基于金融衍生工具的石油价格风险管理研究

发布时间：2018-02-22 22:27

本文关键词： 石油风险管理衍生工具 VaR GARCH模型套期保值　出处：《广东财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：自上世纪70年代石油危机以来，石油价格开始剧烈波动，石油市场的风险管理日益重要。本文就是研究用套期保值方法来管理石油价格风险的问题。规避原油进口风险，无论是从经济利益还是国家安全考虑，对石油进口大国来说，都有重大意义。首先从我国的石油市场的现状和价格风险特征出发，对我国目前的石油供给需求状况，对外依存度以及面临的一些问题等展开讨论，为我国的石油战略提出参考建议。然后对金融衍生工具和风险管理进行概述，比较不同衍生工具的特点，说明选择套期保值来规避石油价格风险的原因。至于风险度量的工具，本文选择在险价值（VaR）法。不过由于石油的准金融属性，其时间序列具有明显的尖峰后尾和波动群集效应，所以我们借助GARCH模型来处理，可以收到很好的效果。在套期保值比的选择上，本文选用最小方差套期保值比和基于GARCH模型的动态套期保值比作方法，并对它们的套期保值效果进行比较，以便为石油企业管理自身的风险提供参考。
[Abstract]:Since the 70s oil crisis in the last century, the price of oil began to fluctuate, and the risk management of the oil market
More and more important. This article is to study the use of hedging methods to manage the risk of oil price problem. To avoid the risk of imported crude oil, both from the economic interests or national security concerns of major oil importing countries, are of great significance. Firstly, the status quo of China's oil market price and risk characteristics of current to our country the oil supply and demand situation, external dependence and facing some problems to discuss, put forward suggestions for China's oil strategy. Then an overview of financial derivatives and risk management, the comparison of the characteristics of derivatives of different reasons, the choice of hedging to avoid the risk of oil price. As for the risk measurement tool, this paper select the value at risk (VaR) method. But due to the oil of quasi financial attributes, the time series with the tail and volatility cluster effect obvious peak, so we borrowed The GARCH model, can get good results. In the choice of hedging ratio, the minimum variance hedge ratio and GARCH model of dynamic hedging as based method, and compare their hedging effect, so that their physical risk and provide reference for petroleum enterprises.

【学位授予单位】：广东财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F764.1;F830.9;F224

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