發(fā)布時間：2018-07-09 14:39

  本文選題：衍生金融工具 + 會計信息　； 參考：《西南財經(jīng)大學(xué)》2012年碩士論文

【摘要】：次貸危機2007年僅局限于美國,卻在2008年席卷全球。華爾街眾多金融機構(gòu)因參與衍生金融工具交易發(fā)生巨虧乃至倒閉。信貸違約掉期(CDS)便是本次危機的主角。社會各界針對衍生金融工具監(jiān)管的有效性提出質(zhì)疑。以CDS為代表的衍生金融工具的信息披露制度再次被置于聚光燈下。 衍生金融工具指具有以下特征的—類金融工具：(1)其價值隨特定利率、匯率、證券指數(shù)、信用等級等變量的變動而變動；(2)不要求初始凈投資,或與對市場條件變動具有類似反應(yīng)的其他類型合同相比,要求較少的凈投資；(3)在未來日期結(jié)算。遠期、期貨、期權(quán)、互換構(gòu)成了衍生金融工具的四種基本形式。在上述特征的影響下,標的的微小變動可以迅速被放大導(dǎo)致衍生金融工具價格以成倍的幅度變動。衍生金融工具本是作為風險管理工具被引入。企業(yè)通過合理地使用衍生金融工具,可以規(guī)避風險和鎖定利潤。然而衍生金融工具是一把“雙刃劍”。錯誤的使用衍生金融工具不僅無法規(guī)避風險,反而會讓企業(yè)陷于風險中,而且這種風險往往是致命的。衍生金融工具就其實質(zhì)而言是契約化的“零和博弈”。巨大的系統(tǒng)性風險在衍生金融工具市場中不斷累積。一系列惡性事件為衍生金融工具的應(yīng)用敲響了警鐘。鑒于最近美國次貸危機以及三十年來多次與衍生金融工具交易相關(guān)的慘痛教訓(xùn),控制衍生金融工具交易者的風險顯得極為重要。 商業(yè)銀行以金融資產(chǎn)和負債作為經(jīng)營對象,是現(xiàn)代社會經(jīng)濟活動支付中介、信用中介,并提供種類繁多的金融服務(wù)。商業(yè)銀行在中央銀行的領(lǐng)導(dǎo)下發(fā)揮著信用創(chuàng)造的特殊功能,是信用的主要提供者。強順周期性使商業(yè)銀行對社會經(jīng)濟的影響程度和受社會經(jīng)濟影響程度遠大于一般企業(yè)。商業(yè)銀行除了對股東和客戶負責外,還必須對整個社會負責。這是因為商業(yè)銀行具有特殊的外部性。商業(yè)銀行是衍生金融工具交易市場活躍的參與者。商業(yè)銀行的外部性和其參與交易的衍生金融工具固有的高風險性使得研究如何控制商業(yè)銀行衍生金融工具風險十分必要。 自上世紀80年代末90年代初,衍生金融工具逐漸被引入我國商業(yè)銀行。雖然我國商業(yè)銀行衍生金融工具業(yè)務(wù)取得了一定的發(fā)展,但還是面臨著諸多限制。受制于有限的經(jīng)驗和對衍生金融工具的認識不足,同國際商業(yè)銀行相比較,我國商業(yè)銀行提供的衍生金融工具種類偏少而且同質(zhì)性很嚴重。在缺乏既有衍生金融工具定價權(quán)的同時,我國商業(yè)銀行金融創(chuàng)新能力也大大落后于國際同行,新衍生金融工具的引入主要來自于對國外商業(yè)銀行相應(yīng)產(chǎn)品的簡單模仿。銀行客戶日益?zhèn)�性化、多元化的需求難以得到滿足。金融全球化的趨勢不可阻擋,隨著金融領(lǐng)域的不斷開放,我國的商業(yè)銀行將全面參與國際競爭,對衍生金融工具市場的參與度亦會逐漸加深。加強衍生金融工具風險控制是我國商業(yè)銀行和各監(jiān)管主體迫切需要解決的問題。 信息披露主體將會計報表、公司治理以及重大事項等以一定方式向股東、債權(quán)人、監(jiān)管主體和其他利益相關(guān)者予以公開。這些反映其財務(wù)狀況、經(jīng)營成果等方面信息的公開過程即信息披露。在眾多的經(jīng)濟信息中,會計信息占據(jù)了絕大多數(shù)。會計信息的全面性、真實性是其他信息無法比擬的。會計信息披露是企業(yè)信息披露的主體,在衍生金融工具風險管理中發(fā)揮著基礎(chǔ)性作用。會計信息披露是有效監(jiān)管最重要組成部分。完善的會計信息披露有利于約束企業(yè)保持合理的風險頭寸、加強內(nèi)部控制建設(shè)以保障穩(wěn)健經(jīng)營。眾多學(xué)者的研究表明：會計信息披露有助于限制銀行過多承擔風險。銀行償付危機發(fā)生的概率和其會計信息的披露水平呈負相關(guān)。而且充分的會計信息披露有助于降低投資者的判斷風險。因此發(fā)達國家把修改和完善現(xiàn)有的會計信息披露制度作為解決衍生金融工具交易中信息不對稱的主要工作。通過完善衍生金融工具會計信息披露以抑制過度投機并化解系統(tǒng)性風險,市場配置資源的基礎(chǔ)作用才能有效發(fā)揮。 商業(yè)銀行在其公開披露的會計信息中涵蓋了衍生金融工具。商業(yè)銀行衍生金融工具的會計信息披露具有狹義和廣義的分別。狹義的披露僅指報表附注。廣義的披露則包括了在報表列報和表外附注兩部分。本文所指的披露特指廣義的披露。 國外對衍生金融工具的研究主要集中于兩方面。這兩方面是：一、衍生金融工具是否采用公允價值計量；二、是否對衍生金融工具實施會計監(jiān)管。這兩方面都存在著爭論,還沒有形成一致的意見。與國外相比,我國相關(guān)研究開始較晚。這和我國衍生金融工具的引入較晚有關(guān)。我國對衍生金融工具的研究可以按時間順序分為兩個階段。第一個階段主要探討衍生金融工具對傳統(tǒng)會計的沖擊。第二個階段致力于介紹國外衍生金融工具會計相關(guān)準則的進展及其對會計信息披露的影響。衍生金融工具會計面臨眾多有待解決的問題,一個完整的衍生金融工具會計信息披露體系尚未建立。筆者選擇了商業(yè)銀行衍生金融工具會計信息披露這一課題進行研究,力求做出些許貢獻。本文從會計的角度,探討如何將衍生金融工具的風險及時準確地確認、計量并披露給信息使用者,以及通過內(nèi)部控制與外部監(jiān)管相結(jié)合以控制衍生金融工具潛在風險。 規(guī)范分析是本文主要的研究方法,規(guī)范研究認為理論的作用在于指導(dǎo)實踐,理論來源于實踐,但是高于實踐。通過邏輯推理得出的會計理論能夠?qū)媽崉?wù)起到規(guī)范作用。