《企业会计准则第24号——套期保值》应用指南

一、套期工具 （一）根据本准则第五条规定，衍生工具通常可以作为套期工具。衍生工具包括远期合同、期货合同、互换和期权，以及具有远期合同、期货合同、互换和期权中一种或一种以上特征的工具。比如，企业为规避库存铜品价格下跌的风险，可以通过卖出一定数量铜品的期货合同加以实现，其中卖出铜品的期货合同即是套期工具。     

建筑钢材采购价格组成与采购成本控制

钢贸企业物资采购价格一般由物资进价成本、采购管理成本和物资存储成本等内容组成。钢贸企业钢材价格受企业内外多重因素影响。本文从建筑钢材的市场走势、贸易定价模式以及钢贸企业建筑钢材的采购价格组成及影响因素出发,探寻钢贸企业建筑钢材采购的成本优化控制策略,并从供需关系、企业管理、采购管理数字化升级以及期货套期保值四个方面进行阐述。     

实行期权持股 激发企业经营者原动力

一、什么是期权持股要了解期权持股,首先必须了解期权。期权是期货品种之一,是期货合约选择权的简称,它是指持有人在支付规定费用后,就拥有在一定时间内以约定价格向合约方购买或出售有关标的物合约的权利。通俗地讲,当你支付费用后就拥有了相应的权利。期权是一种交易工具,它作为期货交易的创新品种,在世界上第一个期货交易所芝加哥期货交易所成立１３４年后的１９８２年正式产生,为期货市场开辟了一片新天地。期权按形式可分为看涨期权、看跌期权、双向期权;按标的物可分为外汇期权、利率期权、指数期权、期货期权等;按执行日不…     

基于期货期权的融资租赁承租方决策创新

期货期权作为金融工具创新的成果，对公司理财产生着深刻的影响。它们既是先进的公司理财工具，同时，也是一种先进的公司理财观念。融资租赁作为承租方的一种特殊的筹资方式，不仅与期货期权达到了完美的融合，而且可利用期货期权的思想设计新型租约，为承租方规避风险、套期谋利。     

基于期货与期权的套期保值策略

人们在交易现货时,时刻受到价格风险的冲击,使用套期保值策略可以有效地规避这种现货价格风险.套期保值策略是使用期货工具对将来交易现货的价格风险进行对冲,或者使用期权工具改变将来交易现货时出现的不利局面.人们以期货作为工具进行套期保值研究较多,1979年Ederington提出了最小方差法.近年来国内学者又提出了最大效用套期保值和组合套期保值.然而,对使用期权作为工具进行套期保值的研究比较少.本文研究同时使用期货和期权两种工具共同对现货进行套期保值,规避在将来进行现货交易时所遇到的现货价格风险.     

基于期货期权的融资租赁承租方决策创新

期货期权作为金融工具创新的成果,对公司理财产生着深刻的影响,其既是先进的公司理财工具,同时也改进了公司的理财观念。融资租赁作为承租方一种特殊的筹资方式,与期货期权达到了完美的融合,因此可利用期货期权的思想设计新型租约,为承租方规避风险、套期谋利。一、期货期权与融资租赁的完美融合——基于承租方的视角在融资租赁中,承租方可视为期货多头方,其特点主要体现在以下几个方面:(1)承租方支付一定保证金后,只需按期支付事先约定好的租金即获得了设备的使用权,事先约定好的租金相当于期货中的履约价格(本文称之为履约租金)。(2)不同…     

金融期货与期权业务的会计核算

金融衍生工具是一种运用于债券、股票等金融资产交易中的新的融资技术。金融衍生工具与其它融资工具不同,其本身不具有价值,其价格是从运用衍生工具进行买卖的股票债券等有价证券的价值中衍生出来的。衍生性给予了这种新的融资工具以广泛的运用空问和灵活多样的交易形式。金融期权与金融期货便是其主要的交易品种。金融期货是交易双方在将某一特定时期。以预先确定的价格对某种特定的金融资产进行买卖的交易方式。金融期货是商品期货的衍生产品,包括通货期货、利率期货、股价指数期货等基本形式。与传统的商品交易期货相比,金融期货有信…     

企业汇率风险管理研究

本文针对企业汇率风险的规避问题,对远期、期权、期货、货币互换等金融衍生工具进行了探讨,以期为企业汇率风险管理提供参考。     

基于套期保值业务的期货、期权问题研究

随着期货、期权等衍生工具的发展,企业在经营中经常会投资衍生产品对其经营风险进行风险对冲,由此产生了套期保值操作.本文阐述了套期保值的基本概念,分析期货、期权等衍生品在套期保值中的应用策略,并以证监会对套保业务相关法规及审核关注点切入,对套期保值尽职调查要点、规范措施进行总结,同时研究套期保值会计处理方法应用中应该注意的问题,供企业管理者、金融服务人员在实际工作中参考.     

