The wrong use of derivative financial instruments can not only avoid risks but also make enterprises in risk, and the risk is often fatal. Derivatives are essentially contractual "zero sum game". Large systematic risks are accumulating in the market of derivatives. A series of malignant events have rounded the alarm for the application of derivative financial instruments. In view of the recent American subprime crisis and the painful lessons that have been related to the transaction of derivative instruments for more than thirty years, it is very important to control the risk of derivative financial tool traders.
Commercial banks, with financial assets and liabilities as the management object, are payment intermediaries, credit intermediaries, and various kinds of financial services in modern social and economic activities. Commercial banks play a special function of credit creation under the leadership of the central bank. It is the main provider of credit. The degree of influence and the degree of social and economic impact is far greater than that of the general enterprise. In addition to the responsibility of the shareholders and customers, commercial banks have to be responsible for the whole society. This is because commercial banks have special externalities. Commercial banks are active participants in the trading market of derivative financial instruments. The externality of commercial banks and their participation in transactions. The inherent high risk of derivative financial instruments makes it necessary to study how to control the risks of commercial banks' derivative financial instruments.
Since the end of the 80s and early 90s, the derivative financial instruments are gradually introduced into the commercial banks of our country. Although the derivative financial instruments business of the commercial banks of our country has made a certain development, it still faces many restrictions. It is restricted by limited experience and lack of understanding of the derivative financial instruments, compared with the international commercial banks, China's commerce. The derivative financial instruments provided by the bank are less kind and more homogeneous. In the absence of the pricing power of the derivatives, the financial innovation ability of our commercial banks is greatly lagged behind the international counterparts. The introduction of new derivative financial instruments is mainly from the simple imitation of the corresponding products of foreign commercial banks. The trend of financial globalization is unstoppable. With the continuous opening up of the financial field, the commercial banks in China will participate in the international competition, and the participation degree of the derivative financial instruments market will gradually deepen. The risk control of the derivative financial instruments is the commercial bank and the supervision of our country. The subject urgently needs to be solved.
The subject of information disclosure will disclose accounting statements, corporate governance and important matters to shareholders, creditors, regulatory bodies and other stakeholders in a certain way. These disclosure processes, which reflect their financial status and management results, are the disclosure of information. In a large number of economic information, accounting information occupies the vast majority. The comprehensiveness and authenticity of accounting information can not be compared with other information. Accounting information disclosure is the main body of enterprise information disclosure. It plays a fundamental role in the risk management of derivative financial instruments. Accounting information disclosure is the most important part of effective supervision. The perfect disclosure of accounting information is beneficial to restricting the enterprise to maintain a reasonable risk. Many scholars have shown that the disclosure of accounting information helps to limit the risk of overtaking the banks too much. The probability of the bank's payment crisis is negatively related to the disclosure level of the accounting information. And the full disclosure of accounting information helps to reduce the risk of investors' judgment. The developed countries have changed and perfected the existing accounting information disclosure system as the main task to solve the information asymmetry in the derivative financial instruments transaction. By improving the disclosure of the accounting information of the derivative financial instruments to suppress excessive speculation and dissolve systematic risks, the basic role of the market allocation of resources can be effectively played.
Commercial banks cover derivative financial instruments in their publicly disclosed accounting information. Accounting information disclosure of derivative financial instruments of commercial banks has a narrow and broad sense. Narrow disclosure only refers to statement notes. The broad disclosure includes two parts in the statement and out of statement notes. Dew.
The foreign research on derivative financial instruments is mainly concentrated in two aspects. The two aspects are: first, whether the derivative financial instruments use fair value measurement; two, whether the accounting supervision of the derivative financial instruments is implemented. There are arguments in all two aspects, and there is no consensus. The introduction of derivative financial instruments in China is relatively late. Our country's research on derivative financial instruments can be divided into two stages in time sequence. The first stage mainly discusses the impact of derivative financial instruments on traditional accounting. The second stage is devoted to the introduction of the progress of foreign derivative financial instruments accounting standards and their accounting information. The derivative financial instruments accounting faces many problems to be solved. A complete accounting information disclosure system of derivative financial instruments has not been established. The author chooses the subject of accounting information disclosure of the derivative financial instruments of commercial banks to study and try to make some contributions. The risks of the financial instruments are promptly and accurately identified, measured and disclosed to the users of the information, and through the combination of internal control and external supervision to control the potential risks of derivatives.
Normative analysis is the main research method in this paper. The normative study thinks that the function of theory is to guide practice, and the theory comes from practice, but it is higher than practice. The accounting theory obtained through logical reasoning can play a normative role in accounting practice. Compared with empirical research, the normative research is more suitable for the discussion of comprehensive problems.
In the first chapter, the author introduces the research background of the accounting information disclosure of derivative financial instruments with the subprime crisis as the introduction. On the basis of this, the author clarifies the significance of this study. The research on the disclosure of accounting information of derivative financial instruments must be based on the research results in this field. In the second chapter, the author outlines the definition, classification and function of derivative financial instruments. The characteristics of the risk of derivative financial instruments are introduced in detail. The characteristics of derivative financial instruments make it difficult to incorporate the traditional accounting reporting system. In view of the accounting confirmation, measurement and presentation of the derivative financial instruments, the author introduces its historical development in detail. Based on the information asymmetry theory and the decision usefulness view, the author expounds the necessity of improving the accounting information disclosure of the derivative financial instruments. In the third chapter, the author introduces the information of the international authoritative accounting organization on derivative financial instruments. The rules and norms of disclosure are compared with the relevant standards and norms in China. In the fourth chapter, the author selects the annual report of 11 commercial banks in China in 2010 and analyzes the compliance of its accounting policies, fair value, risk management and the disclosure of hedging activities. In order to analyze the gap between the world advanced commercial banks and the world advanced commercial banks, the author compares the practice of accounting information disclosure of the derivative financial instruments of China's sample banks with some commercial banks in the United States. On the basis of the differences, we conclude that the US is worth learning and borrowing in the disclosure of the accounting information of derivative financial tools in the United States. In the fifth chapter, the author points out that the information disclosure of derivative financial instruments in the commercial banks of China is not smooth, the norms and norms are not high, the standards are not enough in the disclosure requirements, the format requirements are not uniform and the legal system is not healthy. Congruent defects. From the two points of view of the quality of the standard setting and the quality of the enforcement, the author puts forward some suggestions for improvement.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.42;F832.33

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