西部大型工业企业外汇交易风险管理研究——基于金融衍生品战略的套期保值研究

Foreign Transaction Risk Management of Western Large-scale Industrial Corporations——Based on Financial Derivatives OHR

目前,中国的西部大型工业企业对外直接投资的金额、期限和规模在逐年稳定地增长。而随着世界经济一体化的发展,外汇交易风险已经成为影响其经营业绩的重要因素之一。以涉及国际经营的中国西部大型工业企业面临的外汇交易风险的管理问题作为研究对象,在回顾了风险管理以及金融衍生工具套期保值等基础内容和相关理论之后,引入了最优套期保值率的概念及其理论发展,并实证定量分析了美国芝加哥商品交易所的人民币兑美元期货的套期保值效果,提出我国西部大型工业企业应该加强外汇风险管理的意识,构建合适的外汇交易风险管理系统,以达到规避外汇交易风险,降低外汇损失的目的。

At present, the amount of FDI currency, time and scale is increasing. With the development of world economic integration, transaction risk has been the great factor which will affect business deeply. This paper focuses on the management of transaction risk of Chinese western large - scale industrial corporations which operate internationally in particular. It begins with the review of the related theories concerning risk management and hedge with financial derivatives. In the last part of thesis section, the author introduces the definitions of OHR （ optimal hedge ratio）, the development of the theory, and quantitatively analyses the OHR of RMB/USD future of CME. According to the output of quantitative analysis, the author supposes that Chinese western large - scale industrial corporations should be fully aware of the necessity of transaction risk management and should build up an efficient transaction risk management system, in order to be more competent in avoiding risk and reducing eosts.