股指期货的推出对股票市场的影响

股指期货可减少股票市场的波动 股票市场的波动即投资股票的风险。尽管股指期货的推出可能会在短期内引起股票市场的波动,但从长期来看反而会降低股票指数的市场风险。期货与期权、掉期等金融衍生品都有一个共性：都是建立在一个标的资产之上的投资工具。一旦脱离了标的资产,衍生品将不复存在。对于股指期货来说,其标的资产就是期货合约中所约定交割的股票指数。     

Unemployment risk, house price risk and the transition into home ownership in the United Kingdom

Using household panel data, this paper examines the impact of income uncertainty, in the form of unemployment risk, on home ownership in the United Kingdom. The existing literature based on cross-sectional studies finds a negative relationship between income uncertainty and home ownership. This paper utilises data on transitions into home ownership and exogenous variation in unemployment risk, avoiding the endogeneity of employment to home ownership status. It also conditions the empirical estimates on a measure of house price volatility utilising a local-level house price index to control house price risk, which might also discourage home ownership. Results show a strong role for unemployment risk in lowering the likelihood of house purchase, but no statistically significant role for house price risk.     

Crude oil price dynamics with crash risk under fundamental shocks

Our paper presents a crude oil price model in which the price is confined in a wide moving band. A price crash occurs when the price breaches the lower boundary where a smooth-pasting condition is imposed. Using an asymmetric mean-reverting fundamental (supply/demand) shock, the solution derived from the oil price equation for the model shows the oil price follows a mean-reverting square-root process, which is quasi-bounded at the boundary. The oil price dynamics generates left-skewed price distributions consistent with empirical observations. A weakened mean-reverting force for the price increases the probability leakage for the price across the boundary and the risk of a price crash. The empirical results show the oil price dynamics can be calibrated according to the model, where the mean reversion of the price dynamics is positively co-integrated with the oil production reaction to negative demand shocks, and with the risk reversals of the commodity currencies, the Canadian dollar and the Australian dollar in currency option markets. The results are consistent with an increased price crash risk with negative demand shocks and negative risk reversals. The forecasting performance of the oil price model is better than the futures-spread models and random walk models during the crash periods. While the price of oil was above the lower boundary for most of the time, the conditions for breaching the boundary were met in 2008 and 2014 when the price fell sharply.     

Variance trading and market price of variance risk

This paper develops a new approach for variance trading. We show that the discretely-sampled realized variance can be robustly replicated under very general conditions, including when the price can jump. The replication strategy specifies the exact timing for rebalancing in the underlying. The deviations from the optimal schedule can lead to surprisingly large hedging errors. In the empirical application, we synthesize the prices of the variance contract on S&P 500 index over the period from 01/1990 to 12/2009. We find that the market variance risk is priced, its risk premium is negative and economically very large. The variance risk premium cannot be explained by the known risk factors and option returns.     

A scenario-based integrated approach for modeling carbon price risk

Carbon prices are highly dependent on government emission policies and local industrial compositions. When historical data does not exist or limited price data can only be sourced from another country, scenario analysis becomes the only tool for the modelling of future carbon prices. However, various plausible but equally possible scenarios can produce large variations in forecast carbon prices. In a traditional approach of scenario analysis, investment decisions or risk management strategies are proposed and analysed for each given scenario, optimal solutions are determined. However, when the number of scenarios becomes large, it often becomes too complex and intractable to have a clear view on the selection of investment decisions or risk-management strategies because these decisions and strategies are closely linked with each of the many scenarios. In this paper, it is proposed to use a stochastic mean-reversion model to represent future carbon price movements, but this model is calibrated to the forecast carbon prices of all the scenarios. In this approach, a single model is used to capture the underlying uncertainty and expectation of the stochastic carbon prices as projected by all the scenarios, carbon price risk can thus be modeled and analysed without the need for direct references to any specific scenarios. The modelling and management of long-term carbon-price risk are therefore purely dependent on future carbon price levels and volatilities of these scenarios, instead of on the scenarios themselves. Through such an approach, the optimization of investment decisions and risk management solutions can be much simpler because the forecasted carbon prices are the only input data.      

