青岛TJ贸易公司期货套期保值风险控制研究

发布时间：2018-03-04 13:37

本文选题：贸易公司　切入点：期货　出处：《中国海洋大学》2014年硕士论文　论文类型：学位论文

【摘要】：近年来，大宗商品价格的波动幅度越来越大，这一点从大宗商品CRB指数上面得到了明显体现，铜、棉花、原油等代表性商品都有超过50%以上的价格变化，给企业的经营带来了极大的风险和挑战。另一方面，期货市场蓬勃发展，交易额屡创新高，新品种陆续上市，越来越多的企业开始通过期货市场进行套期保值交易，以期规避价格波动风险。但是期货市场是一把“双刃剑”，它虽然有风险对冲的作用，运用不好，也会伤及自身。从“株冶”、“国储铜”等套保事件来看，国内企业并没有很好的利用好期货工具。国内规范化操作的大企业尚且如此，可想而知众多中小企业在套期保值交易中更是跌了数不清的跟头。签于此，近年来国内学术界对企业套期保值工作进行了深入研究，从各个方面对套期保值工作中可能出现的基差风险、保证金风险等进行识别和防范，这其中又以最佳套保比例的研究比较多见。但是笔者经走访青岛保税区众多橡胶贸易公司发现，绝大多数重大的亏损都是由于内控制度的缺失和对市场风险的判断不足引起的，因此本文着重从这两个方面进行介绍和研究。本文以青岛TJ贸易公司为研究对象，首先从理论上分析了青岛TJ贸易公司在套期保值工作中所可能遇到的风险，对现阶段青岛TJ贸易公司已经实施的风险控制措施做了说明，并结合笔者的工作实际，指出最大的风险在于内控制度的缺失和市场行情的错误判断。然后根据学术界对期货市场风险控制的研究现状，重新设计完善了青岛TJ贸易公司套期保值工作的风险控制流程和措施，其中对内控制度和市场行情风险这两方面做了重点分析和研究。在内控制度方面，建议实行严格的资金和交易分隔制度，做好套期保值工作的重要基础，明确期货套期保值组织机构设计和相关岗位职责，制定详细的套保工作流程，并做好相应的灾备工作。在市场行情风险控制方面，除了对常用的基本面、技术面行情分析理论做了一定介绍外，创新性的把分形理论运用到期货行情的判断分析中来，指出所有的期货价格走势图、所有时间维度都可以以“倒Z字形”进行完全分解。并且指出在当下国内期货市场里，5分钟维度、30分钟维度、日线维度是具有迭代生成关系的三个相邻维度，在此基础上指出期货界熟知的顺势交易实际上是“辩证的顺势”，对认识商品价格走势内部结构，顺应市场趋势进行交易起到了比较好的启示作用。本文通过对青岛TJ贸易公司期货套期保值风险控制的研究，，全面打造了青岛TJ贸易公司期货套期保值工作的风险控制体系，为青岛TJ贸易公司在未来发展过程中控制期货套期保值风险，实现稳定经营奠定了基础。同时对中小型贸易公司套期保值交易实践起到了积极的借鉴作用。
[Abstract]:In recent years, commodity prices have fluctuated more and more, which is evident from the CRB index of commodities. Copper, cotton, crude oil and other representative commodities have all experienced price changes of more than 50%. On the other hand, the futures market has flourished, the volume of transactions has repeatedly reached new highs, and new varieties have been listed one after another. More and more enterprises have started hedging transactions through the futures market. With a view to avoiding the risk of price fluctuations. But the futures market is a "double-edged sword". Although it has the role of hedging against risks, it can hurt itself if it is not used well. From the perspective of "Zhuye" and "National Copper Reserve" and other hedging incidents, Domestic enterprises have not made good use of futures tools. Even so, large enterprises operating in the country have standardized operations. It can be imagined that many small and medium-sized enterprises have fallen by countless numbers in hedging transactions. Signed here, In recent years, the domestic academic circles have carried on the thorough research to the enterprise hedging work, from each aspect may appear in the hedging work the base difference risk, the margin risk and so on carries on the identification and the guard. But after visiting many rubber trading companies in Qingdao bonded area, the author found that most of the major losses were caused by the lack of internal control system and insufficient judgment on market risks. Therefore, this paper focuses on these two aspects of the introduction and research. This paper takes Qingdao TJ Trading Company as the research object, first of all, analyzes the risk that Qingdao TJ Trading Company may encounter in the hedging work, and explains the risk control measures that have been implemented by Qingdao TJ Trading Company at the present stage. Combined with the author's actual work, the author points out that the biggest risk lies in the absence of internal control system and the wrong judgment of the market price. Then, according to the current situation of the research on the risk control of the futures market in academic circles, It has redesigned and perfected the risk control process and measures of the hedging work of Qingdao TJ Trading Company, among which the internal control system and the market market risk have been analyzed and studied emphatically. In terms of the internal control system, It is suggested that a strict system of separation of funds and transactions be implemented, an important basis for hedging work should be done, the design of futures hedging organizations and related post responsibilities should be clarified, and a detailed hedging workflow should be drawn up. And do a good job of disaster preparedness. In the aspect of market market risk control, in addition to introducing the commonly used fundamental and technical market analysis theories, we have innovatively applied fractal theory to the judgment and analysis of futures prices. Pointing out that all futures price trends can be completely decomposed in the form of "inverted Z" in all time dimensions, and pointing out that in the current domestic futures market, the 5-minute dimension has a 30-minute dimension. The diurnal dimension is the three adjacent dimensions with iterative generation relationship. On this basis, it is pointed out that homeopathic trading, which is well known in the futures world, is actually "dialectical homeopathy", which is useful for understanding the internal structure of commodity price trend. Comply with the market trend of trading has played a relatively good role in inspiration. Based on the study of futures hedging risk control of Qingdao TJ Trading Company, this paper establishes a risk control system for futures hedging in Qingdao TJ Trading Company. It lays a foundation for TJ Trading Company to control futures hedging risk and realize stable operation in the future. It also plays a positive role in the practice of hedging transactions of small and medium-sized trading companies.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F724.6;F752;F740.45

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