本研究主要的目的在於研究實務經驗上承做頻率較高且客戶接受度較高 的匯率衍生性商品,做詳細的說明並針對案例做深入的分析與探討。如此一 來,除了可供金融業未來衍生性金融商品設計方向之參考,更可以提升企業 匯率避險操作之靈活度,創造雙贏的局面,本研究即以此為動機,探討國內 企業避險操作的實務現況,其結論歸納如下: 一、 交易策略應愈簡單愈好,勿建立太過複雜之部位,而難以估算部位可能 發生的損益,或遭遇匯率波動迅速時來不及修正策略,同時應考量潛在 避險或操作成本是否過高。 二、 交易策略應以短期可反映效果之部位為主,例如組合式選擇權設定提前 出場條件,大約是二到三個月可出場較理想,總部位天期應以一年內為 主,應避免讓部位曝露在長天期的不確定性中。 三、 交易策略應以實質需求為基礎,勿過度避險而承擔不必要的風險,交易 動機應以鎖定企業匯率成本上限或保障企業獲利為優先,進行操作前應 充分了解可能產生的機會與風險。
This thesis is an in-depth case study which aims to investigate the practical experience of the more common foreign currency derivatives. Results of this thesis wish to provide for future design of the financial sector as a reference of financial derivatives, and also enhance the flexibility of exchange rate hedging operations. In this thesis, in an attempt to explore the practical operation of domestic enterprises hedge status, its conclusions are summarized as follow: 1. The trading strategy should be as simple as possible without too many complex parts. This is to ensure accurate estimation of the loss site may occur and to avoid rapid fluctuations in exchange rates which might lead to emergent modification strategies. Potential hedging or operating costs should also be taken into account. 2. Trading strategies should be short-termed that reflects the results. For example, ideal attachment of early termination conditions in structured products should be about two to three months, with a total area day period within one year. Exposure of main parts should be avoided of uncertainty. 3. Trading strategies should base on actual demands to avoid over-hedged and unnecessary risks. Trading motivation should focus on the maximum limit of transaction costs or corporate profits protection as first priority. Possible opportunities and risks which might occur should be fully analyzed before handling operation.
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