汇率风险，又称汇兑风险，是指经济实体以外币定值或衡量的资产与负债、收入与支出，以及未来的经营活动可望产生现金流的本币价值因货币汇率的变动而产生损失的可能性。可分为交易风险、折算风险（会计风险）、经济风险（经营风险）三种。
摘要
2005年外汇形成机制改革以来，我国开始实行以市场供求为基础，有管理的浮动汇率制度。同时随着世界经济一体化的发展，我国企业海外投融资规模稳定快速增长，国际外汇市场起伏不定、变化莫测，人民币汇率浮动范围也趋于增大，我国涉外企业面临着前所未有的外汇风险压力。鉴于汇率风险对于相关企业曾经造成的严重损失以及我国企业的汇率风险控制能力、经验不足，如何通过有效的技术与工具进行非金融类企业汇率风险的控制，成为具有重要的理论价值和实用意义的课题。从是否利用金融衍生工具的角度，可将汇率风险的管理方法归纳为两种类型。一种为传统的避险方法即不利用金融衍生工具的汇率风险管理方法，相关的理论研究已相当成熟，而且我国有关主体为数不多的汇率风险管理操作也往往采用这类方法，另一种为利用金融衍生工具的汇率风险管理方法，因其在实践应用中卓有成效而成为理论研究的重点领域。
本文试图借鉴国内外外汇分析的理论与方法，结合人民币汇率的风险特征和我国外汇市场的发展，通过对外汇风险的种类、特征等方面的分析，揭示企业经营管理过程中的外汇风险问题，分析研究外汇风险在企业会计处理中确认、计量、信息披露的原则与方法，并从财务方面探析外汇风险的管理策略与方法。文章为我国企业衡量外汇风险水平、制订管理策略、选择规避途径等分析过程提供方法和安全的参考，并提出若干建设性的管理思路。
本文包括四部分：
本文围绕涉外经贸企业(特别是进出口企业)如何运用金融衍生工具管理汇率风险这一主题，分为4个部分
首先分析了我国外贸企业汇率风险的现状及利用衍生工具管理企业汇率风险的意义，进一步分析了我国外贸企业汇率风险的影响因素，主要包括防范意识、相关制度、汇率市场发展情况、人才发展情况介绍了金融衍生工具的产生与发展、金融衍生工具的功能和核心以及在在风险管理中相对传统风险管理方式的优势。同时阐述了风险管理与金融衍生工具的本质及其内在联系，论证了金融衍生工具在风险管理中具有比较优势。
接着系统地研究了汇率风险的内涵与具体形态, 在我国研究利用金融工具管理汇率风险的现实意义和几种最重要金融工具的应用条件、作用原理，具体分析了远期结售汇、货币互换、外汇期货、外汇期权等衍生金融工具是如何控制外贸企业汇率风险的。
企业在利用外汇衍生工具进行汇率风险控制的同时，金融衍生工具交易本身的风险不可避免，由于衍生工具交易中滥用、误用金融衍生品而最终导致企业破产的惨剧不断上演，警示我们在利用衍生工具套期保值时，必须对外汇衍生品交易采取谨慎有效的防范，鉴于此，在本文第二部分同时介绍了衍生工具交易风险的类型、评估方法和防范措施。
同时为了说明问题，在文章第三部分进一步通过案例分析，针对我国企业在进出口贸易中的实际情况，提供一些具体的、操作性比较强的方法和技术，包括目前已经实行的人民币远期结售汇业务以及货币互换，使企业不论是在经常项目下人民币可兑换阶段，还是在以后的人民币完全自由兑换阶段，都能够根据自己的实际选择合适的管理策略和手段，以规避外汇交易风险，或者使外汇交易风险对企业的经营影响最小化。
最后，立足于中国现实状况，分析了我国涉外企业管理汇率风险的必要性并以具体案例介绍了在当今中国市场上，企业如何运用金融衍生工具进行汇率风险管理；针对目前中国企业管理汇率风险的现状与不足，提出了防范汇率风险的对策构想。
关键词：汇率风险 衍生工具 货币互换
Abstract
China has implemented floating exchange rate mechanism on the basis of the market supply and demand since the innovation in 2005. Both the changeable international foreign exchange market and the increase of RMB exchange rate change will definitely impose unprecedented foreign exchange exposure on large and medium scale firms involving international trade and economic cooperation. In view of the great loss incurred by firms due to unsuitable management of the foreign exchange exposure，study on how to control firms' exchanger at exposure based on application of effective technology and instrument，will be highly valuable in the academic sense and be of practical meaning. The thesis focuses on the controlling firms' exchange rate risk by means of financial derivatives trade，discussed why and how to determine the financial tool .
