本文選題：貨幣期權(quán) + 外匯風(fēng)險(xiǎn)��； 參考：《華東師范大學(xué)》2012年碩士論文

【摘要】：2011年4月1日我國正式在銀行間外匯市場推出人民幣對外匯期權(quán)交易,這標(biāo)志著國內(nèi)人民幣期權(quán)的誕生,對于我國外匯衍生品市場的建設(shè)與發(fā)展具有重要而深遠(yuǎn)的意義。期權(quán)是國際金融市場上與遠(yuǎn)期、期貨、互換同樣重要的基本金融衍生產(chǎn)品,也是構(gòu)建創(chuàng)新金融衍生工具的必需構(gòu)件。貨幣期權(quán)由于其獨(dú)特的功能,不但是外匯市場的重要組成部分,也在外幣資產(chǎn)的套期保值管理中有著遠(yuǎn)期和期貨無法比擬的優(yōu)勢。貨幣期權(quán)在國際外匯市場上已經(jīng)持續(xù)發(fā)展與創(chuàng)新,在貨幣風(fēng)險(xiǎn)管理中也得到了較為廣泛的應(yīng)用,但對于我國微觀主體來說,還是屬于“新生事物”。然而隨著中國經(jīng)濟(jì)的日益開放,人民幣匯率彈性的不斷增強(qiáng),運(yùn)用衍生產(chǎn)品對外匯風(fēng)險(xiǎn)進(jìn)行管理已經(jīng)成為國內(nèi)企業(yè)以及金融機(jī)構(gòu)的內(nèi)在需求,這也對我國發(fā)展包括人民幣期權(quán)在內(nèi)的外匯衍生品市場,推動(dòng)衍生產(chǎn)品創(chuàng)新提出了內(nèi)在要求。在此背景下,本文圍繞著貨幣期權(quán)套期保值的功能,對其創(chuàng)新品種與應(yīng)用進(jìn)行了研究,同時(shí)也分析了我國貨幣期權(quán)的發(fā)展現(xiàn)狀以及存在的問題,旨在論證貨幣期權(quán)在企業(yè)匯率風(fēng)險(xiǎn)管理中的有效性,以期從微觀主體避險(xiǎn)需求的角度為人民幣期權(quán)業(yè)務(wù)的發(fā)展與創(chuàng)新提供一定的啟示與思路以及政策建議。本文首先對貨幣期權(quán)套期保值的基本功能進(jìn)行了介紹,并通過與其他套期保值工具如遠(yuǎn)期,期貨的對比論證其獨(dú)特優(yōu)勢,隨后對目前國際社會(huì)上應(yīng)用較為廣泛的貨幣期權(quán)創(chuàng)新品種與組合進(jìn)行了梳理與總結(jié),并結(jié)合案例實(shí)證分析了外匯結(jié)構(gòu)性期權(quán)組合避險(xiǎn)保值的應(yīng)用；接下來本文對我國貨幣期權(quán)的發(fā)展與應(yīng)用現(xiàn)狀進(jìn)行了研究,介紹了人民幣期權(quán)的發(fā)展與我國貨幣期權(quán)業(yè)務(wù)的開展情況,并對衍生品套期保值應(yīng)用中本身的風(fēng)險(xiǎn)問題進(jìn)行了討論；最后提煉出本文的結(jié)論,提出相關(guān)政策建議。
[Abstract]:On April 1, 2011, China formally launched RMB to foreign exchange option trading in the interbank foreign exchange market, which marks the birth of domestic RMB option, and has important and far-reaching significance for the construction and development of China's foreign exchange derivatives market. Option is the basic financial derivative which is equally important in the international financial market, as well as forward, futures and swaps. It is also an essential component of the construction of innovative financial derivatives. Because of its unique function, currency option is not only an important part of the foreign exchange market, but also has unparalleled advantages in the hedging management of foreign currency assets. Currency option has been continuously developed and innovated in the international foreign exchange market and has been widely used in currency risk management, but it is still a "new thing" for the micro subject of our country. However, with the increasingly open economy of China and the increasing flexibility of RMB exchange rate, the use of derivatives to manage foreign exchange risk has become the internal demand of domestic enterprises and financial institutions. This also puts forward internal requirements for China to develop foreign exchange derivatives market including RMB options and promote derivatives innovation. In this context, this paper studies the innovative varieties and applications of currency options, and analyzes the current situation and existing problems of currency options in China. The purpose of this paper is to demonstrate the effectiveness of currency options in the management of exchange rate risk in enterprises, in order to provide some enlightenment and ideas and policy suggestions for the development and innovation of RMB options business from the angle of the demand for risk-averse of micro subjects. This paper first introduces the basic functions of currency option hedging, and demonstrates its unique advantages by comparing with other hedging tools such as forward and futures. Then, the paper combs and summarizes the innovative varieties and combinations of currency options which are widely used in the international community, and analyzes the application of foreign exchange structural options portfolio hedging with a case study. Then this paper studies the development and application of currency options in China, introduces the development of RMB options and the development of Chinese currency options business, and discusses the risk problems in the application of derivatives hedging. Finally, the conclusion of this paper is extracted, and the relevant policy recommendations are put forward.
【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.6

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