企业外汇风险管理的方法探讨

上海交通大学硕士学位论文企业外汇风险管理的方法探讨姓名：藏茜申请学位级别：硕士专业：金融学指导教师：马晔华2004010145上海交通大学硕士学位论文企业外汇风险管理的方法探讨6RESEARCHONMETHODSOFENTERPRISES’FOREIGNEXCHANGERISKMANAGEMENGTABSTRACTNowadaysworldeconomyismerging.Countriesdependtheireconomyoneachothermoretentativelythanbefore.BeingamemberofWTO,Chinawilldevelopitsforeigntradewithothercountriesmorerapidly.Itseconomyisliabletobeinfluencedbytheworldeconomy.Inthepastyears,theglobalfinancialmarkethasrenovateddeeply.WiththebreakdownoftheBrettonWoodsAgreement,mostcountrieshavechosenfloating-ratesysteminsteadoffixed-ratesystem.Soexchangeratesfluctuatemorefrequently.WiththeresultofthereformofforeignexchangemanagementsystemandthedevelopmentofforeignexchangemarketinChina,Renminbiexchangerate7withforeigncurrenciesismostlydeterminedbymarketelementsaswellasworldmonetarysystem.Soforeignexchangerateischangingmorefrequently.Firms,whicharelackofrisksensibilityandexperience,lostalotinexchangeratesfluctuation.Chineseenterprisesmustsolvetheproblemofimprovingtheabilityofcontrollingrisk.Thisessayanalysesthecategory,characteristicsofforeignexchangerisk.Itdisclosescorporaterulingproblemsofforeignexchangerisk,studiesprinciplesandproceduresofconfirmation,measurement,disclosure,aswellasfinancialmanagementstrategiesandmethods.Theaimofthisessayistoprovidefordomesticenterprisessomereferenceofmeasuringriskmagnitude,makingstrategyandchoosinghedgingmethods.Thispaperconsistsoffiveparts:Chapterpointsouttheproblemsofforeignexchangeriskmanagement,aswellasthenecessityofstrengtheningexchangeriskmanagementindifferentaspects.Chaptergivesdefinitionsonenterprises’foreignexchangeriskandsummarizestheresultsofotherresearchers.Chapterintroducesthecommonmethodsdealingwithexchangerisk,includingproceduresandmannersofconfirmation,measurement,teachesenterpriseshowtocontroltheforeignexchangerisk,studiesmethodsandstrategiesof8controllingforeignexchangerisk.Itprovidessomeskillsofriskmanagementthroughcaseanalyses.Chapteranalysesthemanagementprincipleandmethodsinourcountry.Theendingpartofthisessaydescribestheurgencyandnecessityofstrengtheningexchangerateriskmanagement.KEYWORDS:foreignexchangerisk,exchangerate,riskmanagement,operationalrisk,contractualrisk22004183370199741973WTO1973251994123456199411123---45676941-188.28.48.68.866.577.588.59200115WTO1-272001464.491997101515%2000625%2001110,1,,itiititRERbbe=++itRtER81[[]/(1)]TttttVECFi==+∑1.1912100%5015%505035%—A010050%1-300100=50*15%+50*35%=25=0.5*0+0.5*250,000=125,0000.5*0+0.5*1,000,000=500,000500,000*0.15=75,00050,0000500,0001,000,000125,00075,00015%35%1050%5020%35%-15%0.5*500,000*20%=50,00010%AMT(alternativeminimumtax)20010000.15/0.25/50%0.5*500,000+0.5*-500,000=050%25%500,000*0.5/1.25=200,00040%0.5/1.25=0.5*250,000–0.5*200,000=25,00011Tc/(1+iB)tttt40%50%25,000-25,0000+2500012302/1060102%0137080MM0014Aufsichtsrat19GAOGeneralAccountingOffice199451001001516foreignexchangerisk1219998171234182-1191.2.10100=83283.2100=840848000201952MarkowitzFama1970---James.C.T.Mao1970,V.BawaLindenberg1977W.V.HarlowRamesh.K.S.Rao1989Downside-RiskL.A.Balzer1995Downside-RiskHarlowLPMLowerPartialMomentsn=2LPM290---VaR1993730GroupofThirty---theGlobalDerivativesStudyGroup20VaRJ.P.Morgan199410RiskMetrics21J.P.MorganVaR19954theBasleCommitteeofBankingSupervisionVaR199512theSecuritiesandExchangeCommissionVaRVaRJorion,1997VaRVaR1997VaR1997199719981999VaRVaR22SSPMVt=a+bSt+e3.1aeeE(e)=0bbMVSb=0bSMVbbMichaelAdlerBernardDumasbbt23R2bbbR2bR210%19911200212SPSSbbtR2b3.111,22,,......tttnnttMVabSbSbSe=+++++3.2VaR(ValueatRisk)VaRVaRVaR24VaRVaR1)2)3)4)VaR2526527VAR1.651.651.6528NetVAR211nnpijijijijwwsssr===∑∑3.3wijrijijr199019961.0-0.05-0.03-0.13-0.041.00.980.480.931.00.520.941.00.541.000001755p001324771395VAR200,000p1.654371.744029—1302343112353212Nissan3413321234513418,0001501201251442422100320312.1100021003123510502100100020303436/$$$$/(,)/(,)RMBRMBCHRMBRMBUSMLiYPSPMLiY==37381233990100100908.2769/8.15-8.35/8.20/8.2415/10012.4%1008.2769-8.2415/8.2769360/90=1.7%12.4%8.28.2769=12.28%400.005/100=50008.2415/1901008.2415/=824.158.2415/28.2415/8.2415/503908.2415/100903-48.158.208.258.308.35824.15824.15824.15824.15824.15824.15823.9823.9824.325826.825829.325825.655823.65823.65824.5829.5834.5827.164142122010319944317119791987198010125%--10%19851119861019871987422198819931988198971991111988919883198862.519932273199419944419941992719931995199419956199711845Black&Decker46360551203604748,80%100049504-2199519961997199819992000200120022021.1425.6226.3317.749.1668.8525.18280928993252324036064743509862080.71%0.73%0.79%0.81%0.49%0.19%1.35%0.41%9010090519090525354——555657200419301200419企业外汇风险管理的方法探讨作者：藏茜学位授予单位：上海交通大学相似文献(10条)1.期刊论文王晓辉汇率体制改革下我国外贸企业的外汇风险及防范-现代经济探讨2007,(10)随着我国汇率体制改革的逐步深入,外贸企业面临的外汇风险也会随之增加,该文主要分析了外贸企业面临的三种主要外汇风险的特点及产生原因,并在此基础上提出了具体的防范措施.2.学位论文王贤军我国工商企业外汇风险与企业价值的分析及对策2005一、选题背景随着经济全球化趋势的不断深入和发展，各国经济联系越来越紧密，表现为全球贸易、国际投融资不断增加；另一方面，自上世纪七十年代布雷顿森林体系崩溃以来，各主要国家实行了浮动汇率制度，汇率波动频繁剧烈。因而，汇率同商品价格、利率及通货膨胀率等构成主要的价格变量，汇率的变化必将影响企业的盈利能力和价值。随着我国“入世”的深入和我国汇率体制改革的不断推进，我国企业将越来越面临来自世界范围内的竞争，我国以市场为基础的、有管理的浮动汇率制度将日益得到体现，人民币对主要货币汇率波动幅度会扩大，外汇风险会成为企业越来越重要的课题。因此