【作者】 刘晓东；

【导师】 巩云华；

【作者基本信息】 首都经济贸易大学 ， 金融学， 2018， 硕士

【摘要】 在经济全球化的背景下,企业生产经营活动面临各种各样的不确定因素,其中很多因素会通过市场价格波动风险来体现,企业为了规避风险,参与套期保值是最常用的手段。然而,目前我国对企业参与套期保值的研究主要侧重于套期保值的技术问题,比如衡量套期保值的绩效水平以及如何确定最佳的套期保值比率,但是很少有学者结合企业实际经营情况,就套期保值的风险管理问题进行研究。实践证明,仅仅通过优化套期保值比率为企业带来的效益是有限的,大部分情况下,可在采用计量模型的基础之上,再结合加强对企业实际中的非技术风险的控制来提高套期保值的效率。因此,本文在采用计量模型分析套期保值比率的基础上,同时从企业的视角出发,将企业视为整体,分析了如何在企业的套保实践中有效运用企业综合风险管理理论,来使得企业的套保风险能够得到有效的控制,使套保能够更好地发挥作用,为企业对冲风险提供理论依据。本文从理论分析、计量模型分析、案例分析出发,对我国企业套期保值的风险管理进行了研究。首先阐述了研究的背景和意义,介绍了国内外研究的现状,并简要介绍了研究的内容、方法和创新点;接着阐述套期保值相关的基本理论;然后,就企业套期保值风险的概念,阐述了企业风险管理的计量模型运用,通过最小二乘法(OLS)建立套期保值比率,运用ADF检验等方法,建立误差修正模型(ECM)估计了最优套期保值比率,并给出了套期保值绩效评价的静态和动态方法;然后,引入COSO模型,对企业风险管理进行了制度设计,并给出套期保值失败案例并分析其原因。文章还对上海华冶钢铁集团套期保值进行了实务分析,分别采用企业风险管理制度设计和计量模型进行了研究,更在套保方案中引入了技术分析理论,为企业制作了套期保值方案,为其生产经营提供指导。最后给出本文的结论,指出了需要进一步研究的方向。更多还原

【Abstract】 Under the background of economic globalization,enterprises ’production and operation activities are faced with various uncertain factors,many of which will be reflected by the risk of market price fluctuations.In order to avoid risks,enterprises participate in hedging is the most commonly used means.However,at present,China’s research on the participation of enterprises in hedging mainly focuses on the technical issues of hedging,such as measuring the performance level of hedging and how to determine the best hedging ratio,but few scholars combine the actual operating conditions of enterprises.Research on risk management for hedging.Practice has shown that the benefits to the enterprise from optimizing the hedging ratio alone are limited and,in most cases,can be based on the application of measurement models.The efficiency of hedging is improved by strengthening the control of non-technical risks in the enterprise.Therefore,on the basis of using the measurement model to analyze the hedging ratio,and from the perspective of the enterprise,the article regards the enterprise as a whole and analyzes how to effectively use the enterprise integrated risk management theory in the enterprise’s hedging practice.So that the enterprise’s hedging risk can be effectively controlled,so that the hedging can better play a role in providing the theoretical basis for the enterprise hedging risk.Based on theoretical analysis,measurement model analysis and case analysis,this paper studies the risk management of Chinese enterprises hedging.Firstly,it expounds the background and significance of the research,introduces the current situation of domestic and foreign research,and briefly introduces the content,methods and innovation points of the research.Then the basic theory of hedging is expounded.Then,on the concept of enterprise hedging risk,the measurement model of enterprise risk management is described,and the hedging ratio is established by the least-squares method(OLS),and the ADF test is used.The error correction model(ECM)is established to estimate the optimal hedging ratio,and static and dynamic methods for evaluating hedging performance are given.Then,the COSO model is introduced,the enterprise risk management system is designed,and the case of hedging failure is given and the reason is analyzed.The paper also makes a practical analysis of hedging of Shanghai Huaye Iron and Steel Group,and studies the design and measurement models of enterprise risk management systems,andintroduces the technical analysis theory in the hedging scheme to create hedging schemes for enterprises.Provide guidance for its production and operation.Finally,the conclusion of this paper is given,and the direction of further research is pointed out.hedging.更多还原