衍生金融工具风险的会计管理研究
文在此对衍生金融工具风险会计管理模式提出系统设想，希望借用会计特有的语言，运用表内和表外等多种披露模式，对其风险加以揭示和预警，最终实现对衍生金融工具进行会计管理的目的。
关键词：衍生金融工具；风险；风险度量；会计管理
Abstract
Derivative Financial Instrument (D.F.I.) is a kind of new financial product derived from the basic instruments in the money market. It was mainly the result of the financial innovation in 1980’s and became more and more lively in the international market. In 1990’s it played a more important role and became the focus in the financial world, causing the broad argument. The Bahrein bankruptcy event in Feb 1995 shocked the whole word and forced people to reconsider D.F.I. and the risk management and exposure neglected before. Now the foreign researchers emphasize particularly on the influence of the information quality of financial report forms from innovation of D.F.I, from the viewpoint of the bank. However China consider its actual reflection on the financial information, concerning the enterprise. Both are complementary to each other and do some basic research on the confirmation, computation and the exposure of D.F.I. in theory primarily. But it lacks in the details about the way of financial affairs and accounting activities on D.F.I.’s risk management. This is just the essay’s purpose to supplement what the former studies lack in.
Ⅰ
5
衍生金融工具风险的会计管理研究
The foreign researchers began to work on risk early and the work was also systemic in its theory which can be divided into four periods.
The first period is the beginning of risk management ideas. The earliest one can be cast back to Aristotle’s time, which is called the Bible Time in economic history. There was no systemic theory formed as the Even’s pure expectation hypothesis and the liquidity preference hypothesis founded by J.R. Hickes and J.M. Karboterin as the symbols. Pure expectation hypothesis considers traditionally that the long debts anticipative annual average income is the geometry average of anticipative short profit； On the contrary, adjusted pure expectation hypothesis thinks that the liquidity of short –term debts is higher than that of long-term debts. During this period, research on the interest rate deadline structural theory promoted the development of interest rate risk management research between the field of reality and theory.
The second period is the forming period of the early risk Management idea. Markerwick’s Average Value-Variance theory, Harlow’s Property Disposition theory, Capital Asset Pricing Model and Option Pricing theory are the magnum opus. Average Value-Variance theory first introduced the two conception of expectation and variance into the research of capital combination, proposed to measure the anticipative income by using the expectation of the capital income and to measure the risk by using the capital yield gap. It also introduced the conceptions of system risk and non-system risk and the calculating way of the best investing combination to minimize the investing risk under the anticipative yield lever. Harlow’s LPMn on capital collocation model proved the high efficiency in order to meet the needs of reality on theory research. Concerning the disadvantage of Downside-Riskin’s method, in 1970’s Willian.Sharpe（1964）、Lintner（1965）and Mossin（1966）deduced the Capital Asset Pricing Model(C.A.P.M) individually.
CAPM discloses the function rules of capital markets and was greatly instructional to the investment in the capital markets.
Till now the western financial workers、people in financial and economic field have been taking the CAPM as the important tool of the risk problem which is used wildly in financial decision-making and risk management.
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
6
衍生金融工具风险的会计管理研究
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 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
7
衍生金融工具风险的会计管理研究
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 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.
8
衍生金融工具风险的会计管理研究
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
目 录
9