摘要
2008-2009年,国内部分企业参与石油套保发生巨亏的案例反映出我国在石油价格风险管理方面的手段不足。尤其是通过卖出期权进行"自融资"来支撑套保方案,在石油价格大幅波动的情况下,如何通过对冲来实现止损方面,国内企业缺少的不仅是经验,也包括风险管理手段的欠缺。实际上依当时的实际情况,这些企业完全可以通过买入美国国债期权的方式对自身的石油期权空头头寸进行对冲,以避免大规模亏损。
In 2008 and 2009, the failure eases of oil prices hedging by partial domestic enterprises reflect our insufficient methods in the oil price risk management, especially when the hedging plan was supported by self - financing by putting options. In the situation of large oil price fluctuations, domestic enterprises still lack experiences and measures in risk management, especially through hedging. In fact, according to the physical truth at that time, those enterprises who failed in their hedging plans might hedge their bear position of oil options by calling AIneriean treasury bonds options to avoid further losses.
出处
《商业研究》
CSSCI
北大核心
2011年第1期191-194,共4页
Commercial Research
关键词
对冲
风险管理
波动率
基差
hedging
risk management
fluctuation ratio
basis
