本文關(guān)鍵詞：外匯相關(guān)投資項(xiàng)目的組合對(duì)沖方案分析　出處：《天津大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 人民幣市場(chǎng)化 風(fēng)險(xiǎn)預(yù)測(cè) 風(fēng)險(xiǎn)計(jì)量 外匯對(duì)沖 外匯衍生品市場(chǎng)

【摘要】：2005年至今,隨著我國(guó)的人民幣匯率形成機(jī)制改革工作進(jìn)一步深入,人民幣匯率向市場(chǎng)化方向改革,匯率彈性增大、波動(dòng)劇烈,又由于我國(guó)已處于經(jīng)濟(jì)全球化的背景下,國(guó)內(nèi)的企業(yè)和金融機(jī)構(gòu)涉及越來(lái)越多的外匯相關(guān)投資項(xiàng)目、進(jìn)出口貿(mào)易等等,所以我國(guó)企業(yè)和金融機(jī)構(gòu)不得不面臨日益增大的外匯風(fēng)險(xiǎn),如何有效對(duì)沖外匯風(fēng)險(xiǎn)是迫不及待需要解決的問(wèn)題,發(fā)達(dá)國(guó)家一直推崇用外匯衍生工具對(duì)沖風(fēng)險(xiǎn),認(rèn)為利用金融衍生工具對(duì)沖風(fēng)險(xiǎn)會(huì)增加公司價(jià)值,本文也是從外匯衍生工具對(duì)沖風(fēng)險(xiǎn)的角度來(lái)規(guī)避風(fēng)險(xiǎn),但是由于我國(guó)外匯衍生品市場(chǎng)的建設(shè)還不完善,這對(duì)外匯對(duì)沖提出了不小的挑戰(zhàn)。本文是根據(jù)外匯對(duì)沖的流程進(jìn)行安排的,首先第一章是對(duì)研究背景和意義進(jìn)行闡述,提出企業(yè)和金融機(jī)構(gòu)進(jìn)行外匯對(duì)沖的重要性和迫切性;第二章是研究基礎(chǔ)理論和探討匯率預(yù)測(cè),包括了解企業(yè)外匯風(fēng)險(xiǎn)的內(nèi)涵、類型和表現(xiàn)形式,幫助企業(yè)和金融機(jī)構(gòu)識(shí)別自身面臨的外匯風(fēng)險(xiǎn)。然后對(duì)外匯風(fēng)險(xiǎn)得影響因素進(jìn)行討論,并根據(jù)影響因素對(duì)匯率走勢(shì)進(jìn)行宏觀預(yù)測(cè)。最后,根據(jù)NDF價(jià)格對(duì)即期匯率的影響,利用NDF價(jià)格預(yù)測(cè)匯率走勢(shì),提高匯率預(yù)測(cè)的準(zhǔn)確性。第三章是探討匯率風(fēng)險(xiǎn)的計(jì)量方法和組合對(duì)沖方案。首先介紹基于VAR模型建立起來(lái)的外匯組合對(duì)沖的匯率風(fēng)險(xiǎn)計(jì)量模型,探討模型在進(jìn)行風(fēng)險(xiǎn)計(jì)量的優(yōu)點(diǎn)和不足。計(jì)量風(fēng)險(xiǎn)之后通過(guò)對(duì)外匯衍生品工具的優(yōu)劣性比較,根據(jù)企業(yè)自身的避險(xiǎn)原則和要求,針對(duì)企業(yè)承受風(fēng)險(xiǎn)的程度對(duì)企業(yè)進(jìn)行分類,不同的類別選擇合適的外匯對(duì)沖方案。第四章結(jié)合國(guó)內(nèi)的實(shí)際情況,考慮現(xiàn)在我國(guó)還存在外匯管制,資本項(xiàng)目沒(méi)有完全放開(kāi),從企業(yè)和金融機(jī)構(gòu)內(nèi)部運(yùn)營(yíng)和外部對(duì)沖環(huán)境兩個(gè)方面來(lái)闡述外匯項(xiàng)目中的匯率風(fēng)險(xiǎn)對(duì)沖面臨的挑戰(zhàn)。第五章是針對(duì)我國(guó)外匯管制和外匯衍生品市場(chǎng)不完善等市場(chǎng)大環(huán)境,提出符合我國(guó)國(guó)情的建議,并對(duì)未來(lái)我國(guó)外匯對(duì)沖的發(fā)展進(jìn)行展望。本文根據(jù)外匯對(duì)沖流程,首先對(duì)外匯風(fēng)險(xiǎn)進(jìn)行預(yù)測(cè),然后對(duì)面臨的外匯風(fēng)險(xiǎn)進(jìn)行計(jì)量,最后根據(jù)實(shí)際情況安排外匯對(duì)沖方案。并且根據(jù)現(xiàn)在中國(guó)國(guó)情和實(shí)際金融環(huán)境,對(duì)企業(yè)進(jìn)行外匯對(duì)沖提出相應(yīng)的問(wèn)題和建議。
[Abstract]:Since 2005, with the further deepening of the reform of RMB exchange rate formation mechanism in China, the RMB exchange rate has been reformed in the direction of marketization, and the exchange rate elasticity has increased and fluctuated sharply. Because China has been in the background of economic globalization, domestic enterprises and financial institutions are involved in more and more foreign exchange related investment projects, import and export trade and so on. Therefore, Chinese enterprises and financial institutions have to face increasing foreign exchange risk, how to effectively hedge foreign exchange risk is urgent to solve, developed countries have been advocating the use of foreign exchange derivatives to hedge risks. It is believed that hedging risks with financial derivatives will increase the value of the company. This paper also tries to avoid the risks from the perspective of hedging risks of foreign exchange derivatives, but the construction of foreign exchange derivatives market in China is not perfect. This is not a small challenge to foreign exchange hedging. This paper is based on the process of foreign exchange hedging arrangements, the first chapter is to explain the background and significance of the study. The importance and urgency of foreign exchange hedging by enterprises and financial institutions are put forward. The second chapter is to study the basic theory and discuss the exchange rate forecasting, including understanding the connotation, types and manifestations of foreign exchange risk. Help enterprises and financial institutions to identify their own foreign exchange risk. Then discuss the influence factors of foreign exchange risk and forecast the trend of exchange rate according to the influencing factors. Finally. According to the influence of NDF price on spot exchange rate, NDF price is used to predict the trend of exchange rate. The third chapter is to discuss the measurement method of exchange rate risk and the combination hedging scheme. Firstly, the paper introduces the exchange rate risk measurement model of foreign exchange portfolio hedging based on VAR model. This paper discusses the advantages and disadvantages of the model in the risk measurement. After measuring the risk, it compares the advantages and disadvantages of the foreign exchange derivatives, according to the risk avoidance principles and requirements of the enterprise itself. According to the degree of enterprises to bear the risk of classification, different categories of foreign exchange hedging options to choose the appropriate. 4th chapter combined with the actual situation in China, considering that there are still foreign exchange control in China. The capital account has not been fully liberalized. From the aspects of internal operation and external hedging environment of enterprises and financial institutions, this paper expounds the challenges faced by foreign exchange risk hedging in foreign exchange projects. Chapter 5th is aimed at the foreign exchange control and imperfect foreign exchange derivatives market in China. The environment. According to the foreign exchange hedging process, this paper first forecasts the foreign exchange risk, and then measures the foreign exchange risk. Finally, the foreign exchange hedging scheme is arranged according to the actual situation, and according to the current situation of China and the actual financial environment, the corresponding problems and suggestions are put forward for the enterprises to hedge foreign exchange.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.6

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