- 學位論文
國際工程公司外匯風險管理研究
Foreign Exchange Risk Management for A Global Engineering & Construction Company
摘要
有鑒於個案研究之對象，中鼎工程公司，在最近幾年成功地拓展了國際業務，海外收入與外匯部位逐年增加，匯率風險管控的問題，猛然成為高度急迫性的課題。外匯風險管理的研究為數不少，但以工程行業特性為個案，從實務上去研究合適的風險管理機制相對地少。國際工程統包業營造有其獨特的一面，而風險管理機制是要從專案投標開始就必須啟動的。在專業執行過程中,現金流量的準確度及時性是良好避險的基礎。因之，資訊系統的良窳也成為關鍵。 本研究基於個案公司的需要、行業的特性，以個案實例，分析其歷史資料，從中瞭解因為外匯部位隨國際工程增加，相對微薄的毛利受匯率變化的敏感度大幅提高。外匯的需求存在的不確定性，更使整體行業風險暴露加大。而減少外匯淨額及早期確定幣別與部位，將有助於風險的降低。另一方面，本研究也發現個案，資訊系統功能，無法有效因應國際工程日趨複雜的運作。現金流量系統的準確度與及時性的問題，為配合營運的需要，引進新一代資訊整合系統實刻不容緩。 本研究從個案外匯風險管理的現況了解策略，作業準則未能明確建立為另一風險，必須著手改善。在建立管控機制之外，本文也歸納遠期外匯(Forward)及換匯交易(SWAP)為現階段最適合的避險工具。為了更確立避險的目的，本研究進一步分析避險績效，避險之衍生性商品評價與匯率變化的關係，確定完全不避險及一次全部避險並不能符合公司營運的目的。因此，歸納動態避險法則，把匯兌損益限制在一可接受的範圍，最符合以避險為目的風險管理的原則。為了進一步確認其可行性及操作的原則，本研究也利用既有的資料，設計一操作模型，加以實際演練，其結果也頗能符合預期的避險效果。因此，如果後續再作更深入的規劃，或可以成為可行的外匯操作的作業程序。綜合以上各項研究結果，希望對個案公司在外匯風險管理上有所幫助。
並列摘要
As a leading engineering, procurement and construction (EPC) firm in Taiwan, CTCI Corporation has recently expanded its reach to global market. Along with the increasing overseas revenue, foreign exchange risk management turns into a critical issue for its operation. There are considerable researches published on the topic of foreign exchange risk management, exchange rate forecast, financial tools for risk management and so forth. However, it's not readily available for those specifically for EPC industry. EPC industry is unique in terms of business operation, and foreign exchange management needs to be implemented from the beginning stage of bidding. During project execution, the creditability and maintenance of cash flow system are key success factors of a sound foreign exchange risk management. To understand the risk exposure, this research is focused on the operations and business pattern of the EPC firm and thus, uses it as a particular case for study. A series of analysis to the historical data were carried out during the process. The marginal profit out of its revenue has been fragile against the impact of exchange risk. Demand of foreign exchange is of less credibility due to incapable system, improper budget planning and uncertain procurement and therefore, increases risk exposure. To minimize the net aggregated foreign exchange or to confirm procurement earlier will be helpful on reducing the risk. In addition, this research identifies the current IT system of the company is no longer satisfying the requirements of the sophisticated function of a global company. Therefore, to equip the operations with state-of-the-art ERP system shall be of higher priority on resolving cash flow issues. Through survey, the researcher understood another risk of lacking hedging strategy and operational standard of foreign exchange risk management. In the thesis, two hedging instruments, "Forward" and "SWAP" are recommended for risk management in consideration of their simplicity and easiness for control. In analysis of the suitable portion (percentage) of net foreign exchange to be hedged, the research also addressed that 100% and zero hedging strategies are not the real solutions to foreign exchange risk issues as the profit or loss could be the highest among all, which is not preferable in terms of risk management and valuation of financial assets for hedging. To have effective risk avoidance, a dynamic hedging model is proposed. The model is based on the concept of limiting the risk to a certain level, which is acceptable to the company. To make sure the model is workable, an operation model was designed and the actual exercise using the historical data was conducted. The result seems satisfactory. Therefore, it's believed that, through further study and rectification, the model may be applicable to the foreign exchange risk management potentially in the future.