【作者】 李徐；

【导师】 蔡德容；

【作者基本信息】 湖南师范大学 ， 产业经济学， 2004， 硕士

【摘要】 2003年中国进出口贸易总额达到8512亿美元，外汇交易总成交量合计为1511． 32亿美元，截止到2003年12月底我国外汇储备为4032． 51亿美元。在日益扩大的国际贸易和国际资本流动中，汇率风险将是我国对外经济交流所面临的主要国际金融风险。金融工程是为解决风险管理中的实际问题而出现的一门新兴学科，在20世纪90年代初得到迅速发展。金融工程应用在管理汇率风险方面是这一学科的主要战场。本文从理论上系统的讨论金融工程在汇率风险管理中的应用研究。本文通过回顾汇率制度发展历史，分析汇率风险产生的原因。然后通过比较传统的汇率风险管理方法，分析金融工程在管理汇率风险的比较优势。金融工程在管理汇率风险时，主要有四种基本方法：期货、远期、互换和期权。论文进一步论述了金融工程工具管理汇率风险的效率可以用套期保值率来衡量。期货类金融工程工具的应用可以通过最小风险或者最大效用两种不同角度来计算最优的套期保值率。期权类金融工具的应用可以通过计算delta值，动态的调整头寸，来实现最优套期保值。金融工程在管理汇率风险时，同时要考虑金融工程工具自身带来的风险。最后本文讨论了汇率风险管理和金融工程在中国的现状，并提出了一些建设性的意见。更多还原

【Abstract】 The total of import and export trade of China is 851.20 billion dollars in 2003. The total amount of foreign exchange transaction is 151.13 billion dollars. The foreign exchange reserve of our country is 403.25 billion dollars by the end of December, 2003. With international trade and international capital flowing expanding increasingly, exchange rate risk will become the primary international financial risk which foreign economic exchange of our country confronts.Financial engineering is a kind of developing study in process of resolving practical problems about risk management. It developed rapidly at the beginning of 1990s. The application of financial engineering is the main field of this study on the aspect of managing exchange rate risk. The thesis tries to theoretically discuss the applied study of financial engineering on exchange rate risk management.The thesis analyzes the origin of exchange rate risk through reviewing the developing history of exchange rate system. Then the thesis compares the traditional managing methods of exchange rate, and analyzes the relative advantage of financial engineering on managing exchange rate risk. There are four basic ways when people apply financial engineering to manage exchange rate risk. They are futures, forward, swap and options. It further disserts that the efficiency of exchange rate risk managed by financial engineering implement can be measured by hedge rate. The application of financial engineering implement in futures can calculate the optimal hedge rate from two different aspects of minimum risk or maximum utility. The application of financial engineering implement in options can realize optimal hedge by delta calculation and dynamic regulation of position. Applying financial engineering to manage exchange rate risk, we should consider the risk of financial engineering implement itself. At last, the thesis discusses the present situation of managing exchange rate risk and financialengineering in China, and poses some constructive suggestions.更多还原