金融衍生品的定价能力和金融风险管理的关系及次贷引发....docVIP

金融衍生品的定价能力和金融的及次贷危机的启示 （中国科学院研究生院管理学院,: 本文从实践角度讨论由次贷危机133号与国际财务报告准则第39号（SFAS133/IAS39）“衍生金融工具和对冲会计账户”的会计准则讨论面临的挑战，并运用美国财务会计准则第157 号与国际财务报告准则第7 号 （SFAS157/IFRS7）“公允价值计量准则”中的关键概念“不履行风险”与“交易对手风险”和将市场风险概念与信贷风险因子结合起来，对内部估值模型计算出的金融衍生品的公允市场价值估值调整进行了讨论；期间分析了次贷危机带来的各项风险，并给出了实践中应对各项挑战的注意事项。在第四部分，我们简要论述通过加强公司有“财政/ 会计/ 财务部门”的风险管理职能，将市场风险管理运用到公司日常运营的利率风险、外汇风险、能源/商品风险以及相关对冲避险策略中。最后简要总结次贷危机的主要启示采取应对 (首席执行官、 首席财务官、首席风险官)、金融市场部风险经理、稽核部经理、会计部经理及交易服务台的金融专业人员等具有重要借鉴作用。 关键词：次贷危机金融II，风险偿付体系II，不履行风险， 交易对手风险，风险因子，金融工具，对冲会计账户，公允价值计量准则 Abstract: This paper discusses some challenge in response to the financial crisis and future economic uncertainty in terms of financial risk management, valuations for financial derivatives and application of current accounting standards with the emphasize in terms of practical perspective, by consisting of five parts. In part one, we discuss the relationship of the valuation for financial derivatives and the financial risk management in the practice for the exposure of financial derivatives risk. We like to point out that the reliable valuation ability is the foundation in managing financial risk for derivatives ongoing basis. In part two, we discuss the challenges in identifying financial risk factors, as well as measuring and managing risk in the practice. In part three, we address the links between the “sub-prime (asset) issue” and the “Credit Risk Crunch”, and the pricing of recent failed auctions of auction rate securities/certificates (ARS/ARC) since January, 2008 due to the “illiquid credit market conditions”. We then discuss the challenges faced by two key concepts of “Non-Performance Risk” and “Counterparty Risk” from SFAS # 157/IFRS#7 on“ Fair Value Measurement Accounting Standards” for the adjustment of financial derivatives’ fair market value valuations from various internal valuation models, linking the concepts of Market Risk and Credit Risk. In part four, We briefly discuss the application of Market Risk management on Interest Risk, F