摘要
本文从实践角度讨论当前金融危机形势下所面临的信贷危机以及未来经济之不确定性的挑战:金融衍生品之估价与风险的问题。本文的重点研究是关于管理风险的市场风险衡量原则和所面临的挑战。然后结合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"以及相对应的市场风险概念与信贷风险因子,讨论衍生品价值计量及相应对冲帐户的挑战。最后简要论述市场风险管理及相关对冲避险策略,并建议采取系列应对措施。
This paper discusses, from the practical perspective, some challenges 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. We first focus on the discussion of the challenge in managing financial risks in the practice. Then we discuss the challenges by applying the key concepts of ＂Non-Performance Risk＂ and ＂Counterparty Risk＂ from SFAS # 157/IFRS#7 on ＂Fair Value Measurement Accounting Standards＂ by linking the concepts of Market Risk and Credit Risk. Finally, we briefly discuss hedging strategies and also the main lessons we have learned from the financial crisis.
出处
《管理评论》
CSSCI
北大核心
2009年第3期19-25,106,共8页
Management Review
