摘要
摘要
随着经济全球化和国际贸易的加速发展，金融衍生品市场也进入蓬勃发展
阶段，金融衍生品市场因其对冲避险、高杠杆高回报等特点，吸引了更多的金
融资本进入其中，越来越多的投资者将金融衍生品作为资产多样化配置的重要
工具。金融衍生工具是一把双刃剑，在为投资者带来更高收益的同时，也放大
了风险。商业银行是经营金融衍生品的最重要的主体之一，因此金融衍生品业
务的风险管理是其未来发展的一个非常重要的课题。
本文以中国银行“原油宝”风险事件作为案例，对中国银行经营衍生品业
务中存在的风险进行分析。本文第 1章绪论中对商业银行金融衍生品业务风险
管理的相关文献总结梳理。第 2章介绍商业银行金融衍生品相关理论与业务概
况，包括商业银行金融衍生品业务风险的分类与特点，信息不对称理论和委托
代理理论，以及我国商业银行金融衍生品业务风险管理中存在的问题。第 3章
介绍了中国银行金融衍生品业务的发展现状，“原油宝”事件始末，“原油宝”
的交易机制，以及“原油宝”事件产生的影响。第 4章是对“原油宝”事件的
风险控制分析：首先，分析“原油宝”的产品性质；然后，分析负油价的成因，
包括新冠疫情的冲击、产油国价格博弈、美国库欣油库的库存压力、原油高额
的仓储和运输成本及市场投机；其次，分析在“原油宝”事件中，中行在产品
设计、宣传销售、产品运营和事后处理这四个环节中存在的风险管理问题；最
后，分析监管机构和投资者在风险管理中存在的问题。第 5章先是对全文做总
结，然后从监管机构、商业银行、投资者三个角度提出了建议。
通过研究得出结论，我国商业银行在在金融衍生品从设计到运营多个环节
存在风险管理问题，对商业银行金融衍生品业务的监管法律体系也有待完善和
细化，为了我国金融衍生品市场乃至整个金融市场的长远发展，还要注重培养
合格投资者。
鉴于中国银行“原油宝”风险事件在我国银行业金融衍生品产品业务上造
成的广泛影响，以及客户信息保密性等原因，中国银行对于“原油宝”操作系
统内的数据至今未公开，所以在本文的写作过程中,无法获取“原油宝”相关
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商业银行金融衍生品业务风险控制研究
数据。如果能够获得这些信息，本文就可以用投资者的仓位数据等信息，对“原
油宝”潜在的风险进行量化分析，比如用 VaR模型实证研究在未发生新冠疫情
等极端情况下“原油宝”等“纸原油”业务可能存在的系统性风险等问题，使
本文的研究更有深度。
关键词：原油宝、商业银行、金融衍生品、风险控制、极端风险
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Abstract
Abstract
With the acceleration of economic globalization and international trade, the
financial derivatives market has also continued to develop.More financial capital is
attracted into financial derivatives market because of their characteristics, such as
hedging to avoid risks, high leverage and high returns.More and more investors
regard financial derivatives as an important tool for asset diversification.We must
look at financial derivatives from two aspects. While it brings higher profit to
investors, it also amplifies risksmercial banks are one of the most important
entities operating financial derivatives,so the risk management of financial
derivatives business is an very important issue in its future development.
The risk event of "Crude Oil Treasure" ,causing a sensation,has a profound
impact on the banking financial derivatives business.Therefore, this article takes this
risk event as a case to analyze the risk control problems that exist in the financial
derivatives business of my country's banking industry. In Chapter 1, articles on risk
management of financial derivatives business of commercial banks are summarized
and sorted out.In Chapter 2, commercial banks' financial derivatives business risk
management theories are introduced,including the classification of financial
derivatives business risks of commercial banks, the status quo of financial
derivatives business of Chinese banks, the problems existing in the risk management
of financial derivatives business of Chinese commercial banks, as well as
information asymmetry theory and principal-agent theory.In Chapter 3, the current
situation of Bank of China’s financial derivatives business, the trading mechanism
of "Crude Oil Treasure", the process and the impact of the "Crude Oil Treasure"
event are introduced.In Chapter 4, I analyzed the risk control problem of the "Crude
Oil Treasure" incident.The first is to analyze the product nature of "Crude Oil
Treasure"; the second is to analyze the causes of negative oil prices, including the
impact of the COVID-19, price competition in crude oil producing countries,
inventory pressures at the Cushing Oil Depot in the United States, and market
speculation; the third is to analyze risk management problems that the Bank of
China had in the four links of product design, promotion and sales, product
operation, and post-event processing; the fourth is to analyze the risk management
problems of regulatory agencies and investors.In Chapter 5, recommendations for
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