我国企业商品期货套期保值风险管理

【作者】 郑文捷；

【导师】 陈晓红；

【作者基本信息】 中南大学 ， 管理科学与工程， 2004， 硕士

【摘要】 我国加入WTO后，随着越来越多的企业利用期货市场进行套期保值，如何进行企业套期保值风险管理、提高套期保值效果的问题也日益受到重视。风险管理是企业套期保值业务的核心，关系到套期保值的成败与效果。本文针对我国企业商品期货套期保值风险管理在理论探讨与实践操作中存在的问题展开深入分析与研究，所得观点、结论与方法对从根本上加强企业套期保值风险管理、促进我国期货市场的发展具有理论与实践意义。 全文按照提出问题——分析问题——解决问题的逻辑思路展开。主体内容共分为四大部分。第一部分阐述了论文的选题，归纳与总结了西方套期保值理论的演变与发展，评析了不同理论对套期保值风险问题的不同理解，综述了国内理论界对期货市场风险与套期保值风险问题的研究成果，并就论文的研究思路与方法予以了说明；第二部分应用FTA技术对企业套期保值风险进行了全面的、系统的剖析，分析和总结出了企业进行套期保值可能面临的各种风险，并深入探析了险因。论文的第三部分和第四部分基于第二部分的分析结论，分别探讨了进行制度创新与技术创新，全方位控制与防范企业套期保值风险的方式与方法。第三部分从制度变迁与制度创新的角度，研究了我国期货基本管理制度的创新、企业内部期货管理体制的创新、期货经纪行业套期保值服务与管理模式的创新等问题；第四部分针对套期保值业务的特点，探讨了进行技术创新防范与控制期货价格风险与基差风险的方法。尝试了用人工神经网络专家系统预测期货行情以防范期货价格波动风险，并以之为基础，结合现代套期保值理论，构建了期货套期保值决策支持系统，该系统经实践检验对防范与控制各种基差风险具有重要意义。更多还原

【Abstract】 More and more enterprises are using the futures market for hedge purposes with our country’s entry of WTO. More and more emphases are put on how to control the, enterprises’ hedge risks and then improve their hedge effects. Risk control is critical to the enterprises’ hedge management. The problems existed in the enterprises’ risks management are analyzed deeply and fully in this thesis. Some of the viewpoints, methods and conclusions are very important to our enterprises and our futures market.There are four parts in this thesis altogether. The topic of this thesis is explained, different hedge theories are concluded and appraised, the current studies on hedge risks management problems are discussed, and the clue of this thesis and the methods used are given in the first part. In the second part, the Fault Tree Analysis method is used to study the risks faced with the hedge enterprises in a overall and systematic perspectives. All the risks are analyzed and their reasons are studied fully and deeply. In the third part, the method of system innpvation is put forward to control the hedge risks. Systematic innovations of the basic hedge management system of our futures market, the internal hedge management system of the enterprises, and the hedge service and management system of the brokerage firms are included. In the fourth part, the method of technological innovation is introduced to avoid some of the hedge risks. First, artificial neutral network expert system is adopted to fqrecast the price movements of futures contracts, and then the futures hedge decision support system is developed to control all kinds of basis risks.更多还原