相較于實證研究,規(guī)范研究更適合于綜合性問題的探討。 本文第一章,筆者以次貸危機為引子交代了衍生金融工具會計信息披露的研究背景。在此基礎(chǔ)上筆者闡明了本文的研究意義。研究衍生金融工具會計信息披露必須建立在該領(lǐng)域既有研究成果的基礎(chǔ)上。在文獻綜述部分,國內(nèi)國際衍生金融工具會計信息披露相關(guān)的成果得到引用并作為下文的理論鋪墊。在第二章,筆者概述了衍生金融工具的定義、分類和功能。衍生金融工具的風險特點被作為重點進行了詳細介紹。衍生金融工具的特征使其難以納入傳統(tǒng)會計的報告體系。針對衍生金融工具的會計確認、計量和列報,筆者詳細介紹了其歷史發(fā)展軌跡。基于信息不對稱理論和決策有用觀,筆者闡述了改進衍生金融工具會計信息披露的必要性。在第三章,筆者介紹了國際權(quán)威會計組織關(guān)于衍生金融工具信息披露的準則和規(guī)范,并與我國有關(guān)準則和規(guī)范進行比較。第四章,筆者選取我國11家商業(yè)銀行的2010年年度報告并分析其會計政策、公允價值、風險管理和套期活動的披露等方面對相關(guān)準則的遵循度。我國上市銀行對相關(guān)準則的遵循度較高是該部分得出的結(jié)論。為分析與世界先進商業(yè)銀行的差距,筆者將我國樣本銀行衍生金融工具會計信息披露的實踐與美國部分商業(yè)銀行進行比較。在發(fā)掘差異的基礎(chǔ)上,總結(jié)了美國在衍生金融工具會計信息披露中值得我國學(xué)習和借鑒的有益經(jīng)驗以及應(yīng)該認真吸取的教訓(xùn)。在第五章,筆者指出我國商業(yè)銀行衍生金融工具信息披露中存在準則和規(guī)范制定機構(gòu)溝通不暢、準則及規(guī)范可操作性不高、準則在披露內(nèi)容的要求上不夠深入、格式要求不夠統(tǒng)一和法律制度不健全等缺陷。從準則制定質(zhì)量和準則執(zhí)行質(zhì)量兩個角度筆者提出了相應(yīng)的改進建議。
[Abstract]:The subprime crisis was confined to the United States in 2007 only in the United States, but it swept over the world in 2008. Many financial institutions in Wall Street suffered huge losses and even bankruptcy because of their participation in derivative financial instruments. The credit default swap (CDS) is the leading role of this crisis. All walks of life questioned the effectiveness of the regulation of derivative financial instruments. The derivative finance represented by CDS The information disclosure system of tools was once again placed under the spotlight.
A derivative financial instrument refers to a class of financial instruments with the following characteristics: (1) its value varies with the variable of specific interest rate, exchange rate, stock index, credit grade and other variables; (2) no initial net investment is required or less net investment is required than other types of contracts with similar reaction to market conditions; (3) in the future date Settlement. Forward, futures, options, and swap constitute four basic forms of derivative financial instruments. Under the influence of the above characteristics, the minor changes in the standard can rapidly be amplified to double the price of derivative financial instruments. Derivative financial instruments are introduced as a risk management tool. Financial instruments can avoid risk and lock in profits. However, derivative financial instruments are a "double-edged sword". The wrong use of derivative financial instruments can not only avoid risks but also make enterprises in risk, and the risk is often fatal. Derivatives are essentially contractual "zero sum game". Large systematic risks are accumulating in the market of derivatives. A series of malignant events have rounded the alarm for the application of derivative financial instruments. In view of the recent American subprime crisis and the painful lessons that have been related to the transaction of derivative instruments for more than thirty years, it is very important to control the risk of derivative financial tool traders.
