衍生金融工具风险的会计管理研究
The third period is the modern risk management period. In this period, some economic measure mode was taken into account to model the risk management. The representative theory is the VaR model and the whole risk management. VaR managing technology is important and indispensable to measure the risk quantificationally. On the base of Probabilities, the TRM system, the advancement of financial risk management, absorbs other two factors, the Prices and Preferences, to obtain the best balance of objective measure and the subjective preferences in the three systems. So that we can manage both risk of the basic financial instrument and the one of D.F.I. to control the whole risk.
The fourth period is the modern period of present risk management. As all risk factors don’t function separately, but do with connective relations, all the risk should be managed in the whole system. Under this condition, the theory of whole risk management comes into being.
Ⅱ
Risk management is the avoid-less difficulty in the real enterprise prosecution. Different from the practical capital ，the D.F.I. has more risk and represents more mysteriously. We should know it clearly if we want carry out the accounting management of the D.F.I. risk. Therefore, this essay analyzes the D.F.I. with its risk features and causes.
Derivative Financial Instrument (D.F.I.) is a kind of new financial product developing from the original financial instruments. It is worthless because of its derivability and is influenced by the original price of commodity.
In addition, the transactions of derivative financial instruments request little initial net investment. The participants only need use the very few funds, and then carry on the huge transactions. So they can obtain by the small-great effect. Certainly, the leverage effect also enlarges the market risk. Therefore, the derivative financial instruments have the characteristic of the strong leverage effect.
Ⅲ
D.F.I. has the basic function of avoiding risk, tempting gain and speculating transaction. So some speculators, especially those in organization of the commercial bank, stockjobber and speculating fund, can use it to meet their needs of the risk and management company’s financing from which this essay expatiates it. In this part the author tries to explain the risk features of D.F.I. under the specific condition to prepare
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衍生金融工具风险的会计管理研究
for the next accountant management.
As the interest rate and the exchange rate fluctuate more and more fiercely, the risk management environment becomes more and more complex. So the people depend on the derivative financial instruments to manage the market risk more than before. All kinds of forwards, futures options and swaps form the management risk main method. But in order to overcome the concentration of the credit risk, the credit exchange, credit option etc are introduced into the eyes’ the related organization to manage the risk. But using the derivative financial instrument to flush the risk also has the risk itself. Therefore the transaction of flushing the risk with the derivative financial instruments should be firmly under control.
Ⅳ
The derivative products come from the traditional financial capital. It has the same economic benefit as the original capital and doesn’t bring any new risk. But as the derivative ones needn’t move the principal, but needs to pay some caution money, it affects like a level and will increase the original risk if used incorrectly. Concerning this, the correct evaluation of the risk value is the fist and important problem. In this part the author will put forward the value method through the models in the risk management thoughts.
The confirmation, measurement and disclosure of the derivative financial instruments challenge the present financial accounting system. Therefore it is difficult to only use the traditional accounting thoughts to give the objective descriptions of the risk. According to this, some more effective risk measure methods arise in response such as sensitivity analysis, risk value analysis, pressure test and so on. We hope to utilize related scientific financial model method to regulate the dispute subjective standards. Thus we enable the related information to satisfy the objectivity principle that the information quality requires.
Ⅴ
Control is the basic function of accountant information system which can affect on the risk management. When putting large amount of financial instruments business into such system to confirm, measure and reflect, we can provide the information users the capital of financial instruments, the debt’s value and it’s changing instance to help the
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衍生金融工具风险的会计管理研究
investors analyze and evaluate the value of their financial capital and primary debt, forecast the possible existent market risk, on the same time provide the warrant of the correct financing evaluation for the report form users to evaluate the financial risk.
According to the accountant controlling principle of the risk, the venture capital should be drawn carefully and the risk should be digested under the actual report forms system. We must attach importance to exposure principle for the risk can be regarded widely and kept away when exposed. The financial reports should enter not only the so western-called “annotations period”, but also the information period beyond the report forms”. The more can be considered to be exposed under the basic guarantee of its reliability and authenticity. The scientific principle should be used to develop the fourth report forms (also called the second profit and loss report forms) to expose the uncertain loss and report items by the more scientific way.
The D.F.I. business should be put into accountant management if we want to manage the D.F.I. and its risk financially to provide some information of the risk and influence of the D.F.I. business for the investors and other financial reports users. After international accountant field’s ten-year’s hard work and research, the D.F.I. system has been basically established. So this essay assumes the system of the D.F.I. and hope to expose and warn the risk, using the special accounting terms and the exposing styles both with the report forms and without so as to realize the accounting management of the D.F.I.
Key word：Derivative Financial Instrument (D.F.I.) ； Risk；Risk Measure ；
Accounting Management
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衍生金融工具风险的会计管理研究
目 录
第一章 引言 ...................................................... 1
一、衍生金融工具风险会计管理研究的背景 .......................... 1 二、相关问题国内外文献成果综述 .................................. 6 第二章 衍生金融工具及其风险 ........................................ 9
一、衍生金融工具及其特征 ........................................ 9 二、衍生金融工具风险类型及其成因 ............................... 10 第三章 衍生金融工具的具体运用 ..................................... 14
一、 衍生金融工具在风险管理中的应用 ........................... 14 二、衍生金融工具在企业财务管理中的应用 ......................... 18 第四章 衍生金融工具风险价值度量 .................................. 25
一、衍生金融工具风险度量的财务和会计问题 ....................... 25 二、 衍生金融工具风险度量模型 ................................. 27 第五章 衍生金融工具风险的会计管理 ................................ 32
一、会计信息系统在风险管理中的作用 ............................. 32 二、衍生金融工具风险的会计处理原则 ............................. 35 三、衍生金融工具风险的会计处理模式 ............................. 39 注释????????????????????????????????????????? 45 主要参考文献???????????????????????????????????? 47 后记????????????????????????????????????????? 51
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衍生金融工具风险的会计管理研究
第一章 引言
衍生金融工具是在原生金融工具基础上发展起来的新型金融工具，因此要研究衍生金融工具风险的会计管理，首先还是得要先从针对原生产品早期风险度量与管理方法谈起，因为衍生金融工具的风险管理方法都是在此基础上发展起来的。
一、衍生金融工具风险会计管理研究的背景
（一）萌芽期的风险管理思想
最早的风险管理思想可以追溯到亚里士多德时代，在经济思想史上所谓的圣经时代???。
1896年伊文·费歇尔提出纯粹预期假设——最古老的期限结构理论???，也许是最著名的、最容易应用的、定量化的期限结构理论，它在证券市场中被广泛用作利率相关证券的定价依据。这一假设的传统形式认为，长期债券的预期平均年收益是预期短期利率的几何平均。例如，期限为两个时期的几期利率可以被视为1年期即期利率和预期的下一年期利率的几何平均。按照纯粹预期理论，预期的未来短期即期利率等于收益曲线隐含的远期利率。为了包括风险因素，J.R.希克斯（J.R.Hicks，1939）和J.M.卡尔博特林（J.M.Culbertson，1957）对纯粹预期理论进行了修正提出流动性偏好假设。即短期债券的流动性比长期债券的流动性高。利率期限结构理论的研究促进了实务界与理论界对利率风险管理研究的发展。1938年Frederick Macaulay在此基础上进一步提出了利率持久期（Duration）和凸性（Convexity）的概念，持久期分析已成为利率风险管理的重要工具。
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