商业银行金融衍生品交易与风险管理——以法国兴业银行等为例

Financial Derivative Trading of Commercial Banks and Its Risk Management——With Examples of Societe Generale etc.

自1995年巴林银行倒闭以来,银行衍生品交易重大损失案多有发生。本文以法国兴业银行为主线,兼论巴林银行、澳大利亚国民银行和爱尔兰联合银行巴尔迪摩分行衍生品交易亏损发生的主要原因。在分析了涉案交易人员的欺诈手法基础上,本文发现巨亏的原因不仅来自市场风险,更主要来自操作风险,对两种风险的联合监控方能治标又治本。本文最后提出了4条风险管理对策:(1)加强国内外宏观经济研究,准确判断市场走势;(2)倡导诚实为本的企业文化,确保风险管理部门工作的独立性;(3)加强会计核算管理,完善的交易确认、清算和结算制度;(4)根据市场变化,随时检验和调整计量模型。

Since the collapse of Barings in 1995, many banks have suffered seriously from derivatives trading losses. With the cases of Societe Generate, Barings, Allied Irish Bank and Australian National Bank, this paper scrutinizes the main causes of their failures. Besides analyzing involved employees＇ deceit tricks, the paper discloses that the losses stem from not only market risks but also operational risks, and to minimize those losses, monitoring them together is required. At last, the paper presents four counter-measures for risk management as follows： （1） grasping the whole picture of the global and domestic macro-economy and accurately judging the market trend; （5） advocating an honesty-oriented enterprise culture to ensure the independence of risk management department; （3） enhancing the accounting management and the rules on transaction confirmation, liquidation and settlement; （4） testing and adjusting econometric models according to the changing market conditions.