I 摘要 随着经济全球化的不断深入融合，及我国经济已经进入了新常态的模式，加 上我国的对外经济日益加强的开放程度，企业在国际化竞争中想要实现长久，稳 定和良好的发展，就必须要应对外部的各种风险及挑战。对于企业来说，金融市 场的剧烈波动，特别是国际大宗商品价格的波动风险已经成为影响企业经营的成 败的关键要素，化解市场价格风险，转移价格波动所带来的各类风险成为企业的 核心任务。目前世界各国主要是依托参与到金融衍生品市场，通过商品期货市场 和期权市场所独有的风险转移功能进行价格风险对冲。经过科学及规范的操作， 运用金融衍生品做为风险管理工具，从而将经营风险控制在一定范围内，确保企 业稳健运行和发展。 中国是天然橡胶消耗量最大的国家，中国天然橡胶每年平均消费量超过 500 万吨，约占全球总消耗量的 40%左右。做为重要大宗商品之一的天然橡胶，其价 格的大幅波动导致的价格不稳定对国民经济生产有一定的影响。而做为以天然橡 胶相关的上下产业链来说，一个可以规避价格波动风险的管理工具是迫切需要的。 通过相关性分析和回归分析，说明天然橡胶的现货价格和天然橡胶的期货价格存 在着较强的相关性，二者的变动呈显著关系。天然橡胶期货品种在上海期货交易 所上市交易，并经过多年发展与国际市场具有高度联动性，促使国内天然橡胶期 货价格在业内被广泛运用，越来越多的企业通过天然橡胶期货价格为基础进行定 价，而期货的价格也为企业的经营提供敏感而准确的参考。同时天然橡胶期权将 于 2019 年 1 月 28 日正式上市，企业在金融市场上可运用风险管理工具变得更加 丰富，选择性更多。而天然橡胶企业在经营中所面临的主要风险是商品价格波动 引起的风险。在此背景下，企业通过商品期货市场运用期货市场和期权市场，以 套期保值做为风险管理工具可以对冲风险。但是企业该如何进行套期保值，如何 利用金融衍生工具进行套期保值，如何使用套期保值策略，如何在套期保值中避 免金融衍生工具操作不当造成更大的损失等一系列问题都是值得研究的。 本文根据企业实际情况，结合套期保值的基本原则，分析了期货市场的套期 保值以及期权市场的套期保值策略的类型和运作条件等。以 YN 橡胶生产企业为 例，通过分析 YN 橡胶生产企业的经营现状，在现实经营中所面临的困难，认识摘要 II 到企业参与套期保值的必要性，并详述通过期货市场和期权市场进行套期保值对 企业的现实意义。同时分析了企业在进入期货市场后，使用的套期保值策略所具 有的问题，例如现货头寸不能完全覆盖，使用的套期保值策略模式单一，期货头 寸调整不及时等。通过分析传统套期保值问题，提出了采用动态管理库存的套期 保值策略，以及采用基差变动策略的方法。企业可以在生产经营中的实际状况来 选择最合适的套期保值策略，提升企业对冲风险的效果，最大限度地降低企业面 临的价格风险。本文还提出以期货市场和期权市场互相补充的套期保值策略，以 解决利用期货套期保值过程中，套期保值本身的风险问题。由于企业在利用套期 保值时，预期的价格趋势可能与未来实际价格的走势相反，在行情判断错误的时 候，期货头寸具有敞口风险，若不进行头寸保护企业会面临亏损的风险，此时， 便可以运用期权产品对整个套期保值策略进行风险保护。本文详细分析了 YN 企 业在期货头寸出现敞口时，如何运用期权策略对其加以保护，通过组合策略来提 升套期保值的效果，最大程度的降低价格风险对企业经营的风险，同时还可以利 用组合策略获取一定的收益。企业在进入期货、期权市场对冲经营风险时，除了 要选择合适的套期保值策略外，还要建立严格的内部管控制度，以防范在期货交 易中出现重大操作失误，使企业承担巨大风险。企业还应该组建一支有能力参与 期货市场的专业团队。金融市场本身具有一定风险性，但合理的利用金融工具， 可以实现产业企业对规模性风险管理的需求，起到保护企业经济利益的作用，有 助于实体经济的发展，推动国家各产业的健康发展。 关键词，套期保值；价格风险转移；期货市场；期权市场Abstract III Abstract With the continuous development of economic globalization as well as our economy entering the phase of New Normal Mode and the continued strengthening of China economy opening up to the world, Chinese enterprises must face the various external risks and challenges to realize long, stable and healthy development in international competition. To the enterprises, the turbulent changes of financial market, especially the risk of fluctuation of the prices of the international batch commodities have already become the key factor influencing the success or failure of corporation management. The companies need to find some effective methods to prevent from the risk of market price fluctuation and transfer the various risks brought by the price fluctuation. The universal practice in the contemporary world is to use the market of financial derivatives to hedge price risks through the unique risk transfer function of commodity futures market and option market. By scientific and standardized operation and using financial derivatives as the tools of risk management, the management risks will be controlled within a certain range so that the corporations could operate and develop stably. As the largest natural rubber consumer, China’s average annual consumption of natural rubber is more than 5 million tons, accounting for about 40% of the global total consumption. Natural rubber industry is an important strategic material, and its price fluctuation has a certain impact on national economic production. For the upstream and downstream industry chain related to natural rubber industry, a management tool that can effectively avoid the risk of price fluctuation is urgently needed. Through correlation analysis and regression analysis, the results display that there is a strong correlation between the spot price of natural rubber and the futures price of natural rubber, and there is a significant relationship between the fluctuation of both prices. After the development of natural rubber varieties in Shanghai Futures Exchange for many years and the high linkage with the international market, theAbstract IV futures prices of domestic natural rubber have been widely adopted in the industry. More and more enterprises are pricing based on the futures prices of natural rubber, and the futures prices are also providing sensitive and accurate reference for the operation of enterprises. In the meantime, natural rubber options will be officially listed on January 28, 2019, which means that enterprises have more choices when choosing risk management tools. The main risk faced by natural rubber enterprises in business operation is the risk incurred by commodity price fluctuation. In this context, enterprises use the characteristics of futures market and option market through financial derivatives market, and choose as a risk management tool to hedge operational risks. But for the corporations, how to hedge, how to use financial derivatives to hedge risks, how to choose hedging strategies, how to avoid the improper operation of financial derivatives in hedging and avoid causing greater losses, and the other similar series of problems are the focus of this essay. Starting from the realistic situation and taking the basic principle of hedging as the theoretical basis, this paper explains the hedging strategy of futures market and the strategy varieties and operation conditions of hedging in option market. Taking YN Rubber Co., Ltd. as an example, by analyzing the current situation of YN Rubber Co., Limited and the price risks this company has faced in the real operation, the necessity of enterprise participating in hedging is obtained, and the practical significance of hedging by futures market and option market is presented. At the same time, the problem of hedging strategy after the corporations have entered the futures market is analyzed, for example, the cash position cannot be completely covered, the hedging strategy used is relatively single moded, and the management of futures positions is carried out in an all-inclusive manner. By analyzing the existing hedging strategies, this paper makes a proposition of a hedging strategy for dynamic managed inventory, and a method of basis change strategy. Enterprises can choose the most suitable hedging strategy according to the actual situation in production and operation, so as to maximize the effect of hedging and minimize the price risk faced by enterprises. This paper also proposes a hedging strategy supplemented by futures market and option market to solve the risk of futures hedging in the process of futures hedging. WhenAbstract V the enterprise uses hedging, the trend of the actual prices will be opposite to the expected price