建行金融衍生产品风险控制及应用

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论文中文摘要:20 世纪70 年代以来,金融创新白勺浪潮席卷全球,而其最显著、最重要白勺特征之一便是金融衍生产品交易白勺迅速发展。作为最主要白勺金融创新工具,金融衍生产品在具有巨大白勺市场价值白勺同时,也伴随着相当大白勺风险。近年来,金融衍生产品交易风险性体现白勺极为突出,尤以巴林银行白勺倒闭最为引人注目,提示人们不仅注意金融衍生产品白勺对金融业正面作用,也要作好风险防范。随着金融白勺全球化,中国白勺国有商业银行正面临着外资银行严峻白勺挑战,尤其是在国际业务方面,市场竞争压力更为巨大,发展金融衍生产品业务,提高竞争力则势在必行。中国建设银行在金融衍生产品服务方面,尚有很大欠缺,现阶段白勺服务完全依赖外资银行提供白勺产品。随着建行股份制改革白勺深入和向国际化商业银行白勺转变,建立和培养具有自我研发金融衍生产品和风险管理能力白勺一支队伍是及其必要白勺。本文主要分四部分:第一部分,对金融衍生产品与金融创新进行系统白勺分析;第二部分,指出金融衍生产品交易白勺风险性,提出风险识别及风险度量方法;第三部分,针对金融衍生产品交易白勺操作风险、信用风险及金融市场风险,建立风险控制框架;第四部分,结合实际案例,分析和探讨如何进行金融衍生产品风险管理,对实际工作提供一定白勺借鉴
Abstract(英文摘要):www.328tibet.cn Along with our country commercial bank’s Internationalization and marketing reforming, the financial system risks such as interest rate risk and exchange rate risk etc. is gradually enlarged. Real economy and financial institution’s need to financial derivatives, which can valid evadable financial system risk get more and more strong, and the risk controlling of financial derivatives come to the front of bank and the non-bank financing institutions. The risk management is getting into the necessary measure to hedge the risk accompany the financial derivatives. The definition of the supervising committee of the Basel bank is, “that financial derivatives are a kind of contract and its value will be decided by the value of an or several underlying assets or index.”Be showed from this, the financial derivatives come from the traditional financial instruments, and the combination of all kinds of financial derivatives can derive more new instruments. The financial derivatives can promote the bank’s development, it can be seen from the follows: Firstly, to fulfill the need of business risk management and hedging the risk. The financial derivatives’main function is hedging the risk and risk management, they can provide the service to market partner and investor. Secondly, they offer a new opportunity to financing institution to expand its business. The clause in Agreement of Basel limit the space of the traditional business of a bank, the financial derivatives provide a new way to expand its business and to realize the profit. Financial institutions can provide the risk management suggestion to their clients and recommend the right instrument to fulfill the need of customer. Financial institution can realize the income or profit. On the other hand, financial institution can adjust the structure of assets and liability by developing financial derivatives. Financial derivative can make the resource of a financial institution more efficient. Thirdly, to turn the competition of the financial institution keener, raise the efficiency of the financial system. The development and usage of finance derivatives, strengthened the contact between market, making various arbitrage behior convenience, weeding out the incorrect price in financial market, making financial market perfection, making the competition of the financial institution get more keen, weakening the misunderstanding of each market. The keen competition in the financial market, on one hand it prompt the financial institution pay attention to financial innovation, to design new financial instrument, beat out a new market, capture a major market share; on the other hand, it stimulates the major financial center to prolong the business hours, strengthening the contact of each market, establish a global financial market, working in an whole day, make the financial market more efficiency. Fourth, lower the money raising cost, promote capital accumulation, speed the economic development The financial derivatives can lower the money raising cost, establish a convenience way for the business enterprise and financing institutions to raise money with lower cost. For Euro -currency market developing and financial derivatives, modern financial institution’s source of funds is not limited on deposit, a new financing channel is from international financial market. Develop financial derivatives, can lower the money raising cost, acquire low interest rate capital. The financial derivative has huge push function to the financial system, certainly also he negative influence, main three aspects is: First, the financial derivatives can results a huge losses forfinancing institution probably; secondly, the financial derivatives can damaged the stability of the financial system; thirdly, the financial derivatives take charge of disadvantageous influence the financial administration institution The negative influence of financial derivatives to financial industry all is because the instrument also produces risk its oneself, according to this reason, our country commercial bank wants to develop the finance should develop the financial derivatives business by all means, even should pay attention to the risk management. The risk management of financial derivatives is based on the risk recognized and risk measure. On Jul 26, 1994, the Basel Committee pointed out the risk category of financial derivatives. Market risk, Credit risk, Liquidity risk, Operation risk, Settlement risk, Lawful risk. The risk measure is the main method to manage the market risk. The China Bank Regulatory Commission released formally The temporary rules of financing institution develops the financial derivatives business in year 2004, it carry out since March 1 in 2004. but the rules only pay attention to the access to the market, internally piloting mechani and regulatory, commercial bank should make new rules for financial derivatives business according the rules, especially in follows: Firstly, to establish synthesize structure to evade the operation risk Establishing the risk controlling structure as the main undertaker of the risk controlling, it is made up of decision-making department, implement department and administration department. All the business on financial derivatives must be master by these three departments, the risk exposure is easy to be found, these departments can mutual supervision and coordination each other. In the same time, the internally piloting mechani is very important to the risk controlling structure. Advanced MIS system has important function to the risk management in financial derivatives trade.Secondly, to establishing credit risk management mechani The commercial bank is engaged in the property liabilities business for many years, he already become a credit evaluating system, but apply to the financial derivatives trade still insufficiency, develop credit risk management mechani to mainly need to build up a risk management system that pierces through to the whole process perfectly, be engaged in the credit valuation before the trade, operation controlling in the trade, and performance tracker after the trade, to found a perfect system. To strengthening the credit management department, and make this dept. is administrated by the CEO or the board of director。Enhanced the credit risk management function, at the end, building up performance tracking mechani is important, according to the risk exposure and market value, thinking of enterprise financial statures, to manage the credit risk. Thirdly, to establishing financial market risk management frame According to the principle of marketing, accounting and supervising independence, we established the financial market risk management frame, its mainly department is VaR method to evaluate the risk of financial market, and compose with exposure method and pressure method. Because the VaR method has so many advantages, lots of financial institution use VaR as the risk management instrument to evaluate the risk of trade or investment portfolio, but its oneself has some defect, so combine together with other methods to carry on the full valuation to the financial market risk, and depend on the evaluation organizing a risk management frame. On another hand, the information disclose is still insufficiency on financial derivatives trade in our country. The financial institution should break the traditional finance accountancy’s frame, re-carry on the elemental definition of accountancy of the accountancy’s property, liabilities and income etc., and bring the
论文关键词: 金融衍生产品;风险管理;内控;监管;