本文選題：套期保值 + 銅期貨��； 參考：《湘潭大學》2013年碩士論文

【摘要】：21世紀以來，隨著國內(nèi)監(jiān)督制度的進一步完善，我國期貨市場的運行穩(wěn)定，其風險管理功能也得到了大幅度的提高，并伴隨著我國資本市場的飛速發(fā)展，其風險功能將得到有效提升。隨著經(jīng)濟全球進程的加快，我國的生產(chǎn)企業(yè)進入了國際貿(mào)易的各個環(huán)節(jié)，而由于原材料價格的大幅變動，將會對企業(yè)的生產(chǎn)經(jīng)營造成了很大的困擾。如何應(yīng)對價格波動風險，是當前眾多企業(yè)需要解決的難題。如何應(yīng)對價格波動風險，是當前眾多企業(yè)需要解決的難題。因此，作為涉銅企業(yè)，通過銅期貨價格運行規(guī)律的分析以及套期保值模型的構(gòu)建，建立合理有效的套期保值方案，不僅能夠有效指導(dǎo)企業(yè)更為靈活更為科學的進行套期保值，而且也希望能對有色金屬企業(yè)的套期保值提供借鑒意義。 本文首先闡述了套期保值的相關(guān)理論及國內(nèi)外研究現(xiàn)狀并了解了套期保值的原理、功能及作用。隨后，對銅期貨價格的運行規(guī)律進行分析，研究銅期貨價格與現(xiàn)貨價格之間的關(guān)系以及影響銅期貨價格波動的因素，進而對涉銅企業(yè)在當前的市場環(huán)境下參與套期保值的現(xiàn)狀進行分析，指出套期保值對涉銅企業(yè)的重要性。同時，通過對該企業(yè)進行調(diào)研后，，對該企業(yè)套期保值業(yè)務(wù)中存在的主要問題進行了梳理，利用Copula-GARCH模型計算套期保值比率以便于指導(dǎo)銅期貨套期保值方案的實施。最后，在此基礎(chǔ)上，結(jié)合模型的估計結(jié)果與金杯電工股份有限公司的實際生產(chǎn)經(jīng)營狀況來設(shè)計銅期貨套期保值方案。
[Abstract]:Since the 21st century, with the further improvement of domestic supervision system, the operation of China's futures market has been stable, its risk management function has also been greatly improved, and accompanied by the rapid development of China's capital market. Its risk function will be effectively enhanced. With the acceleration of the global process of economy, the production enterprises of our country have entered every link of international trade. However, due to the large changes in the prices of raw materials, the production and management of enterprises will be greatly troubled. How to deal with the risk of price fluctuation is a difficult problem that many enterprises need to solve. How to deal with the risk of price fluctuation is a difficult problem that many enterprises need to solve. Therefore, as a copper-related enterprise, through the analysis of the operation law of copper futures price and the construction of hedging model, the establishment of a reasonable and effective hedging scheme can not only effectively guide enterprises to carry out hedging more flexibly and scientifically. And also hope to be able to non-ferrous metal enterprises to provide reference for hedging. This paper first describes the theory of hedging and the current research situation at home and abroad, and understand the principle, function and function of hedging. Then, the paper analyzes the operation law of copper futures price, studies the relationship between copper futures price and spot price and the factors that affect the fluctuation of copper futures price. Then the paper analyzes the current situation of copper enterprises participating in hedging under the current market environment, and points out the importance of hedging to copper enterprises. At the same time, through the investigation of the enterprise, this paper combs the main problems in the hedging business of the enterprise, and calculates the hedging ratio by using Copula-GARCH model to guide the implementation of the copper futures hedging scheme. Finally, based on the results of the model and the actual production and operation situation of Jinbei Electric Co., Ltd, the hedging scheme of copper futures is designed.
【學位授予單位】：湘潭大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F426.32;F724.5

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