【作者】 李悦；

【导师】 熊熊；

【作者基本信息】 天津大学 ， 金融（专业学位）， 2014， 硕士

【摘要】 2005年至今,随着我国的人民币汇率形成机制改革工作进一步深入,人民币汇率向市场化方向改革,汇率弹性增大、波动剧烈,又由于我国已处于经济全球化的背景下,国内的企业和金融机构涉及越来越多的外汇相关投资项目、进出口贸易等等,所以我国企业和金融机构不得不面临日益增大的外汇风险,如何有效对冲外汇风险是迫不及待需要解决的问题,发达国家一直推崇用外汇衍生工具对冲风险,认为利用金融衍生工具对冲风险会增加公司价值,本文也是从外汇衍生工具对冲风险的角度来规避风险,但是由于我国外汇衍生品市场的建设还不完善,这对外汇对冲提出了不小的挑战。本文是根据外汇对冲的流程进行安排的,首先第一章是对研究背景和意义进行阐述,提出企业和金融机构进行外汇对冲的重要性和迫切性;第二章是研究基础理论和探讨汇率预测,包括了解企业外汇风险的内涵、类型和表现形式,帮助企业和金融机构识别自身面临的外汇风险。然后对外汇风险得影响因素进行讨论,并根据影响因素对汇率走势进行宏观预测。最后,根据NDF价格对即期汇率的影响,利用NDF价格预测汇率走势,提高汇率预测的准确性。第三章是探讨汇率风险的计量方法和组合对冲方案。首先介绍基于VAR模型建立起来的外汇组合对冲的汇率风险计量模型,探讨模型在进行风险计量的优点和不足。计量风险之后通过对外汇衍生品工具的优劣性比较,根据企业自身的避险原则和要求,针对企业承受风险的程度对企业进行分类,不同的类别选择合适的外汇对冲方案。第四章结合国内的实际情况,考虑现在我国还存在外汇管制,资本项目没有完全放开,从企业和金融机构内部运营和外部对冲环境两个方面来阐述外汇项目中的汇率风险对冲面临的挑战。第五章是针对我国外汇管制和外汇衍生品市场不完善等市场大环境,提出符合我国国情的建议,并对未来我国外汇对冲的发展进行展望。本文根据外汇对冲流程,首先对外汇风险进行预测,然后对面临的外汇风险进行计量,最后根据实际情况安排外汇对冲方案。并且根据现在中国国情和实际金融环境,对企业进行外汇对冲提出相应的问题和建议。更多还原

【Abstract】 Since 2005, with the implementation of formation mechanism reform for Chinese RMB exchange rate, RMB exchange rate reforms towards market-oriented, which increases the flexibility and fluctuation of exchange rate. China is in the context of economic globalization, more and more domestic enterprises and financial institutions are involved in foreign exchange-related investment projects, import and export trade, etc. Therefore, these enterprises and financial institutions have to face the increasing risk in foreign exchange, how to hedge this kind of risk effectively is an urgent problem. The developed countries usually adopt foreign exchange derivatives to hedge risk. In their opinions, the use of financial derivatives will increase the value of company. This dissertation is accordance with the above ideas, and to avert risk from the perspective of foreign exchange derivatives, while the imperfections of our foreign exchange derivative market present a great challenge for foreign exchange hedging.The structure of this dissertation is based on the procedure of foreign exchange hedging. The first chapter is about the background and significance of this study, and proposes the importance and urgency for corporates and financial institutions to hedge foreign exchange. The second chapter firstly discusses the basic theory and rate forecasts, recognizes the connotation, types and manifestations of foreign exchange risk, and helps companies and financial institutions to identify their foreign exchange risk. Then the factors affecting foreign exchange risk are discussed, and the macro forecast for exchange rate movements is also proposed. Finally, NDF is adopted to forecast exchange rate and increase the accuracy of forecast. The third chapter is manly about the measurement methods and combinations of exchange rate risk hedging program. Firstly, the measurement model for exchange rate risk based on VAR model is introduced and discussed from the characteristic aspects of risk measurement. By comparing different foreign exchange derivatives, and considering the hedging principles and requirements, companies can be classified according to the degree of risk tolerance. Then select the appropriate foreign exchange hedging program for different categories. The forth chapter considers the actual situation of China, and illustrates the challenges of exchange rate risk hedging in exchange project from two aspects including internal operations and external hedging. The fifth chapter proposes some recommendations for improving foreign exchange controls and derivatives of China, then discusses the future of foreign exchange hedging.This dissertation firstly predicts the risk of foreign exchange and measures the current risk, then adopts the effective programs for foreign exchange hedging according to the actual situation, finally proposes appropriate questions and suggestions.更多还原