透過您的圖書館登入
IP:100.24.20.141
  • 學位論文

外匯衍生性金融商品之銷售與風險控管分析 ─以某中小型銀行為例

Sales and risk control analysis of currency derivative securities ─Take a medium-to-small bank as an example

指導教授 : 徐學忍 郭文忠
若您是本文的作者,可授權文章由華藝線上圖書館中協助推廣。

摘要


本論文探討金融機構為因應客戶需求及業務多元化而進行外匯衍生性金融商品之銷售與風險控管。近幾年來金融機構因存放款利差日漸縮小,紛紛利用資本需求較小之外匯衍生性金融商品之銷售來增益收入,更隨著主管機關的積極開放,使得國內外匯衍生性金融商品市場更為蓬勃發展。 外匯衍生性金融商品其交易原理係採高度槓桿操作,其運作只需支付少額的保證金或權利金或在金融機構申請外匯衍生性金融商品之授信額度即可開立部位操作,其交易風險遠大於外幣現鈔買賣。此外國內外匯衍生性金融商品交易幾乎集中於店頭市場,例如遠期外匯契約、匯率交換契約及匯率選擇權契約等,因其具備高度之自由,交易內容可隨交易對手之需求而量身定作,因此在金融機構之店頭市場從事外匯衍生性金融商品交易應特別注意風險控管。 本論文中並就外匯衍生性金融商品進行個案分析,首先公司簡介、公司架構及交易流程了解其運作方式,其次介紹金融機構銷售之金融商品種類,最後則針對目前實施之風險控管提出改善及建議。就個案分析中發現進出口廠商於金融機構承做外匯衍生性金融商品前,皆由營業單位提出申請承做外匯衍生性金融商品之授信額度,以作為擔保品或保證金,然而此舉卻使金融機構承受較高風險。其次進出口廠商從事外匯衍生性金融商品交易,以金融機構所授與之額度替代擔保品或保證金,其形式明顯為授信行為卻無需將使用授信額度依一般授信程序申報聯合徵信中心,此舉無疑造成進出口廠商信用擴張,形成金融機構潛在風險。本研究擬建請主管機關參照現行金融機構授信程序,金融機構於受理進出口廠商承做外匯衍生性金融商品應予申報聯合徵信中心之進出口廠商佔授信額度部位,以利金融機構風險管理。

並列摘要


This thesis aims at studying the sales and risk control on currency derivative securities performed by financial organization based on customer’s demand and business diversification. In recent years, due to the gradual reduction in interest rate between the deposit and loan, many financial organizations start to use the sales of currency derivative securities, which needs only small capital, to increase revenue; moreover, along with the aggressive and open attitude from government, the currency derivative securities market thus becomes booming. Currency derivative securities is based on high leverage operation, its operation only needs small amount of deposit or premium or the application of credit line of currency derivative securities at financial organization, it has much higher trading risk than foreign cash sales. Besides, most of the domestic currency derivative securities deals are at the over-the-counter market, for example, forward contract, currency forward contract, swap contract, etc., since it is highly free operation, the trading content can be customerized according to trading partner’s demand; therefore, risk control is very important when performing currency derivative securities at over-the-counter market of financial organization. Case study on currency derivative securities in this study, company profile and structure will be reviewed first, then the trading process will be further understood to see how it operates, furthermore, the category of financial products sold by financial organization will be further introduced, and finally improvement suggestions will be provided for the current implemented risk control policy. We find from the case study that before import or export company performs currency derivative securities operation at the financial organization, the sales department in the company will apply for a credit line for the operation of currency derivative securities, the credit line will be used as deposit or premium, however, this action will bring higher risk to the financial organization. Besides, when import or export company performs currency derivative securities trading, the credit lint authorized by the financial organization will be used to replace deposit or premium, it’s formally an accreditation behavior without doubt but the credit line does not have to be reported to the Joint Credit Information Center according to normal accreditation procedures, this action will lead to the credit expansion of the import or export company, which in turn is a potential risk to the financial organization. This study will suggest the authority organization to refer to the current accreditation procedures for financial organization, that is, when financial organization receives the application from import or export company for the operation of currency derivative securities, it should be reported to Joint Credit Information Center for the decision of a credit line, this is to facilitate the risk management in the financial organization.

並列關鍵字

Currency derivatives

延伸閱讀