外汇相关投资项目的组合对冲方案分析

发布时间：2018-01-16 14:27

本文关键词：外汇相关投资项目的组合对冲方案分析　出处：《天津大学》2014年硕士论文　论文类型：学位论文

【摘要】：2005年至今,随着我国的人民币汇率形成机制改革工作进一步深入,人民币汇率向市场化方向改革,汇率弹性增大、波动剧烈,又由于我国已处于经济全球化的背景下,国内的企业和金融机构涉及越来越多的外汇相关投资项目、进出口贸易等等,所以我国企业和金融机构不得不面临日益增大的外汇风险,如何有效对冲外汇风险是迫不及待需要解决的问题,发达国家一直推崇用外汇衍生工具对冲风险,认为利用金融衍生工具对冲风险会增加公司价值,本文也是从外汇衍生工具对冲风险的角度来规避风险,但是由于我国外汇衍生品市场的建设还不完善,这对外汇对冲提出了不小的挑战。本文是根据外汇对冲的流程进行安排的,首先第一章是对研究背景和意义进行阐述,提出企业和金融机构进行外汇对冲的重要性和迫切性;第二章是研究基础理论和探讨汇率预测,包括了解企业外汇风险的内涵、类型和表现形式,帮助企业和金融机构识别自身面临的外汇风险。然后对外汇风险得影响因素进行讨论,并根据影响因素对汇率走势进行宏观预测。最后,根据NDF价格对即期汇率的影响,利用NDF价格预测汇率走势,提高汇率预测的准确性。第三章是探讨汇率风险的计量方法和组合对冲方案。首先介绍基于VAR模型建立起来的外汇组合对冲的汇率风险计量模型,探讨模型在进行风险计量的优点和不足。计量风险之后通过对外汇衍生品工具的优劣性比较,根据企业自身的避险原则和要求,针对企业承受风险的程度对企业进行分类,不同的类别选择合适的外汇对冲方案。第四章结合国内的实际情况,考虑现在我国还存在外汇管制,资本项目没有完全放开,从企业和金融机构内部运营和外部对冲环境两个方面来阐述外汇项目中的汇率风险对冲面临的挑战。第五章是针对我国外汇管制和外汇衍生品市场不完善等市场大环境,提出符合我国国情的建议,并对未来我国外汇对冲的发展进行展望。本文根据外汇对冲流程,首先对外汇风险进行预测,然后对面临的外汇风险进行计量,最后根据实际情况安排外汇对冲方案。并且根据现在中国国情和实际金融环境,对企业进行外汇对冲提出相应的问题和建议。
[Abstract]:Since 2005, with the further deepening of the reform of RMB exchange rate formation mechanism in China, the RMB exchange rate has been reformed in the direction of marketization, and the exchange rate elasticity has increased and fluctuated sharply. Because China has been in the background of economic globalization, domestic enterprises and financial institutions are involved in more and more foreign exchange related investment projects, import and export trade and so on. Therefore, Chinese enterprises and financial institutions have to face increasing foreign exchange risk, how to effectively hedge foreign exchange risk is urgent to solve, developed countries have been advocating the use of foreign exchange derivatives to hedge risks. It is believed that hedging risks with financial derivatives will increase the value of the company. This paper also tries to avoid the risks from the perspective of hedging risks of foreign exchange derivatives, but the construction of foreign exchange derivatives market in China is not perfect. This is not a small challenge to foreign exchange hedging. This paper is based on the process of foreign exchange hedging arrangements, the first chapter is to explain the background and significance of the study. The importance and urgency of foreign exchange hedging by enterprises and financial institutions are put forward. The second chapter is to study the basic theory and discuss the exchange rate forecasting, including understanding the connotation, types and manifestations of foreign exchange risk. Help enterprises and financial institutions to identify their own foreign exchange risk. Then discuss the influence factors of foreign exchange risk and forecast the trend of exchange rate according to the influencing factors. Finally. According to the influence of NDF price on spot exchange rate, NDF price is used to predict the trend of exchange rate. The third chapter is to discuss the measurement method of exchange rate risk and the combination hedging scheme. Firstly, the paper introduces the exchange rate risk measurement model of foreign exchange portfolio hedging based on VAR model. This paper discusses the advantages and disadvantages of the model in the risk measurement. After measuring the risk, it compares the advantages and disadvantages of the foreign exchange derivatives, according to the risk avoidance principles and requirements of the enterprise itself. According to the degree of enterprises to bear the risk of classification, different categories of foreign exchange hedging options to choose the appropriate. 4th chapter combined with the actual situation in China, considering that there are still foreign exchange control in China. The capital account has not been fully liberalized. From the aspects of internal operation and external hedging environment of enterprises and financial institutions, this paper expounds the challenges faced by foreign exchange risk hedging in foreign exchange projects. Chapter 5th is aimed at the foreign exchange control and imperfect foreign exchange derivatives market in China. The environment. According to the foreign exchange hedging process, this paper first forecasts the foreign exchange risk, and then measures the foreign exchange risk. Finally, the foreign exchange hedging scheme is arranged according to the actual situation, and according to the current situation of China and the actual financial environment, the corresponding problems and suggestions are put forward for the enterprises to hedge foreign exchange.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6

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