企业套期保值的风险管理研究

发布时间：2018-05-30 13:08

本文选题：套期保值 + 基差风险　；参考：《复旦大学》2012年硕士论文

【摘要】：在全球金融危机引发商品价格暴涨暴跌和金融自由化不断加深的大背景下,我国实体企业面临巨大的价格风险,不少企业甚至破产倒闭。期货套期保值交易成为众多国内企业应对现货价格波动的风险管理工具。但套期保值并不能规避所有风险,除却本身固有的风险之外,使用或管理得不当也会衍生出额外的风险,可能使企业蒙受巨大损失。本文以我国企业套期保值规避价格风险为出发点,研究企业套期保值必要性与可行性、现状与问题、经验与教训、策略选择和解决方案。通过对国内企业参与期货套期保值风险控制的研究,建立适合实体企业期货套期保值的风险控制体系,为国内企业利用期货套期保值控制风险,锁定利润控制成本,实现稳定经营和持续发展而奠定基础。本文首先介绍了期货套期保值和风险控制的国内外研究动态；论述了套期保值和风险管理的相关理论；在此基础上详细分析了国内外企业参与套期保值的案例和存在的风险；作为核心议题,本文在COSO的ERM框架下提出了一套全面的套期保值风险控制体系,并且针对套保实务构建了一个运用类期权的保费模型,最后设计一个IT系统平台来实现风控体系和风险模型的有机整合。作为最后部分,本文从两个方面进行总结,首先,对文章的主要内容和结论进行简要阐述。其次,指出研究中的不足之处,并对下一步研究进行了展望。
[Abstract]:Under the background of the global financial crisis causing the rise and fall of commodity prices and the deepening of financial liberalization, the real enterprises in our country are facing huge price risks, and many enterprises even go bankrupt. Futures hedging has become a risk management tool for many domestic enterprises to deal with spot price fluctuations. However, hedging can not avoid all risks. In addition to inherent risks, improper use or management will also lead to additional risks, which may cause huge losses to enterprises. This paper studies the necessity and feasibility, current situation and problems, experience and lessons, strategy selection and solution of hedging in our country. Based on the research of domestic enterprises' participation in futures hedging risk control, a risk control system suitable for entity enterprises' futures hedging is established to control risks and lock in profit control costs for domestic enterprises to use futures hedging. To achieve stable management and sustainable development to lay the foundation. This paper first introduces the domestic and foreign research trends of futures hedging and risk control, discusses the relevant theories of hedging and risk management, and then analyzes the cases and risks of domestic and foreign enterprises participating in hedging in detail. As a core topic, this paper puts forward a comprehensive hedging risk control system under the framework of COSO's ERM, and constructs a premium model based on options for hedging practice. Finally, an IT system platform is designed to realize the organic integration of wind control system and risk model. As the last part, this paper summarizes the main contents and conclusions from two aspects. Secondly, the deficiency of the research is pointed out, and the future research is prospected.
【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】：F272.3;F724.5

【共引文献】