Methods of exchange rate risk management could be divided into two categories according to the utilization of derivatives. One is the traditional method that does not use derivatives, and the other is the opposite. Comparatively, the former has been thoroughly investigated theoretically, and is usually adopted in exchange rate risk management in China, though the management practice itself is rear; the later has been becoming the focus of researchers because of its performance risk control.
This essay analyses the Characteristics of foreign exchange risk, together with peculiarity of RMB exchange market. It also discloses corporate ruling
Problems of foreign exchange risk, studies accounting principles and procedures of confirmation, measurement, disclosure, as well as financial management strategies and methods. The aim of this essay is to provide domestic enterprises with some reference of measuring risk magnitude, making strategy and choosing hedging methods. It also suggests some ideas of risk management
The thesis, whose objective is to address the issue of exchange rate risk management with derivatives, it consists of four parts：
First it analyzes the present exchange exposure of our enterprises and the value of financial derivatives trade, and then further discusses the impact element of our exchange exposures including the awareness, relevant rules and the exchange market. And then introduces the origin, development, function and essence of the derivatives, analysis its advantage of risk management compared with the traditional methods. In the meantime, explains the essence and internal connection of risk management and derivatives, and argues that derivatives have comparative advantages in risk management. Then it systematically introduces the connotation and concrete forms of exchange rate risk.
Then we discuss the importance of application of financial instruments in China. Upon discussing of the financial instrument using condition, working theory, we then give an idea of their application in China and the hedging efficiencies and further discuss the tools such as exchange settlement and sales in future，currency swap，futures exchange，exchange option in details.
In view of the potential and great risks accompanying financial derivatives trade and horrible catastrophes resulted from abuse of derivatives trade, identification, measurement of the related risks and their appurtenant precautionary measures are discussed in the meanwhile Cases of LTCM, Barings and etc. are analyzed in depth, and related theoretic summarization in respect of risk management is made。
In order to explain the issue, with a case study，taking consideration of reality in import & export business, this article comes up with some concrete, relatively high functional methods and technology including currently carried out RMB forward transactions and currency swap which enable enterprises to choose proper management strategy and tactics in conformity with their condition to avoid foreign exchange transaction risk or minimize its impact on operation, no matter it is in the stage of convertible under current account or in the stage of completely free exchange regime in the future.
Finally, based on the realistic situation of China, it analyzes the necessity to manage exchange rate risk for domestic enterprises and introduces how to manage the exchange rate risk on the Chinese market with a case. Moreover, to the present situation and deficiency of China's exchange rate risk management, it puts forward some countermeasure against the exchange rate risk.
Key Words: Exchange rate exposure Derivatives currency swap
目录
摘要 1
第一章 引言 7
第一节 研究背景 7
第二节 研究方法 8
第三节 论文结构 8
第二章 文献综述 9
第三章 我国外贸企业汇率风险的现状 11
第一节 我国外贸企业汇率风险的现状 11
一、外债原因产生的汇率风险逐渐显著 11
二、汇率风险已经成为影响外贸企业利润的重要因素 11
三、汇率风险管理水平差异较大 12
四、沿海外贸企业防范汇率风险意识强于内陆企业 13
第二节 我国外贸企业汇率风险管理存在问题的成因分析 14
一、防范外汇风险的意识较弱，缺乏外汇风险管理 14
二、中国企业的外汇风险管理面临特有的制度性约束 14
三、汇率市场发展程度和人才的制约 14
四、我国外贸企业利用衍生工具管理汇率风险的意义及问题 15
第四章 我国外贸企业基于衍生金融工具汇率风险控制的理论研究 17
第一节 我国现阶段汇率风险的特殊表现 17
一、汇率风险在我国主要表现为交易风险 17
二、经济风险日益凸现 18
第二节 金融衍生工具的产生与发展 18
第三节 金融衍生工具的功能分析 19
一、金融衍生工具的核心是风险管理 19
二、金融衍生工具在风险管理中相对传统风险管理方式的优势 21
第四节 衍生金融工具控制外贸企业汇率风险的具体分析 21
一、远期结售汇 21
二、货币互换 23
三、外汇期货 25
四、外汇期权 27
第五章 衍生金融工具控制外贸企业汇率风险案例分析 30
第一节 案例背景介绍 30
第二节 案例分析与思考 31
一、远期结售汇交易实际应用与分析 31
二、以货币互换发挥相对优势，控制筹资成本 34
结束语 38
研究结论 38
研究展望 39
参考文献 40
致谢 42
