货币互换及其风险分析与管理

【作者】 刘传江；

【导师】 洪慧民； 刘明梁；

【作者基本信息】 南京理工大学 ， 国际贸易学， 2005， 硕士

【摘要】 金融衍生工具是金融创新的产物,其作用就在于将投资风险从风险厌恶者转移到风险偏好者手中,提高每个交易者的效用。互换是当前金融市场中较为常见的一种金融衍生产品。20世纪80年代初互换交易产生以来,国际互换交易额与互换市场的参与者不断增加。互换交易已经成为国际金融市场上融资和风险管理的不可缺少的工具之一。 本文从货币互换的基本原理出发,研究了互换的定价和套利,分析了固定利率对固定利率的货币互换的三种模式,以及不同模式下所面临的市场风险。决定出最佳的交易模式后,对该模式下的信用风险进行量化分析。并针对各种风险提出相应的对策。 加入WTO后,我国的金融市场进一步与国际金融市场接轨,国内的商品市场和金融市场逐渐暴露在国际市场风险中。大力发展金融衍生工具,利用金融衍生产品进行套期保值和管理风险是必然的选择。文章对中国现有金融环境作了分析,并提出存中国开展互换交易应采取的相应的政策建议。更多还原

【Abstract】 Resulting from financial innovation, financial derivates can offset the investment risks from those who dislike risks to those who favor risks and thus improve the utility of each participant. Swaps are popular financial derivates on current financial market. Since the birth of swaps in 1980’s, the volume of swap dealing and participants of the international swap market have been increasing. Swap dealing is regarded as one of the necessary tools to finance and manage the risks in the international financial market.Started from the basic principle of the currency swap, the paper studies the pricing and arbitrage of the currency swap, analyses three models of fix-to-fix interest rate currency swap and the market risks under each model. By determining the best one, the article has quantified the credit risks of this related model. Policies to manage each kind of risks have been put forward, too.After China’s entry into the WTO, our domestic financial market will be much closer to the international one. The domestic commodity market and financial market are gradually exposed to the outside world. It’s necessary for China to develop the financial derivates vigorously, to perform arbitrage and manage the risks. The article analyses the existing financial environment in China and puts forward relative policies on how to carry out swaps in China.更多还原