Commercial banks, with financial assets and liabilities as the management object, are payment intermediaries, credit intermediaries, and various kinds of financial services in modern social and economic activities. Commercial banks play a special function of credit creation under the leadership of the central bank. It is the main provider of credit. The degree of influence and the degree of social and economic impact is far greater than that of the general enterprise. In addition to the responsibility of the shareholders and customers, commercial banks have to be responsible for the whole society. This is because commercial banks have special externalities. Commercial banks are active participants in the trading market of derivative financial instruments. The externality of commercial banks and their participation in transactions. The inherent high risk of derivative financial instruments makes it necessary to study how to control the risks of commercial banks' derivative financial instruments.
Since the end of the 80s and early 90s, the derivative financial instruments are gradually introduced into the commercial banks of our country. Although the derivative financial instruments business of the commercial banks of our country has made a certain development, it still faces many restrictions. It is restricted by limited experience and lack of understanding of the derivative financial instruments, compared with the international commercial banks, China's commerce. The derivative financial instruments provided by the bank are less kind and more homogeneous. In the absence of the pricing power of the derivatives, the financial innovation ability of our commercial banks is greatly lagged behind the international counterparts. The introduction of new derivative financial instruments is mainly from the simple imitation of the corresponding products of foreign commercial banks. The trend of financial globalization is unstoppable. With the continuous opening up of the financial field, the commercial banks in China will participate in the international competition, and the participation degree of the derivative financial instruments market will gradually deepen. The risk control of the derivative financial instruments is the commercial bank and the supervision of our country. The subject urgently needs to be solved.
