本文關鍵詞：建行吉林省分行代客金融衍生產(chǎn)品的運用及風險控制研究　出處：《吉林大學》2012年碩士論文　論文類型：學位論文

  更多相關文章： 銀行 代客金融衍生產(chǎn)品 風險控制

【摘要】：金融衍生產(chǎn)品通常又被稱為金融衍生工具或金融衍生證券。巴塞爾銀行監(jiān)管委員會在其文件中稱金融衍生工具為一種合約,而該合約的價值取決于一項或多項背景資產(chǎn)或指數(shù)的價值”。一般都將金融衍生產(chǎn)品分為遠期(Forward)、期貨(Future)、期權(Option)、互換(Swap)四種基本形式,由這四種產(chǎn)品之間的交叉組合還可以衍生出來更加復雜的產(chǎn)品。 金融衍生品對金融業(yè)發(fā)展影響巨大。其有利的影響主要體現(xiàn)在以下幾個方面：它可以利用對沖工具規(guī)避價格風險。它是金融機構(gòu)新的盈利增長點。它提高了金融市場的運作效率。它促進了證券化市場的快速發(fā)展。金融衍生品對金融業(yè)的不利影響主要包括：金融衍生工具交易運用不當就可能造成巨額損失，金融衍生產(chǎn)品運用不當可能影響到金融體系的穩(wěn)定性。 金融衍生產(chǎn)品的起源非常早，但真正現(xiàn)代意義上的金融衍生產(chǎn)品是在20世紀70年代產(chǎn)生的。美國芝加哥商品交易所(CME)下設的國際貨幣市場分部于1972年5月在國際外匯市場及其不穩(wěn)定的情況下誕生，這是第一家從事金融期貨合約，即貨幣期貨交易的交易所。20世紀80年代，金融衍生產(chǎn)品獲得了空前的發(fā)展。據(jù)統(tǒng)計，現(xiàn)在國際金融市場上，金融衍生產(chǎn)品品種已知的就超過2000種。 金融衍生產(chǎn)品在我國僅有十多年的歷史，目前我國金融市場上的主要金融衍生產(chǎn)品有遠期結(jié)售匯、股票期權、人民幣利率互換、人民幣外匯貨幣掉期業(yè)務、遠期利率協(xié)議等。 2004年2月，，中國銀監(jiān)會正式頒布《金融機構(gòu)衍生產(chǎn)品交易管理暫行辦法》，金融機構(gòu)從事衍生產(chǎn)品交易制定了詳盡的管理辦法和規(guī)范的流程。2001年2月，建設銀行資金交易部正式成立，完成加入國際掉期與衍生產(chǎn)品協(xié)會（簡稱ISDA）的申辦工作，獲準成為ISDA基本會員。 建行發(fā)展金融衍生業(yè)務有其必然性，首先發(fā)展金融衍生業(yè)務是建行實現(xiàn)具有國際競爭力的現(xiàn)代化商業(yè)銀行的戰(zhàn)略目標的需要。其次發(fā)展金融衍生業(yè)務是建行拓展中間業(yè)務品種，增加收益的新渠道。第三，發(fā)展金融衍生業(yè)務是提高建設銀行資產(chǎn)負債管理水平，加強資產(chǎn)負債風險管理的一種手段。 要防范衍生工具交易帶來的巨大風險，必須建立一個健全的內(nèi)部風險管理體系。建行衍生產(chǎn)品風險管理的組織架構(gòu)中通常包括以下各部分：高級管理人員、金融市場部、資產(chǎn)負債管理部、授信管理部、國際業(yè)務部、風險管理部、財務會計部、營運管理部、信息中心、信息技術管理部、法律合規(guī)部、人力資源部、審計部和境內(nèi)外分支機構(gòu)。 建行還制定了嚴格有效的內(nèi)控制度。包括在業(yè)務準入、交易權限、風險限額和資本計量、風險監(jiān)控及報告、風險管控、檔案管理和應急處理方面。 建行吉林省分行在業(yè)務辦理過程中控制、防范來自銀行內(nèi)部和交易對手、客戶等方面的風險。并在以下三方面做出了較為詳細的規(guī)定： （1）銀行內(nèi)部管理方面： 開辦衍生產(chǎn)品交易業(yè)務時，總行和境內(nèi)外分支機構(gòu)應配備交易人員、會計人員、風險管理人員、風險分析人員。分管衍生產(chǎn)品交易的高級管理人員與分管風險控制的高級管理人員不得相互兼任。衍生產(chǎn)品交易要制定授權管理制度。 （2）關于交易對手的選擇方面 與交易對手開展衍生產(chǎn)品交易時，須簽訂《國際掉期及衍生產(chǎn)品協(xié)會主協(xié)議》或《中國銀行間市場金融衍生產(chǎn)品交易主協(xié)議》及有關附件。 （3）客戶方面： 所謂客戶，在這里是指衍生產(chǎn)品交易中除交易對手以外的個人或機構(gòu)。與客戶達成衍生產(chǎn)品交易之前，客戶應提供有權決議機構(gòu)同意開展該類衍生產(chǎn)品交易的決議或其他具有同等法律效力的文件或證明材料，以及客戶在最差可能情況下對于該筆衍生產(chǎn)品交易具備足夠的風險承受能力等情況說明。在與客戶辦理衍生產(chǎn)品交易時，境內(nèi)外分支機構(gòu)應與客戶簽訂書面合同。衍生產(chǎn)品交易實行授信額度管理。
[Abstract]:Financial derivatives are often called financial derivatives or financial derivative securities. The Basel Committee on banking supervision in the file called financial derivatives is a contract, and the value of "value of the contract depends on one or more underlying assets or index. The general will be divided into long-term financial derivative products (Forward) (Future), futures, options, swaps (Option) (Swap) four basic forms, the combination between the four types of products can also be derived from more complex products.
The impact of financial derivatives on the development of the financial industry is huge. Its beneficial effect is mainly reflected in the following aspects: it can avoid the price risk hedging tools. It is the financial institutions a new profit growth point. It improves the operational efficiency of financial market. It promotes the rapid development of the securities market. The adverse effects of financial derivatives the industry mainly includes: the improper use of financial derivatives transactions may result in huge losses, the financial derivative products of improper use may affect the stability of the financial system.
The origin of financial derivative products is very early, but the real modern financial derivative products are produced in 1970s. The Chicago Mercantile Exchange (CME) born under the international monetary market segment in May 1972 in the international foreign exchange market and the unstable situation, this is the first company engaged in financial futures contracts, namely currency futures trading the.20 exchange in 80s, financial derivatives obtained unprecedented development. According to statistics, now in the international financial market, financial derivatives were known as more than 2000.
