西部矿业股份公司套期保值管理方案研究
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摘要
随着世界经济一体化的深入,中国企业在低附加值的生产分工上越来越难以获得预期的利润,特别是大宗商品原料和成品价格剧烈频繁的波动。原材料价格的频繁不利变动以及资本市场人民币的汇率波动极大地侵蚀着企业的利润。在这种新形势下,企业若不利用资产保值工具来锁定成本或者锁定销售价格,就可能出现生产的越多亏损的越多的局面。企业利用套期保值工具进行锁定成本或者锁定销售价格的前提是在期货套期保值市场上有一个正确的交易思路,即套期保值管理方案。本文以西部矿业股份公司为例对该公司套期保值管理方案进行研究。西部矿业股份公司参与套期保值的有色金属产品有：铜、铝、铅、锌、金、银等品种,西部矿业股份公司的有色金属产品的产业链长,从原矿的采矿、冶炼到成品型材,生产周期长,不但需要对原料进行买期保值以防范原料价格上涨,同时还要对成品进行销售价格锁定的卖期保值,以避免价格下跌带来的风险。套期保值是一个系统工程,不但要对保值数量、保值价位、保值方向考虑,还要考虑经济大环境因素、套期保值入场的基差影响、保值过程中的风险管理以及套期保值结束以后的套期保值后评估。西部矿业的套期保值种类全面,涵盖了有色金属行业套期保值的全部种类,在同行业有借鉴意义。第一章介绍了本文的研究目的、意义,研究内容及框架安排,第二章介绍了期货基本理论、套期保值基本理论以及国内外套期保值的发展历程。第三章介绍了西部矿业股份公司套期保值现状及套期保值中存在的问题。第四章着重设计针对西部矿业股份公司套期保值方案。第五章描述套期保值方案的实施环境和套期保值后评估。第六章是结束语及致谢。
With the deepening of the integration of the global economy, the Chinese enterprises in the industries of low value-added productions meet more and more difficulties to ensure their meager profits, particularly due to the severe frequent fluctuations in commodity raw materials and finished goods prices. Frequently adverse change of prices and the RMB exchange rate fluctuations in the capital market greatly erode the profits of such enterprise. In this new situation, if the enterprises fail to take advantage of the assets hedging as a tool to lock in the cost or lock the sales price, the situation that the more production and the more loss may occur. In order for an enterprise to use hedging tools to lock cost or lock sales price, it has to have clear and correct transaction ideas in futures hedging market, witch is the hedging management program. This thesis takes the Western Mining Co., Ltd. as an example to investigate its hedging management program. Western Mining has several non-ferrous metal products such as copper, aluminum, lead, zinc in its hedging program. This company has not only long industry chain, but also long production cycle, from mining of the ore, smelting to the finished products and profiles. In order to prevent the price rising of raw materials, it needs to store the values of the purchased raw materials; it also needs to preserve the prices of its products in order to avoid the risk of falling prices. Hedging is a systems engineering project, in addition to take the preservation of the volume and the price into consideration, it must also consider the impact of economic environment factors, the entry basis of the hedging, and the risk management against inflation in the hedging process, as well as the assessment after hedging when hedging management ends. The hedge management of Western Mining covers a wide range, thus its plan can be helpful for other enterprises in the same industry. The first chapter of this thesis describes the goals and purpose of this thesis, as well as the significance of this study and its arrangements; the second chapter describes the basic theory of the Futures on goods, basic theory of hedging management, and the development of the domestic and foreign hedge management. The third chapter analyzes and discusses the hedging status and some existing problems in the Western Mining Corporation. The fourth chapter analyzes and investigates the hedging plan of Western Mining Corporation Limited. The fifth chapter depicts the implementation environment of the proposed hedging plan. The sixth chapter is the summary of the thesis and acknowledgement.
