文本描述
Research on strategy which using heding to
avoid the copper price risk of A cable
company
A thesis submitted to
Northwest University
in partial fulfillment of the requirements
for the degree of Master
in MBA
By
Xu Ziwei
Supervisor: Fu YuanAssociate Professor
March 2018
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学位论文作者签名：指导教师签名：
＞／公年》月？曰V％＜月f日
西北大学学位论文独创性声明
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学位论文作者签名：
年彡月￥曰
摘要
I
摘要
近年来，随着全球一体化的发展，以铜、原油等为代表的大宗商品价格波动活跃
对企业来说，这既是挑战，又是机遇。一方面大宗商品价格的频繁波动会导致相关企业
在经营过程中面临更大的风险；另一方面，活跃的市场会提供更新的思路来适应企业发
展的需要
自2001年中国形成了规范的期货市场后，越来越多的企业开始将期货作为规避企
业价格风险的手段之一。由于期货具有杠杆交易的特征，使得企业可以通过较少的资金，
在期货市场和现货市场上进行相反的交易来实现风险的对冲，规避价格波动带来的风险
损失
本文以A线缆公司为研究对象，通过从套期保值的概念入手，介绍了套期保值的理
论知识。运用GARCH-VaR模型度量了铜价格波动对企业的影响情况，进一步阐述了套
期保值的必要性。并利用统计分析软件SPSS对铜价波动的影响因素进行实证分析，说
明铜价波动的相关影响因素。再以A线缆公司的实际经营情况为前提，制定了符合A
线缆公司发展需要的套期保值流程和方案。提出套期保值的成功在于风险敞口比例的调
整，通过分析影响铜价波动的因素，确定铜价波动趋势，为套期保值的顺利开展提供前
提。最后，提出了方案实施过程中的保障措施，以便套期保值能够顺利开展和实施
本文的写作意义在于，一方面分析了A线缆公司在生产经营过程中面临的风险并给
出了解决方案，即利用铜期货进行套期保值规避价格风险；另一方面，为A线缆公司制
订了一套符合其自身发展的套期保值方案，帮助企业利用现代金融衍生工具来解决问题，
使其顺应市场日新月异的进程，提升企业的核心竞争力
关键字：铜期货套期保值 价格风险 线缆企业
西北大学硕士学位论文
II
ABSTRACT
In recent years, with the development of global integration, commodity prices, such as
copper and crude oil, have been active. For companies, this is both a challenge and an
opportunity. On the one hand, frequent fluctuations of commodity prices will lead to greater
risks for related enterprises in their operation. On the other hand, active markets provide
updated ideas to meet the needs of enterprise development.
Since China formed a standardized futures market in 2001, more and more enterprises
have started to use futures as one of the means to avoid the risk of enterprise price. Because
the futures has the characteristics of the leveraged deals, makes the enterprise can use less
money, instead of on the futures market and cash market transaction to achieve risk hedging,
and avoid price fluctuations brings the risk of loss.
This paper takes A cable company as the research object and introduces the theoretical
knowledge of hedging by starting with the concept of hedging. And by using statistical
analysis software SPSS to an empirical analysis of the influence factors of fluctuations in
copper prices, the use of GARCH VaR model to measure the copper price fluctuations to the
enterprise situation, the influence of further expounds the necessity of hedging. Based on the
actual operation condition of A cable company, the hedging process and scheme for the
development of A cable company are formulated. Finally, it puts forward the guarantee
measures in the implementation process so that the hedging can be carried out smoothly.
Significance of writing this paper is to, on the one hand, A cable company is analyzed in
the process of production and operation risks and gives the solution, the use of copper futures
hedging to avoid price risk;For A cable company, on the other hand, the development of A set
in its own hedging solutions, help enterprises to use modern financial derivatives to solve
problems, make it adapt to the market changing process, and improve enterprise's core
competitiveness.
Key word：Copper futures hedging Price risk Cable companies。
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