我国大型煤炭企业国际化进程中的外汇风险管理研究
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摘要
本文首先分析了我国大型煤炭企业国际化进程的历史背景及金融危机后所带来的机遇,运用SWOT分析法对企业内部具备的优势和劣势及外部所面对的机遇和威胁进行了综合分析,发现我国大型煤炭企业实施国际化进程中外汇风险是重要的风险之一,揭示出加强外汇风险管理研究的重要性和实际意义。其次,在对外汇风险进行系统研究时对企业具体业务中存在的风险暴露点进行识别,归纳出主要的外汇风险因素。引入VaR模型对风险进行了度量,确立了系统评估外汇风险的指标体系。再次,根据煤炭企业具体业务的特点、外汇风险评估模型和风险度量模型制定了外汇风险评估原则,并引入系统动力学和动态优化决策分析等方法,建立了风险控制模型。对大型煤炭企业出口收汇、进口付汇、外币贷款债务及境外项目投资等业务中的外汇风险进行了定性和定量相结合的估计评价分析。然后,以对中国、美国、日本三国的日汇率数据为例,运用ARCH、GARCH、 EGARCH检测法进行了汇率波动性实证分析,同时通过对国内大型煤炭企业HW公司的日元外债低息贷款和澳大利亚WM煤炭项目竞标资金支付的案例分析,验证了外汇风险度量方法的有效性和实用性。最后,结合决策支持系统理论,设计出我国大型煤炭企业国际化进程中外汇风险管理的决策系统,为企业规避外汇风险,进行科学决策,提供了有力支撑。
The paper firstly analyzes the historical background of the internationalization process of China-based large-scale coal enterprises and the opportunities brought by the financial crisis, adopts the SWTO analysis to comprehensively analyze the internal strengths and weaknesses as well as external opportunities and threats of these enterprises. It finds out that foreign exchange risks are a major kind of risks in the internationalization process of large-scale coal enterprises in China, and reveals the practical significance to strengthen the research on foreign exchange risk management. Secondly, it identifies the risk exposure points in specific business operations during the systematic research on foreign exchange risks, and summarizes main foreign exchange risk factors. The VaR model is introduced to measure risks and the indicator system is established to systematically assess foreign exchange risks. Thirdly, according to the specific characteristics of the business of coal enterprises, foreign exchange risk assessment models and risk measurement model, it developed foreign exchange risk assessment principles, and the introduction of system dynamics and dynamic optimization methods such as decision analysis, risk control model. It conducts qualitative and quantitative estimation, evaluation and analysis of foreign exchange risks in such business areas as foreign exchange collection for coal exports, foreign exchange payments for coal imports, foreign currency loan debt, and overseas project investment. Then, taking the daily exchange rate data of China, United States and Japan, the paper empirically analyzes the exchange rate fluctuations with ARCH, GARCH and EGARCH test methods, and meanwhile, verifies the effectiveness and practicality of foreign exchange risk assessment methods through case study of the yen-dominated foreign debt and low-interest loan, and the bidding payment for an
Australian WM coal project of China HW Company. Finally, according to the theory on decision support system, the paper designs a decision system for foreign exchange risk management in the internationalization process of China's large-scale coal enterprises so as to vigorously support their scientific strategic decision-making regarding internationalization.
The paper firstly analyzes the historical background of the internationalization process of China-based large-scale coal enterprises and the opportunities brought by the financial crisis, adopts the SWTO analysis to comprehensively analyze the internal strengths and weaknesses as well as external opportunities and threats of these enterprises. It finds out that foreign exchange risks are a major kind of risks in the internationalization process of large-scale coal enterprises in China, and reveals the practical significance to strengthen the research on foreign exchange risk management. Secondly, it identifies the risk exposure points in specific business operations during the systematic research on foreign exchange risks, and summarizes main foreign exchange risk factors. The VaR model is introduced to measure risks and the indicator system is established to systematically assess foreign exchange risks. Thirdly, according to the specific characteristics of the business of coal enterprises, foreign exchange risk assessment models and risk measurement model, it developed foreign exchange risk assessment principles, and the introduction of system dynamics and dynamic optimization methods such as decision analysis, risk control model. It conducts qualitative and quantitative estimation, evaluation and analysis of foreign exchange risks in such business areas as foreign exchange collection for coal exports, foreign exchange payments for coal imports, foreign currency loan debt, and overseas project investment. Then, taking the daily exchange rate data of China, United States and Japan, the paper empirically analyzes the exchange rate fluctuations with ARCH, GARCH and EGARCH test methods, and meanwhile, verifies the effectiveness and practicality of foreign exchange risk assessment methods through case study of the yen-dominated foreign debt and low-interest loan, and the bidding payment for an
Australian WM coal project of China HW Company. Finally, according to the theory on decision support system, the paper designs a decision system for foreign exchange risk management in the internationalization process of China's large-scale coal enterprises so as to vigorously support their scientific strategic decision-making regarding internationalization.
引文
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