论金融衍生工具套期保值风险管理功能的无效性  

Ineffectiveness of Risk Management Function of Financial Derivative Hedging

作　　者：李济广 LI Ji-guang(Business School of Jiangsu Institute of Technology, Changzhou Jiangsu 213015)

机构地区：[1]江苏理工学院商学院,江苏常州213015

出　　处：《湖南财政经济学院学报》2020年第5期70-82,共13页Journal of Hunan University of Finance and Economics

基　　金：国家社科基金项目“马克思货币理论新阐释与当代发展研究”(项目编号:16BJL005)。

摘　　要：当代金融理论及其教科书关于金融衍生工具风险管理/套期保值的“原理”是不科学的。金融衍生工具风险管理总体上不能达到保值目的,由于看错方向、对手违约、杠杆放大、保费升高、内幕交易、市场操纵、经济危机、操作风险等原因,套期保值工具本身也存在风险甚至增加极为严重的风险,这使金融衍生工具风险管理职能难以有效实现。由于金融衍生工具不会减少总风险但消耗社会资源属于负值博弈,套保丧失收益但不会熨平损益波动,证券套保无意义甚至得不偿失,多数衍生品对社会经济有害无益甚至集聚宏观风险。实证研究不能证明衍生品风险管理提高企业价值与业绩反而发现其增加企业风险,所以利用金融衍生工具进行风险管理总体上并非必要。The“principle”of contemporary financial theory and its textbooks on risk management or hedging of financial derivatives is unscientific.The risk management of financial derivatives cannot achieve the purpose of hedging in general.Because of the wrong direction,counterparty default,leverage amplification,premium increase,insider trading,market manipulation,economic crisis,operational risk and other reasons,hedging instruments themselves also carry risks even increase risks,including extremely serious risks,which makes it difficult to effectively realize the risk management function of financial derivatives.Because financial derivatives can't reduce total risk but consume social resources is a negative game,hedging loss of income but can't ironing gains and losses fluctuations,securities hedging meaningless even lose more than gain,most derivatives are harmful to the social economy even aggregate macro risk,empirical research can't prove that derivatives risk management improves value and performance of the enterprise but instead finds that it increases enterprise risk,so the use of financial derivatives for risk management is generally not necessary.

关 键 词：金融衍生品 金融衍生工具 风险管理 套期保值 掉期 

分 类 号：F832.5[经济管理—金融学]