The subject of information disclosure will disclose accounting statements, corporate governance and important matters to shareholders, creditors, regulatory bodies and other stakeholders in a certain way. These disclosure processes, which reflect their financial status and management results, are the disclosure of information. In a large number of economic information, accounting information occupies the vast majority. The comprehensiveness and authenticity of accounting information can not be compared with other information. Accounting information disclosure is the main body of enterprise information disclosure. It plays a fundamental role in the risk management of derivative financial instruments. Accounting information disclosure is the most important part of effective supervision. The perfect disclosure of accounting information is beneficial to restricting the enterprise to maintain a reasonable risk. Many scholars have shown that the disclosure of accounting information helps to limit the risk of overtaking the banks too much. The probability of the bank's payment crisis is negatively related to the disclosure level of the accounting information. And the full disclosure of accounting information helps to reduce the risk of investors' judgment. The developed countries have changed and perfected the existing accounting information disclosure system as the main task to solve the information asymmetry in the derivative financial instruments transaction. By improving the disclosure of the accounting information of the derivative financial instruments to suppress excessive speculation and dissolve systematic risks, the basic role of the market allocation of resources can be effectively played.
Commercial banks cover derivative financial instruments in their publicly disclosed accounting information. Accounting information disclosure of derivative financial instruments of commercial banks has a narrow and broad sense. Narrow disclosure only refers to statement notes. The broad disclosure includes two parts in the statement and out of statement notes. Dew.
The foreign research on derivative financial instruments is mainly concentrated in two aspects. The two aspects are: first, whether the derivative financial instruments use fair value measurement; two, whether the accounting supervision of the derivative financial instruments is implemented. There are arguments in all two aspects, and there is no consensus. The introduction of derivative financial instruments in China is relatively late. Our country's research on derivative financial instruments can be divided into two stages in time sequence. The first stage mainly discusses the impact of derivative financial instruments on traditional accounting. The second stage is devoted to the introduction of the progress of foreign derivative financial instruments accounting standards and their accounting information. The derivative financial instruments accounting faces many problems to be solved. A complete accounting information disclosure system of derivative financial instruments has not been established. The author chooses the subject of accounting information disclosure of the derivative financial instruments of commercial banks to study and try to make some contributions. The risks of the financial instruments are promptly and accurately identified, measured and disclosed to the users of the information, and through the combination of internal control and external supervision to control the potential risks of derivatives.
Normative analysis is the main research method in this paper. The normative study thinks that the function of theory is to guide practice, and the theory comes from practice, but it is higher than practice. The accounting theory obtained through logical reasoning can play a normative role in accounting practice. Compared with empirical research, the normative research is more suitable for the discussion of comprehensive problems.
In the first chapter, the author introduces the research background of the accounting information disclosure of derivative financial instruments with the subprime crisis as the introduction. On the basis of this, the author clarifies the significance of this study. The research on the disclosure of accounting information of derivative financial instruments must be based on the research results in this field. In the second chapter, the author outlines the definition, classification and function of derivative financial instruments. The characteristics of the risk of derivative financial instruments are introduced in detail. The characteristics of derivative financial instruments make it difficult to incorporate the traditional accounting reporting system. In view of the accounting confirmation, measurement and presentation of the derivative financial instruments, the author introduces its historical development in detail. Based on the information asymmetry theory and the decision usefulness view, the author expounds the necessity of improving the accounting information disclosure of the derivative financial instruments. In the third chapter, the author introduces the information of the international authoritative accounting organization on derivative financial instruments. The rules and norms of disclosure are compared with the relevant standards and norms in China. In the fourth chapter, the author selects the annual report of 11 commercial banks in China in 2010 and analyzes the compliance of its accounting policies, fair value, risk management and the disclosure of hedging activities. In order to analyze the gap between the world advanced commercial banks and the world advanced commercial banks, the author compares the practice of accounting information disclosure of the derivative financial instruments of China's sample banks with some commercial banks in the United States. On the basis of the differences, we conclude that the US is worth learning and borrowing in the disclosure of the accounting information of derivative financial tools in the United States. In the fifth chapter, the author points out that the information disclosure of derivative financial instruments in the commercial banks of China is not smooth, the norms and norms are not high, the standards are not enough in the disclosure requirements, the format requirements are not uniform and the legal system is not healthy. Congruent defects. From the two points of view of the quality of the standard setting and the quality of the enforcement, the author puts forward some suggestions for improvement.
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F830.42;F832.33

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