Trade credit financing and stock price crash risk

This study investigates the association between trade credit financing and stock price crash risk within China's context. We find that firms using more trade credit financing have significantly lower future stock price crash risk. This negative association is more pronounced for firms with greater information asymmetry and for firms located in less developed financial markets. This finding is robust to the endogeneity concern, alternative measures of stock price crash risk, and the inclusion of other factors identified in prior studies that might affect stock price crash risk. Further evidence suggests that both the monitoring mechanism and the disclosure mechanism drive the documented relation. Our study suggests that access to trade credit can significantly reduce the likelihood of crash risk in a country like China with less developed formal bank financing. Our study also suggests that investors can effectively avoid stock price crash risk by using the trade credit information disclosed in financial statements.     

House price risk and the hedging benefits of home ownership

Using a repeat-sales methodology, this paper finds that estimates of house price risk based on aggregate house price indices substantially underestimate the true size of house price risk. This is the result of the fact that aggregate house price indices average away the idiosyncratic volatility in house prices. Additional results show that the idiosyncratic risk exceeds the hedging benefits of home ownership. These results imply that for many home owners, owning a house may well add more price risk than it hedges away. These findings are based on a detailed dataset of individual housing transactions in the Netherlands.     

Corporate hedging and input price risk

Input price variability is an important source of risk for corporations that process raw commodities. Models of optimal input hedging are developed in this paper based on the maximization of managerial expected utility. The relationship between hedging strategies and output decisions is examined to assess the impact of the ability to set output prices on futures market participation. As a firm's ability to set output prices diminishes in the short run, input futures positions increase although the optimal hedge ratio may either increase or decrease. For a perfectly competitive firm, however, shifts in output price caused by input price changes provide a natural cash market hedge of input price risk and reduce the firm's optimal input futures position.     

An exploration of factors influencing the choice of commodity price risk mitigation strategies

Most firms are exposed to price volatility associated with commodities, which can significantly affect the price paid for raw materials, energy, packaging, shipping, and component purchases. Commodity price risk represents the financial, operational and informational effects of commodity price volatility (CPV). The purpose of this paper is to contribute to the supply chain risk management literature by providing a taxonomy of commodity price risk mitigation strategies and factors that may influence the adoption of these strategies. A qualitative study was conducted using a grounded theory approach, based on case studies of companies with home operations in Italy, Germany, and the US. The paper provides some initial evidence for theory and practice as to: 1) how firms can mitigate the risk from CPV by implementing various sourcing, contracting, and financing strategies; and 2) the influence of commodity/product factors, buying organization factors, supply chain factors, and external environment factors on strategy capability and choice.     

Hedging and the competitive firm under correlated price and background risk

This paper examines the behavior of the competitive firm under correlated price and background risk when a futures market exists for hedging purposes. We show that imposing the background risk, be it additive or multiplicative, on the firm has no effect on the separation theorem. The full-hedging theorem, however, holds if the background risk is independent of the price risk. In the general case of the correlated price and background risk, we adopt the concept of expectation dependence to describe the bivariate dependence structure. When the background risk is additive, the firm finds it optimal to opt for an over-hedge or an under-hedge, depending on whether the price risk is positively or negatively expectation dependent on the background risk, respectively. When the background risk is multiplicative, both the concept of expectation dependence and the Arrow–Pratt measure of relative risk aversion are called for to determine the firm’s optimal futures position.     

Exchange options for catastrophe risk management

In this paper, we investigate the pricing issue and catastrophe risk management of exchange options. Exchange options allow the holder to exchange its stocks for another at maturity and can be seen as an extended version of catastrophe equity put options with another traded asset price as strike prices. Since option holders have to issue new shares to exercise the option, we illustrate the differences between option prices calculated using pre-exercise and post-exercise share prices. The effects of default risk on option prices and risk management are also considered. Finally, risk management analysis shows that exchange options can effectively hedge catastrophe risk.