本文關(guān)鍵詞： 集團(tuán)企業(yè) 財務(wù)公司 外匯業(yè)務(wù) 風(fēng)險管理　出處：《復(fù)旦大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：近年來國內(nèi)外經(jīng)濟(jì)環(huán)境下行的復(fù)雜局面,使得我國大型集團(tuán)企業(yè)財務(wù)公司在為集團(tuán)內(nèi)客戶提供國際結(jié)算、結(jié)售匯、外匯貸款、遠(yuǎn)期結(jié)售匯業(yè)務(wù)等外匯業(yè)務(wù)時,面臨著越來越多的金融風(fēng)險。本文嘗試系統(tǒng)分析我國企業(yè)集團(tuán)財務(wù)公司的外匯風(fēng)險管理問題,通過剖析我國財務(wù)公司外匯風(fēng)險管理現(xiàn)狀,借鑒國外財務(wù)公司成功經(jīng)驗,結(jié)合我國財務(wù)公司業(yè)務(wù)特點,介紹了外匯風(fēng)險的辨識、度量和策略選擇方法,并通過具體案例闡述我國財務(wù)公司怎樣通過制度設(shè)置、授信額度控制、風(fēng)險計量系統(tǒng)控制和流程監(jiān)控等手段,實現(xiàn)有效控制外匯業(yè)務(wù)信用風(fēng)險、市場風(fēng)險和操作風(fēng)險的目的,并且詳細(xì)分析Monte Carlo模擬法計量VaR值的原理,解析通過metlab建立數(shù)學(xué)模型度量外匯市場風(fēng)險的步驟,可以為財務(wù)公司如何建立市場風(fēng)險計量系統(tǒng)提供設(shè)計依據(jù),最后在理論闡述和實證分析的基礎(chǔ)上得出結(jié)論,對完善我國大型企業(yè)集團(tuán)財務(wù)公司外匯風(fēng)險管理提出建議。
[Abstract]:In recent years, the domestic and foreign economic environment of the complex situation, so that China's large conglomerate financial companies in the group to provide customers with international settlement, foreign exchange settlement, foreign exchange loans, forward settlement and sales of foreign exchange business and other foreign exchange business. Facing more and more financial risks, this paper attempts to systematically analyze the foreign exchange risk management problems of Chinese enterprise group financial companies, through the analysis of the current situation of foreign exchange risk management of financial companies in China. Based on the successful experience of foreign financial companies and the business characteristics of Chinese financial companies, this paper introduces the identification, measurement and strategy selection of foreign exchange risk. And through specific cases to explain how our financial companies through the system setting, credit quota control, risk measurement system control and process monitoring and other means to achieve effective control of foreign exchange business credit risk. The purpose of market risk and operation risk, and the principle of VaR value measurement by Monte Carlo simulation method is analyzed in detail. Analyzing the steps of establishing mathematical model by metlab to measure the foreign exchange market risk can provide the design basis for how to set up the market risk measurement system of the finance company. Finally, on the basis of theoretical analysis and empirical analysis, the author draws a conclusion and puts forward some suggestions for perfecting the foreign exchange risk management of large enterprise group financial companies in China.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.39

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