企业商品期货套期保值风险控制管理——来自江西铜业的案例研究

Analysis of How to Control the Risks of Enterprises Commodity Futures Hedging——A Case Study of Jiangxi Copper Corporation

以江西铜业作为个案企业,旨在分析其2008年期货业务巨额亏损的原因,剖析其期货套保风险控制过程中存在的问题。研究发现,该企业2008年期货业务的巨额亏损主要是由于持有不合理的净多头所致,由于江铜期货人员对铜价变动预测错误,江铜允许客户的点价期过长,江铜开展期货业务没有合理的风险监督机制等问题使该企业受到了商品价格风险、操作风险、基差风险和信用风险。最后从对江铜的案例研究中举一反三,有针对性地、结合实际地为中国企业运用商品期货进行套期保值如何控制风险这一问题提出了合理建议。

This thesis reasonably deduces the reasons of the huge losses and the problems during the process of controlling the risks of futures hedging in 2008 through a case study of Jiangxi Copper Company.It finally finds that the huge losses are mainly due to unreasonable holdings,wrong forecast for copper price change,giving too long time to customers and unreasonable risk monitoring mechanism.All of them lead to commodity price risk,operational risk,basis risk and credit risk.The main innovation in the paper is reflected in Jiangxi Copper Company,a copper - production enterprise as a case,by studying its copper futures business conduction.The paper pertinently provides reasonable advice for Chinese enterprises on commodity futures hedging by extrapolating through analyzing its problems during controlling risks of futures hedging.