25,100 research outputs found

    Research on Enterprise Risk Management of Hedging

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    自从我国加入WTO以来,运用衍生金融工具开展套期保值业务的企业愈来愈多,但是我国企业应用套期保值的整体水平还不高,导致套期保值效果很不理想,关于企业如何进行套期保值风险管理、改善套期保值效果的问题仍待解决。风险管理是企业套期保值业务的核心,关系到套期保值的成败与效果。在相关研究中可以发现,大部分对于套期保值的研究侧重于套期保值技术方面,尤其集中在最优套期保值比率上,但在套期保值实际操作中可以发现,企业通常更多地是面对大量的、频繁出现的非技术风险。多数情况下,降低实务中经常碰到的非技术风险往往会比改进套期保值技术更能使套期保值具有成效。基于此,本文对我国企业套期保值风险管理在理论探讨与实践操作中...Since China's accession to the WTO, more and more enterprises use the financial derivative instruments for hedging purposes. But the enterprises are not good at hedging, so the results of hedging are not satisfactory. The problem of how to deal with the enterprises’ hedging risks and then improve the effects of hedging is to be resolved. Risk management is the core of corporate hedging business, r...学位:管理学硕士院系专业:管理学院_会计学学号:1752011115120

    The determination of china stock index futures hedging ratio

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    我国股市的显著特点是股指波幅大,系统性风险大,而这种风险无法通过分散投资加以回避。股指期货是规避系统风险的最佳工具,但其有效性却受套期保值比率的影响。因此,最优套期保值比率的确定问题成为期货套期保值理论研究的核心问题。由于我国股指期货迟迟未能推出,成熟市场所采用的直接用投资组合数据和股指期货数据来确定套期保值比率的方法在我国并不适用,在股指期货还未推出的约束条件下,如何确定最优套期保值比率,就具有极大的现实意义。文章首先对相关文献进行了综合研究分析,并归纳出最优套期保值比率的模型有五种:最小方差套期保值比率模型、均值方差套期保值比率模型、期望效用最大化套期保值比率模型、增广的均值基尼系数模型和...The significant feature of china stock index is that it is more volatile and more risk, which can not be avoided by diversified investment. But how to choose hedging ratio impacts its effectiveness. Thus the determination of optimal ratio of futures hedging has become the core issue of theoretical research. China has failed to launch stock index futures. The direct use of portfolio data and stock...学位:经济学硕士院系专业:经济学院财政金融系_投资学学号:2005130099

    A Study on the Optimal Hedge Ratio Based on Regime Switching

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    套期保值作为期货市场的重要功能不仅是众多套期保值厂商关注的重要问题,也是期货价格理论的核心问题之一。研究套期保值的关键问题是套期保值比率的确定,通过套期保值模型合理确定最优套期保值比率,可以提高套期保值效果,有效规避现货价格的风险。 中国期货市场处于快速成长阶段,市场发展过程中累积了较多的不确定性,市场所处状态经常会发生改变。不同的市场状态下,期货同现货价格之间的动态关系会发生变化,最优套期保值比率应该也有所不同。本文采用马尔可夫(Markov)过程对市场状态的变化进行模型化分析,将市场状态的转变引入到期货最优套期保值比率的确定中来。对于状态间的转换本文不仅考察了转换概率不变的情形,同时也分...As a major function of futures market, hedge is not only the concern of manufacturers, but also one of the core issues of futures pricing theory. The key issue of research on hedge is to determine the optimal hedge ratio. By determining hedge ratio with rational hedge ratio model, we can improve hedging effectiveness and avoid the risk of spot prices fluctuating effectively. China's futures marke...学位:经济学硕士院系专业:经济学院金融系_投资学学号:1562007115146

    中国期货市场套期保值的发展与风险

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    期货市场是中国市场经济体系的新鲜事物。本文运用期货市场的一般理论,结合中国期货市 场发展的实践,探讨中国期货市场套期保值的发展与风险问题,寻求其规律,并提出相应对 策。全文共分为三章。 第一章,期货市场与套期保值的理论分析。本章着重从理论的角度分析问题。第一节阐明期 货市场的一般理论,提出作者本人对期货市场的定义,对期货交易与现货交易的关系进行了 分析,阐述了期货市场的职能、作用及运行机制。第二节分析套期保值理论的主要内容,就 经典套期保值与现代套期保值理论分别进行剖析与对比;同时对套期保值及其相关概念逐一 加以辨析;最后,结合作者的实践,说明套期保值的具体两种操作类型。 ...学位:经济学硕士院系专业:经济学院国际贸易系_国际贸易学学号:19971301

    Property Taxation in the People\u27s Republic of China

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    A property tax is a general tax imposed on all property owners based on the value of their properties. Property taxation is common throughout the world due to its numerous advantages. It is regarded as a steady source of local government revenue. The property taxation system in the People’s Republic of China (PRC) is still developing and does not include important features that would make it efficient. For instance, residential property is excluded from the tax base. This has contributed to real estate speculation, income disparity, and revenue losses. A well-functioning local property tax system in the PRC would provide an efficient, equitable and sustainable way to finance local development and government spending. By helping to align expenditure responsibilities with revenue allocations at the local level, property taxation could reduce inequality in the provision of public goods and foster local government ability to provide them. Further, it will reduce the incentive for speculative behavior mitigating housing bubbles. To further develop property taxation in the PRC it is recommended to gradually strengthen and expand the existing pilots, supported by clear principles on the delegation of taxation responsibilities, the definition of a nationally standardized tax base, an affordable tax rate, and enhanced local government capacity

