基于含权与时序博弈的我国企业境外衍生品风险大单的形成与控制.pdfVIP

Vo l. 6 No. 3 第6 卷第3 期 管理学报 Chinese Journal of Management Mar.2009 2009 年3 月 基于含权与时序博弈的我国企业境外衍生晶 风险大单的形成与控制 张宗成1 彭 元1 胡江华1 ， 2 (1.华中科技大学经济学院; 2. 广西财经学院金融系) 摘要:设计了一个简单的模型，解释了大额支易冲动，在保证金交易制下，大单交易其实 含有一个自动实现的免费期权。这种冲动在2 种情况下得到强化z ①将操作人员的业绩与奖惩 挂钩，因盈利操作得到的奖励比同额的亏损操作得到的惩罚要大;②存在一个公司亏损佳，当 亏损增加时，对员工的处罚程度已经元可复加，大单交易也给了操作员一个免费期权。这种大 单冲动的实现，既可能是公司内控机制的缺陷，还有可能是由于外部监管部门的信息与执行成 本过大导致公共监管缺失，因此，应从这2 个方面予以完善。 关键词:衍生品大单交易;内控;期权F 时序博弈;公共监管 申图分类号: C93 文献标识码:A 文章编号: 1672-884X(2009)03-0373-05 Formation and Control of the Risky Large Over-sea Derivative Orders by Chinese Enterprises-Based on the Implied Option and Timing Game ZHANG Zongcheng 1 PENG Yuan 1 HU Jianghua 1•2 (1. Huazhong University of Science and Technology , Wuhan , China; 2. Guanxi University of Finance and Economics , Nanning , China) Abstract: This essay designs a simple moclel to explain the impulsion of the large order and con- cludes the large order implies an automatically executed free option under the margin trading system. This impulsion strengthens under the following two conditions: in one hand , the operators perfor- mance will be associated with the bonus and penalty for the bonus from the profit is larger than the penalty from the loss; in another hand , there is a company loss value , when the loss increases , the degree of the penalty to the operator can not increase , that is the large order gives the operator a free option. However , the execution of the large order impulsion comes from the defect