With the deepening of the integration of the global economy, the Chinese enterprises in the industries of low value-added productions meet more and more difficulties to ensure their meager profits, particularly due to the severe frequent fluctuations in commodity raw materials and finished goods prices. Frequently adverse change of prices and the RMB exchange rate fluctuations in the capital market greatly erode the profits of such enterprise. In this new situation, if the enterprises fail to take advantage of the assets hedging as a tool to lock in the cost or lock the sales price, the situation that the more production and the more loss may occur. In order for an enterprise to use hedging tools to lock cost or lock sales price, it has to have clear and correct transaction ideas in futures hedging market, witch is the hedging management program. This thesis takes the Western Mining Co., Ltd. as an example to investigate its hedging management program. Western Mining has several non-ferrous metal products such as copper, aluminum, lead, zinc in its hedging program. This company has not only long industry chain, but also long production cycle, from mining of the ore, smelting to the finished products and profiles. In order to prevent the price rising of raw materials, it needs to store the values of the purchased raw materials; it also needs to preserve the prices of its products in order to avoid the risk of falling prices. Hedging is a systems engineering project, in addition to take the preservation of the volume and the price into consideration, it must also consider the impact of economic environment factors, the entry basis of the hedging, and the risk management against inflation in the hedging process, as well as the assessment after hedging when hedging management ends. The hedge management of Western Mining covers a wide range, thus its plan can be helpful for other enterprises in the same industry. The first chapter of this thesis describes the goals and purpose of this thesis, as well as the significance of this study and its arrangements; the second chapter describes the basic theory of the Futures on goods, basic theory of hedging management, and the development of the domestic and foreign hedge management. The third chapter analyzes and discusses the hedging status and some existing problems in the Western Mining Corporation. The fourth chapter analyzes and investigates the hedging plan of Western Mining Corporation Limited. The fifth chapter depicts the implementation environment of the proposed hedging plan. The sixth chapter is the summary of the thesis and acknowledgement.
引文
[1]孙才仁编著,套期保值理论与实践[M].北京：中共中央党校出版社,2012.1
[2]孙才仁编著,套期保值与企业风险管理实践[M].北京：中国经济出版社,2010.8.
[3]中国期货业协会编,期货市场教程[M].北京：中国财政经济出版社,2012.2.
[4]中国期货业协会编,期货法律法规汇编[M].北京：中国财政经济出版社,2012.1
[5]中国期货业协会编,中国期货业发展报告2011[M].北京：中国财政经济出版社,2012.5.
[6]中国期货业协会编,中国期货市场功能发挥案例汇编[M].北京：中国财政经济出版社,2011.10
[7]中国期货业协会编,期货投资分析[M].北京：中国财政经济出版社,2012.9.
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[10]王珍,基于市场风险控制的最优套期保值方法选择[J].研究与探索,2010,(6)：50-51
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[12]罗伯特.A.斯特朗：《衍生产品概论》[M].东北财经大学出版社2010年版
[13]米歇尔.克罗赫、罗伯特.马克：《风险管理》[M].中国财政经济出版社2010年版
[14]J.奥林.葛莱比：《国际金融市场》[M].中国大民大学出版社2011年版
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[18]梁丽,浅析以套期保值提升企业风险管理水平[J].当代经济,2012-11-08
[19]唐旭：《金融理论前沿课题》[M].中国金融出版社2012年版
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[23]梅燕：铜冶炼企业如何利用套期保值规避价格风险[J].现代商业,2012年0期
[24]于红梅：浅议如何运用套期保值业务确保产品成本定额管理[J].管理学家,2011年
[25]喻小军：套期保值决策在规避市场价格风险中的应用[N].武汉理工大学学报,2005年6月
[26]陈锦萍.基于VAR的商品期货基差风险研究[J][D].南京：东南大学,2010年.
[27]邵宇：微观金融学及其数学基础[M],北京：清华大学出版社,2011年
[28]李博.资产组合的收益与风险：理论分析与实证研究[J].北京：中国经济出版社2006.8
[29]宋逢明.金融工程原理——无套利均衡分析[M].清华大学出版社,2011.
[30](美)马克·鲁宾斯坦著.投资思想史[J].北京：机械工业出版社,2010.
[31]郭红.金融战法：全球金融投资风险与防范[J].北京：中国经济出版社,2010.
[32]李成.金融投资学[J].西安：西安交通大学出版社,2008.
[33]刘志红.金融投资公司核心竞争力[J].北京：清华大学出版社,2008.
[34]戴晓凤、晏艳阳.现代投资学：组合投资分析与管理[F].长沙：湖南人民出版社,2003.1.
[35]霍芳芳.中国期货市场在全球金融背景下的发展问题研究[D].辽宁：辽宁师范大学,2010.
[36]林琳.基于最小负半方差的期货套期保值优化模型[D].大连：大连理工大学,2008.
[37]郑兴扬.应用石油金融衍生品进行风险管理的理论与实践[D].北京：对外经济贸易大学,2011.
[38]张红喜.基于多元随机波动模型的动态套期保值研究[D].大连：大连理工大学,2008.
[39]刘利.HL期货公司营销策略研究[D].兰州：兰州大学,2011.
