衍生工具在Z公司风险管理中的应用研究

发布时间：2018-02-14 12:58

本文关键词： 衍生工具市场风险 Z公司套期保值风险管理　出处：《青岛科技大学》2017年硕士论文　论文类型：学位论文

【摘要】：近半个世纪以来,衍生工具在企业风险管理中一直发挥着重要作用,无论在产品创新、市场规模还是实际应用上,发展的脚步从来没有停止,特别是欧美企业在该领域的领先地位十分明显,对衍生工具的应用比较成熟。反观国内,由于衍生品市场起步较晚,企业在应用衍生工具进行风险管理时频频出现问题,出现了大量的套期保值失败案例,对经营活动造成严重的影响。在当前全球经济缓慢复苏以及国内经济下行严重的情况下,市场中的汇率、利率以及商品价格的波动越发剧烈,严重影响企业的经营活动,利用衍生工具进行风险管理已是大势所趋。那么未来如何才能更有效地利用衍生工具来规避市场风险呢?带着这个疑问,本文以Z公司为对象展开了研究。本文在回顾国内外学者相关研究成果的基础上,首先对涉及到的理论基础进行了汇总,包括衍生工具基本理论、企业风险管理理论以及运用衍生工具进行风险管理的相关理论;然后分析了Z公司面临的主要市场风险,评估了这些风险对经营成本的影响,据此归纳出Z公司应用衍生工具的目的为套期保值;进而对Z公司应用衍生工具的相关状况加以解剖,包括每种衍生品合约的实际操作情况、总体损益状况以及是否达到了套期保值目的,初步发现了应用中存在的几点不足;最后则对Z公司应用衍生工具的直接财务后果和风险规避效果进行论证,发现其应用并未对财务状况形成积极的效应,反而加剧了财务指标的不稳定性,同时在实证中也显示自身的系统性风险和总风险在应用后均出现了较大程度地增加,实际效果并不理想。结合以上的研究,本文在结尾处提出了Z公司应用衍生工具加强风险管理的相关措施,另外也在不同层面上对推进境内衍生品市场的发展提出了若干建议。
[Abstract]:Nearly half a century, derivatives in the enterprise risk management has played an important role in product innovation, market scale and practical application, the pace of development has never stopped, especially leading European companies in the field is very obvious, the application of the derivatives of the more mature. In China, because of derivatives the market started late, the frequent problems of enterprise risk management in the application of derivatives, the emergence of a large number of hedging failures, causing serious impact on business activities. In the slow recovery of the global economy and the domestic economic downturn in severe cases, the market exchange rate, interest rate and volatility in commodity prices is more and more violent, serious effect of business activities, the use of derivatives for risk management is how to represent the general trend. So the future can make more effective use of derivatives To avoid the market risk? With this question, the paper takes the Z company as the object. Based on the review of domestic and foreign scholars on the relevant research results, firstly the basic theory of involved are summarized, including the derivation of basic theory tools, enterprise risk management theory and the theory of derivatives risk management; and then analyzes the main market risk Z company faces, evaluated the impact of these risks on operating costs, it induces Z application of derivatives for hedging purposes; then the Z company should be dissected with related conditions of derivatives, including the actual operation situation of each kind of derivative contracts, general the profit and loss status and whether or not to hedge, initially found a few problems in the direct application; at the end of the Z application of financial derivatives business and the consequences To demonstrate the effect of risk aversion, the application does not form a positive effect on the financial condition, but increased the financial index of instability, but also shows the systematic risk and total risk on application had greatly increased in the empirical research, the actual effect is not ideal. Based on the above research, this paper puts forward the application of Z related measures to strengthen the risk management of derivatives in the end, also at different levels to promote the development of the domestic derivatives market and put forward some suggestions.

【学位授予单位】：青岛科技大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F272.3;F562.6

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