    Hedging Effectiveness and Comparison of Stock Index Futures in China

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    股指期货作为一种套期保值的工具,通常被投资者用来规避现货市场中的系统性风险。然而,2015年下半年的股灾,关于股指期货的一系列管控措施陆续实施,股指期货却被认为是做空股市,造成大盘持续杀跌的导火索。全面客观地阐述股指期货在我国金融市场的发展情况,剖析比较股指期货的套期保值效果,对于促进我国资本市场的平稳健康发展有着重要意义。 本文以最大程度发挥股指期货的规避风险的功能为前提,运用不同的套期保值比率估计模型对目前在我国上市交易的股指期货进行实证分析和比较。分别选取沪深300指数期货(IF)、上证50指数期货(IH)以及中证500指数期货(IC)作为期货头寸,选择具有代表性的股价指数和ETF作为...As one of the hedging tools, stock index futures are used by investors to avoid systematic risk in spot market. However, in the second half of 2015, the stock market crash happened in China. Stock index futures were regard as the important reason of this crash. Therefore, having a more comprehensive and objective understanding of stock index futures in China is meaningful and valuable to the stabl...学位:金融硕士院系专业:王亚南经济研究院_金融硕士学号:2772013115280

    Research on Purchase Risk Management Based on Hedging—Take A Company as An Example

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    近年来,随着经济全球化影响,世界范围内各国家之间的联系愈加密切,国外与国内市场的界限愈加模糊。国内市场上大宗原材料的价格受到国际市场影响的程度加深,导致价格大幅度波动,给我国制造业企业的正常经营带来了很大的风险。套期保值作为一种重要的风险管理手段,能够有效地转移企业因为原材料价格波动带来的风险,提高企业的经营效益。目前在国外,参与套期保值的公司越来越多。但是在国内,尤其是中小企业,由于经验的缺乏、意识不够等因素,参与套期保值的企业比例并不是很高。 本文以A公司为研究对象,重点研究A公司在原材料铜价格剧烈波动的背景下如何借助套期保值的工具来降低风险。首先,介绍A公司的套期保值现状,同时对A公司...In recent years, with the impact of economic globalization, the links of countries are more closely in the world, the boundaries of foreign and domestic markets become increasingly blurred. In the domestic market, the price of bulk raw materials more impact by the international market, resulting in significant fluctuations of price, brought a lot of risks to manufacturing enterprises' normal opera...学位:工程硕士院系专业:管理学院_工程硕士(物流工程)学号:1772014115104

    The Research on the Optimization of Futures Hedging Model Considering Hedging Cost

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    商品制造者无时无刻不面临着其所需原材料和半成品价格波动带来的风险。当前国际原油、矿石、铜、铝等大宗商品价格的大幅波动以及近来国内汽油、棉花、粮食等商品价格的不断攀升,让各类企业蒙受着严重的价格风险。本文就此问题介绍运用期货套期保值即买卖商品期货的方法来应对商品价格波动的风险。另外,研究期货套期保值有助于扩大套保者队伍,繁荣发展期货市场,加快市场成熟程度,为期货套保者提供较为理性的保值策略,并提高其风险管理能力。 目前的套期保值理论从不同角度优化期货套期保值策略,但探讨结合交易费用和保证金机会损失等实际期货交易因素的文献还比较少,本文通过深入了解期货市场交易的实际操作流程,分析期货套期保值...Commodity producers never fail to face such price fluctuation risks of raw materials and semi-finished products.The price fluctuations of current international crude oil, ore, copper, aluminum and other commodities, as well as prices climbing of recent domestic gasoline, cotton, grain and other commodities all cause enterprises suffering from severe price risk. This paper intends to deal with the ...学位:理学硕士院系专业:数学科学学院数学与应用数学系_概率论与数理统计学号:1902009115225

    套期保值会计的几个难点问题探讨

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    套期保值是衍生金融工具会计处理的一个重要领域,我国已经专门制定了《企业会计准则第24号——套期保值》。然而,在实务中如何有效贯彻实施该准则却面临众多的问题。本文对套期保值会计面临的一些难点问题进行分析,期望对进一步完善该准则提供帮助

    Theories and Applications of Stock Index Futures Hedging Strategies

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    我国证券投资基金发展了十几年,它已经成为证券市场最重要的机构投资者之一,由于缺乏做空机制,基金经理只能减仓操作才能对冲系统风险,而国际上机构投资者使用股指期货进行投资组合套期保值是一个很基础的投资策略。我国即将推出股指期货,它将成为基金投资组合系统风险对冲的重要工具,目前国内仍缺少比较系统科学的股指期货套期保值策略方面的研究,因此股指期货套期保值这一课题研究具有十分重要理论和实际应用价值。本文对股指期货套期保值策略进行比较全面的理论和实证研究,力求理论联系实际,深入讨论各种套期保值比率估计模型,并研究实践中套期保值操作的关键问题和环节,进一步提出适合国内机构投资者的套期保值模型,为将来机构投资...Stock index futures hedging is basic investment strategy for investment portfolios of institutional investors in the developed international financial market. It will be an important vehicle to systematic risk hedging for domestic institutional investors after new investment vehicle, stock index future, is listed in china financial market. There has been no integrated study on this field, which ha...学位:经济学博士院系专业:经济学院计划统计系_统计学学号:2005140287
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