Financial derivatives have only more than 10 years history in China. At present, the main financial derivatives in China's financial market include forward selling, foreign exchange, stock options, RMB interest rate swaps, RMB foreign exchange swap and forward interest rate agreements.
In February 2004, Chinese CBRC formally promulgated "Interim Measures for the financial institutions derivatives transaction management", the financial institutions engaged in derivatives transactions made detailed management measures and standardize the process of.2001 in February, the Ministry of construction bank capital transaction was formally established, the completion of accession to the International Swaps and Derivatives Association (ISDA) bid for the work, allowed to become the basic ISDA membership.
The development of CCB financial derivative business has its inevitability, the development of financial derivatives business is the need for CCB to achieve strategic objectives with the international competitiveness of modern commercial banks. Secondly, the development of financial derivatives business is the construction of the development of intermediate business varieties, add new revenue channels. Third, the development of financial derivative business is to raise the level of asset liability management in Construction Bank. A means of strengthening the asset liability risk management.
To prevent the huge risk of the derivatives transactions, we must establish a sound internal risk management system. The risk management of derivatives in China Construction Bank's organizational structure usually includes the following sections: senior managers, financial markets, asset liability management, credit management department, international business department, the Department of risk management and financial accounting Department, operation Department, information center, information technology management department, legal compliance department, human resources department, audit department and the domestic and overseas branches.
CCB has also established a strict and effective internal control system, including business access, trading rights, risk limits and capital measurement, risk monitoring and reporting, risk management and control, file management and emergency response.
The Jilin branch of CCB controls the risk in the process of business management to prevent risks from banks, competitors and customers, and makes detailed provisions in the following three aspects.
(1) the internal management of the bank:
The derivatives business, the head office and the domestic and overseas branches should be equipped with trading personnel, accounting personnel, risk management, risk analysis personnel. In charge of derivative transactions with senior managers in charge of risk control of the senior management personnel shall not concurrently hold positions in derivatives trading. To develop the management system of authorization.
(2) on the choice of a counterparty
When dealing with derivatives, we must sign the main agreement of international swap and Derivatives Association, or the main agreement of China's interbank market financial derivatives trading and related annexes.
(3) customer aspects:
The so-called customer, here refers to the derivative product transactions in addition to counterparties outside of the individual or institution. Before entering into derivative transactions with the customer, the customer shall provide the right resolution authority agreed to carry out this kind of derivatives trading decision or other legally equivalent documents or proof materials, as well as the customer in the worst possible situation for the sum of derivative transactions have the risk tolerance and so on. And customers for derivatives trading, domestic and overseas branches shall sign a written contract with the client. The derivative product transactions implement the credit limit management.

【學位授予單位】：吉林大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.2


本文編號：1402940