B-S模型与企业财务风险管理

Black-Scholes Model and Financial Risk Management in Enterprises

由于未来企业价值的不确定性 ,现代企业的负债经营会给企业带来财务风险。企业与其股东、债权人的经济关系具有期权的特性。将Black -Scholes模型应用到企业财务风险的管理中 ,企业通过对其权益与债务资本的投资组合的动态调整 ,达到期权头寸的Delta(Δ)中性 ,实现企业价值的保值和对财务风险的对冲。

Owing to the uncertainty of future value of enterprises, liability management of modern enterprises may result in financial risks. In view of the fact that the economic relationship between enterprises, their shareholders and creditors has the characteristics of option, Black-Scholes Model may be applied to financial risk management of enterprises. By making dynamic adjustments of the investment combination of their equity and debt capital, enterprises can make optional position neutral to guarantee enterprise value and hedge against financial risks.