导　　师： 林孝贵;罗满生

学科专业： 0251

授予学位： 硕士

作　　者： ;

机构地区： 广东财经大学

摘　　要： 自上世纪70年代石油危机以来，石油价格开始剧烈波动，石油市场的风险管理 日益重要。本文就是研究用套期保值方法来管理石油价格风险的问题。规避原油进口风险，无论是从经济利益还是国家安全考虑，对石油进口大国来说，都有重大意义。首先从我国的石油市场的现状和价格风险特征出发，对我国目前的石油供给需求状况，对外依存度以及面临的一些问题等展开讨论，为我国的石油战略提出参考建议。然后对金融衍生工具和风险管理进行概述，比较不同衍生工具的特点，说明选择套期保值来规避石油价格风险的原因。至于风险度量的工具，本文选择在险价值（VaR）法。不过由于石油的准金融属性，其时间序列具有明显的尖峰后尾和波动群集效应，所以我们借助GARCH模型来处理，可以收到很好的效果。在套期保值比的选择上，本文选用最小方差套期保值比和基于GARCH模型的动态套期保值比作方法，并对它们的套期保值效果进行比较，以便为石油企业管理自身的风险提供参考。 Since the1970s oil crisis, oil prices began to volatility, the oil market riskmanagement is increasingly important. This paper studys how to manage the risk of oilprice with hedging, to avoid the risk of crude oil imports, either from the economic interests or national security considerations, as a large number of oil-importing country,there is a great significance.Firstly, from the status of China's oil market and price risk characteristics departure, onChina's current oil supply and demand conditions, and some problems such as externaldependency to discuss, make suggestion for our country's petroleum strategy. Then thefinancial derivatives and risk management are summarized, and compared the characteristicof different derivatives, explaining the reason of hedging to avoid oil price risk. As for therisk measurement tools, this paper choose the value at risk /(VaR/) method. However,because of the quasi-financial attributes of oil, the time sequence has obvious spikes andvolatility clustering effect of the tail, so we use GARCH model to deal with, you canreceive good results. On the choice of hedging ratio, this article selects the minimumvariance hedging ratio and dynamic hedging based on GARCH model compared to themethod, and comparing their hedging effect, and provide reference for petroleum enterprisemanage ent's own risk.

关 键 词： 石油 风险管理 衍生工具 模型 套期保值

分 类 号： [F764.1 F830.9 F224]

领　　域： [经济管理] [经济管理] [经济管理]