导　　师： 汪洋;黄春旭

学科专业： 1201

授予学位： 硕士

作　　者： ;

机构地区： 华南理工大学

摘　　要： 在国内，外汇风险管理的研究是一个崭新的领域，而国外早在几十年前就开始了对外汇风险管理的研究。对于广东省韶关钢铁集团有限公司（CSG）来讲，外汇风险管理的经验还很少，无论在理论上还是实践中都很不成熟，还没有形成一套完整的管理体系。同时，国内的金融机构对外汇风险也难以提供有效的金融工具来满足不同的要求。CSG只能在现有的工具范围内做有限的工作。如何借鉴国际上较为成熟的外汇风险管理经验应用到CSG钢轧项目外汇风险管理实践之中，并结合自身特点逐步建立起完整的外汇风险管理系统，有效地避免和减少损失，成为CSG经营中亟待解决的关键性问题。 本文结合广东省韶关钢铁集团有限公司（CSG）的钢轧项目实际，通过对以钢轧项目为代表的典型实际外汇管理案例的研究：对广东省韶关钢铁集团有限公司（CSG）的钢轧项目投资控制的外汇风险及其管理进行了分析；阐述了CSG钢轧项目投资控制的外汇管理的影响因素；讨论了CSG钢轧项目投资控制的外汇管理途径；建立了CSG钢轧项目投资控制的外汇管理模型。 本文通过把握我国项目当前面临的独特环境，结合上述项目实际，试图找到一种风险可控的利用套期保值实现外汇风险控制的新方法；对外汇管理和风险管理的国内外研究状况进行了分析；通过对世界主要货币的日收益率进行了正态分布检验，并在这个基础上计算了主要货币的相对VaR；然后选择风险较小的两种走势呈负相关的货币进行套期保值；最后通过实例进行了计算，并讨论了这种方法的优缺点。 通过以上实际项目的操作分析，对我国目前钢铁企业进口设备用于产业升级的外汇管理做出了较深入的研究。应用风险评价模型于交叉套期保值的货币的选择上面，效果良好。 In the new century, economic globalization and investment liberalization are increasing.With the deepening of reform and opening up, especially after joining WTO, more and moreenterprises join the competition in the international market to lend and invest, which has madea significant contribution to the development of China's socialist market economy. However,China had long been the implementation of a fixed exchange rate system, Small fluctuationsin exchange rates for RMB against major world currencies. Objectively speaking, the fixedexchange rate system shielded some foreign exchange risk for China's enterprises, whichmade managers in the business not pay enough attention to risks of exchange rate andimpeded foreign exchange risk management research. However, since July21,2005, alongwith the accelerated process of internationalization of the Yuan and RMB exchange rateformation mechanism reform, foreign exchange risk of enterprises was more obvious, evenseriously affecting a number of corporate business developments and improvement ofprofitability. So with the actual business, that strengthen the study of foreign exchange riskmanagement is very important. In China, foreign exchange risk management is a new area, but the research on theforeign exchange risk management was carried out abroad decades ago. For GuangdongShaoguan Iron/&Steel Group Co., Ltd./(CSG/), the experience of foreign exchange riskmanagement is also very little and both in theory and practice are very immature. A completemanagement system has not been formed. Meanwhile, domestic financial institutions are alsodifficult to provide effective financial tools to meet different requirements. CSG had littlework to do only in these limited ranges of financial tools. That how to draw a more matureinternational foreign exchange risk management experience into CSG steel rolling projectinvestment, and complete with its own characteristics and gradually establish a foreignexchange risk management system to effectively prevent and reduce losses, has become aurgent solved key problems. Completed with the practice in the steel rolled of CSG, this paper analyzed the foreignexchange risk and its the management of CSG steel rolling project investment; describedfactors of the foreign exchange management of CSG steel rolling project; discussed ways toforeign exchange management of CSG steel rolling project; established the model of foreignexchange management of CSG steel rolling project. This paper grasps of China's enterprises facing a unique environment, through studying the steel rolled as a typical case of foreign exchange management, and try to find a newmethod to achieve foreign exchange risk management by hedging. Firstly, this paper analyzedthe research situations of foreign exchange management and risk management at home andabroad; Secondly, through testing the normal distribution of the daily return of the world'smajor currencies, these relative VaR of major currencies were calculated; Then, two less riskycurrencies were selected to run hedging, of which movements were negative. Finally, anexample was calculated and the advantages and disadvantages of this way were discussed.

关 键 词： 汇率 外汇风险 风险管理 风险评价模型

分 类 号： [F426.31 F832.6]

领　　域： [经济管理] [经济管理]