我国企业衍生金融工具风险管理研究(PDF 68页)

Toc3401 64038Chinese abstract⋯1
Abstract⋯⋯⋯⋯⋯⋯．．3
Chapter 1 Introduction⋯⋯⋯⋯⋯⋯．5
1．1 The background and significance oftopics⋯⋯⋯⋯⋯5
1．2 Reviews⋯⋯7
1．2．1 Usage ofderivatives in corporations7
1．2．2 Financial risk management⋯⋯．．9
1．2．3 Management ofderivatives’risk ofcorprations⋯⋯⋯⋯⋯．10
1．2．4 Reviews Commentary．．．．．．⋯．．．．．．．⋯⋯．．．．．⋯．．．．．．．．⋯⋯．⋯．⋯．．．．．．．⋯⋯⋯⋯⋯．．1 1
1．3 Reserch methods and structural arrangements⋯⋯．．12
1．4 Inovations⋯⋯⋯．．．．．．⋯．．⋯⋯⋯．⋯．．．．⋯⋯⋯．．⋯．．．．．．．．⋯．．14
Chapter 2 Overview ofthe theory ofderivatives and risk management．．．．．．．．．．．．．．．．．．．．．．．．．15
2．1 Theory ofderivatives⋯．．15
2．1．1 Defination，category and function ofderivatives⋯⋯⋯⋯．．15
2．1．2 Risk ofderivatives and也eir characteristies．17
2．2 Theory of financial risk management．⋯．⋯．⋯⋯⋯．⋯．⋯⋯．．⋯．⋯⋯．⋯⋯⋯．⋯．⋯．⋯．22
2．2．1 Theory ofportfolio⋯．⋯⋯．⋯．⋯⋯．．⋯．⋯．⋯⋯．⋯⋯．⋯⋯．⋯．⋯．22
2．2．2 Theory ofCAPM and APT⋯⋯23
2．2．3 Black-Scholes Model⋯⋯⋯⋯一23
2．2．4 Theory ofVaR⋯．24
2．2．5 Theory ofTRM and ERM⋯⋯．24
2．3 Theory ofERM⋯⋯⋯⋯．25
2．3．1 Connotation ofEI洲⋯⋯⋯⋯⋯26
2．：；．2 Elements ofERM⋯⋯⋯⋯⋯⋯．．27
2．3．3 Relationship between targets and elements⋯．⋯．⋯⋯．⋯⋯．⋯．⋯⋯⋯⋯．⋯．．29
Chapter 3 Overview ofthe usage ofderivatives ofChinese corporations．．．．．．．．．．．．．．．．．．．．．．30
3．1 The rapid development ofderivatives in China⋯⋯．．．．．⋯⋯⋯⋯⋯．30
3．2 The increasing application ofderivatives ofChinese corporations⋯⋯⋯⋯⋯⋯．31
3．3 The existing problems in the usage ofderivatives ofChinese corpomtiom．．．．．32
III
山东大学硕士学位论文
Chapter 4 Case Analysis ofChinese co叩。均廿ons’ERM ofderivatives⋯．35
4．1 Eastern Airlines fuel hedging Case Study⋯⋯⋯⋯⋯35
4．I．1 Case Background35
4．1．2 Trading strategy analysis ofderivatives⋯⋯．36
4．1．3 Cause analysis．based on the me of derivative and ERM perspectives 38
4．2 CITIC Pacific foreign exchange contracts Case Study⋯．⋯⋯⋯⋯⋯．．⋯．⋯⋯．⋯．．41
4．2．I Case Background⋯．⋯⋯⋯⋯⋯．．41
4．2．2 Trading strategy analysis of derivatives⋯⋯．42
4．2．3 Cause analysis．based on the use of derivative and ERM perspectives 45
Chapter 5 The problems and countermeasures of Chinese corporations’ERM of
derivatives⋯．⋯⋯⋯．49
5．1 The problems in Chinese co印ora：tioIls’ERM ofderivatives⋯⋯．49
5．1．1 ERM system have defects⋯⋯．49
5．1．2 The motive ofspeculative in derivative transactions⋯⋯．．50
5．1．3 Lack ofsupervision about derivative transactions⋯⋯⋯⋯51
5．1．4 Lack ofprofessionals versed in derivatives．52
5．2 The countermeasures to improve Chinese corporatiom’ERM of derivatives．．52
5．2．1 Improve the ERM system．．．．．⋯．．．．．．⋯．．．．．⋯．．．．．．．．．．．．．．⋯⋯⋯”53
5．2．2 Strictly adhere to the basic principle ofhedging⋯⋯⋯⋯⋯57
5．2．3 Improve derivative transactions regulatory policy⋯⋯⋯⋯57
5．2．4 Strengthen the professional talent pool of derivatives⋯⋯58
Re{．erences⋯⋯⋯⋯．．59
Acknowledgements63
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