[40]王璐.期货交易财务影响与矿产资源型企业集团套期保值方案研究[D].昆明：云南财经大学,2011.
[2]孙才仁编著,套期保值与企业风险管理实践[M].北京：中国经济出版社,2010.8.
[3]中国期货业协会编,期货市场教程[M].北京：中国财政经济出版社,2012.2.
[4]中国期货业协会编,期货法律法规汇编[M].北京：中国财政经济出版社,2012.1
[5]中国期货业协会编,中国期货业发展报告2011[M].北京：中国财政经济出版社,2012.5.
[6]中国期货业协会编,中国期货市场功能发挥案例汇编[M].北京：中国财政经济出版社,2011.10
[7]中国期货业协会编,期货投资分析[M].北京：中国财政经济出版社,2012.9.
[8]许萍,我国套期保值应用问题研究[J].现代商贸工业,2012,(7)：107-109
[9]Young Sang Kim, Jouahn Nam, John H. Thornton Jr. The Effect of Managerial Bonus Plans on Corporate Derivatives Usage [J]. Journal of Multinational Financial Management,2008, (3):229-243.
[10]王珍,基于市场风险控制的最优套期保值方法选择[J].研究与探索,2010,(6)：50-51
[11]Scott E. Harrington, Gerory R. Niehaus:《风险管理与保险》[M].清华大学出版社2011年版
[12]罗伯特.A.斯特朗：《衍生产品概论》[M].东北财经大学出版社2010年版
[13]米歇尔.克罗赫、罗伯特.马克：《风险管理》[M].中国财政经济出版社2010年版
[14]J.奥林.葛莱比：《国际金融市场》[M].中国大民大学出版社2011年版
[15]刘九根.我国大豆期货套期保值问题研究[D].南昌：南吕大学大学,2007
[16]张光华：《金融风险的量化分析》[J].中国金融,2002(9)
[17]Hasbrouck,Joel. Measure the Information Content of Stock of Finance,1991,46(1):179-207
[18]梁丽,浅析以套期保值提升企业风险管理水平[J].当代经济,2012-11-08
[19]唐旭：《金融理论前沿课题》[M].中国金融出版社2012年版
[20]刘娟.国企参与上海期货套期保值研究[D].天津：天津财经大学大学,2010年
[21]杨军：熊市中的铜套期保值策略[J].金融期货,2011年第11期
[22]王玲莉：套期保值操作在铜产品进出口企业企业中的应用[J].商场现代化,2007年第16期
[23]梅燕：铜冶炼企业如何利用套期保值规避价格风险[J].现代商业,2012年0期
[24]于红梅：浅议如何运用套期保值业务确保产品成本定额管理[J].管理学家,2011年
[25]喻小军：套期保值决策在规避市场价格风险中的应用[N].武汉理工大学学报,2005年6月
[26]陈锦萍.基于VAR的商品期货基差风险研究[J][D].南京：东南大学,2010年.
[27]邵宇：微观金融学及其数学基础[M],北京：清华大学出版社,2011年
[28]李博.资产组合的收益与风险：理论分析与实证研究[J].北京：中国经济出版社2006.8
[29]宋逢明.金融工程原理——无套利均衡分析[M].清华大学出版社,2011.
[30](美)马克·鲁宾斯坦著.投资思想史[J].北京：机械工业出版社,2010.
[31]郭红.金融战法：全球金融投资风险与防范[J].北京：中国经济出版社,2010.
[32]李成.金融投资学[J].西安：西安交通大学出版社,2008.
[33]刘志红.金融投资公司核心竞争力[J].北京：清华大学出版社,2008.
[34]戴晓凤、晏艳阳.现代投资学：组合投资分析与管理[F].长沙：湖南人民出版社,2003.1.
[35]霍芳芳.中国期货市场在全球金融背景下的发展问题研究[D].辽宁：辽宁师范大学,2010.
[36]林琳.基于最小负半方差的期货套期保值优化模型[D].大连：大连理工大学,2008.
[37]郑兴扬.应用石油金融衍生品进行风险管理的理论与实践[D].北京：对外经济贸易大学,2011.
[38]张红喜.基于多元随机波动模型的动态套期保值研究[D].大连：大连理工大学,2008.
[39]刘利.HL期货公司营销策略研究[D].兰州：兰州大学,2011.
[40]王璐.期货交易财务影响与矿产资源型企业集团套期保值方案研究[D].昆明：云南财经大学,2011.