Method and related device for quantifying risk of overdue value retention

Abstract

The invention belongs to the technical field of overdue value keeping, and particularly relates to an overdue value keeping risk quantification method and related equipment thereof. The method comprises the steps: obtaining the number of asset ends and the number of liability ends of a material, and obtaining the sleeve insurance proportion of the material through a sleeve insurance proportion calculation formula. According to the invention, production, processing and manufacturing enterprises are helped to quantify the enterprise set-up value-retaining risk in the set-up value-retaining process, the capacity of identifying and managing the set-up value-retaining risk is increased, and the effectiveness of the set-up value-retaining operation is improved.

Description

Technical Field

[0001] The present invention belongs to the technical field of hedging, and particularly relates to a hedging risk quantification method and related equipment. Background Art

[0002] How to identify and manage the hedging risks of production, processing, and manufacturing enterprises is the key and difficult point in enterprise operation and management; it is mainly manifested that the hedging process involves collaborative operations of multiple departments such as production, procurement, sales, futures, risk control, and finance. The untimely data transmission between departments, the large span of procurement and sales, and the mismatch of procurement and sales pricing models result in the inability to timely and effectively identify the enterprise's exposure risks.

[0003] Traditional hedging software stays at the primary mode of one-to-one spot-futures matching for each order, only obtaining the absolute hedging exposure quantity corresponding to each single procurement and sales business, and the hedging risks of enterprises cannot be quantified. For production and manufacturing enterprises, the traditional one-to-one spot-futures matching method cannot form the corresponding relationship between the asset side and the liability side, is difficult to track, and there is a suspicion of piecing together. In addition, this method also brings the problem of great difficulty in hedging accounting treatment, resulting in too large a deviation in the enterprise's accounting profit. Summary of the Invention

[0004] Aiming at the technical problem in the prior art that the hedging risks of enterprises cannot be quantified, the present invention aims to provide a hedging risk quantification method and related equipment.

[0005] To solve the foregoing technical problems, a first aspect of the present invention provides a hedging risk quantification method, and the hedging risk quantification method includes:

[0006] Obtain the asset-side quantity and liability-side quantity of the material, and obtain the hedging ratio of the material through the hedging ratio calculation formula, and the hedging ratio calculation formula is:

[0007]

[0008] wherein, O is the hedging ratio, F is the asset-side quantity, and L is the liability-side quantity.

[0009] Optionally, in the hedging risk quantification method as described above, the asset-side quantity is obtained by summing at least one asset factor among the pre-hedging production quantity, total inventory, and futures purchase quantity.

[0010] Optionally, in the hedging risk quantification method as described above, the total inventory includes at least one of raw material inventory, finished product inventory, and waste products.

[0011] Optionally, in the hedging risk quantification method described above, the liability side quantity is obtained by summing at least one liability factor among unfilled orders, pre-awarded quantities, and futures sold quantities.

[0012] Optionally, in the hedging risk quantification method described above, the unfilled orders include at least one of unfilled order raw materials not purchased, unfilled order raw materials already purchased, and unfilled order finished products.

[0013] Optionally, in the hedging risk quantification method described above, the asset side quantity and the liability side quantity are obtained by at least one of manual entry, acquisition from original data, and import of external data.

[0014] Optionally, in the hedging risk quantification method described above, the asset side quantity and the liability side quantity are obtained and displayed through a preset material balance sheet, and the hedging ratio is displayed through the material balance sheet.

[0015] Optionally, in the hedging risk quantification method described above, the material balance sheet includes the enterprise name and each material name under the enterprise name, and under the material name, there are corresponding asset factors of the asset side quantity, the asset side quantity, liability factors of the liability side quantity, the liability side quantity, and the hedging ratio.

[0016] Optionally, in the hedging risk quantification method described above, under the material name, there are also the difference number between the asset side quantity and the liability side quantity and remarks.

[0017] Optionally, in the hedging risk quantification method described above, the hedging risk quantification method further includes:

[0018] Judging whether the hedging ratio exceeds a preset tolerance range. If it exceeds, at least one of the asset factors of the asset side quantity and the liability factors of the liability side quantity is adjusted until the hedging ratio is within the tolerance range.

[0019] Optionally, in the hedging risk quantification method described above, the asset factor includes the futures purchase quantity, and the liability factor includes the futures sold quantity;

[0020] When the hedging ratio exceeds the tolerance range, at least one of the futures purchase quantity and the futures sold quantity is adjusted until the hedging ratio is within the tolerance range.

[0021] Optionally, in the hedging risk quantification method described above, the tolerance range is a dynamically adjustable dynamic range.

[0022] Optionally, in the hedging risk quantification method described above, the hedging risk quantification method further includes:

[0023] Obtain a preset hedging ratio reference value. When the hedging ratio reference value is within the tolerance range, adjust at least one factor among the futures purchase quantity and the futures sale quantity until the hedging ratio is the hedging ratio reference value.

[0024] Optionally, in the hedging risk quantification method described above, the hedging ratio reference value is obtained in the following manner:

[0025] Perform a quantile calculation on the current futures price based on the futures prices in a historical preset time period to obtain the current quantile of the current futures price;

[0026] Compare the spot prices and the price differences between the futures contracts within the current and the historical preset time periods to determine the current market trend;

[0027] Query the current quantile and the current market trend in a preset hedging ratio superposition model cross - table to obtain the hedging ratio reference value.

[0028] Optionally, in the hedging risk quantification method described above, the hedging ratio superposition model cross - table is obtained in the following manner:

[0029] Fill in a preset cross - table according to the preset price classification and trend classification to obtain an initial cross - table. Use the variable importance index in the preset decision tree model to determine whether the data in the initial cross - table conforms to the business logic. If not, modify it until it conforms to the business logic, and finally obtain the hedging ratio superposition model cross - table.

[0030] Optionally, in the hedging risk quantification method described above, the hedging risk quantification method further includes determining the hedging accounting treatment principle:

[0031] Obtain the quantity on the asset side and the quantity on the liability side of the material. Set the quantity on the asset side excluding the futures purchase quantity as quantity M, and set the quantity on the liability side excluding the futures sale quantity as quantity N;

[0032] If there are no outstanding orders in the quantity on the liability side, when performing hedging accounting treatment, adopt the fair value hedging accounting treatment principle;

[0033] If there is total inventory among the asset - side quantities and there are unfilled orders among the liability - side quantities, when M is less than or equal to N, the cash - flow hedge accounting treatment principle is adopted for hedge accounting; when M is greater than N, for hedge accounting, the N part adopts the cash - flow hedge accounting treatment principle, and the M - N part adopts the fair - value hedge accounting treatment principle.

[0034] Optionally, in the hedge - risk quantification method as described above, before adopting the fair - value hedge accounting treatment principle or the cash - flow hedge accounting treatment principle for hedge accounting, it further includes:

[0035] Decompose the raw material price of the material into a benchmark price, a premium or discount, and other expenses, and record the benchmark price and the premium or discount as the cost price;

[0036] Decompose the finished - product price of the material into a benchmark price, a premium or discount, processing fees, and other expenses or the quoted price, and record the benchmark price, the premium or discount, the processing fees or the quoted price as the selling price;

[0037] When conducting hedge accounting, use the cost price and the selling price for hedge accounting.

[0038] Optionally, in the hedge - risk quantification method as described above, the measurement process of the fair - value hedge accounting treatment principle is as follows:

[0039] Settle the total inventory daily according to the spot settlement price of the day, and record the settlement profit or loss as S1;

[0040] Settle the sold futures daily according to the futures settlement price, and record the settlement profit or loss as S2, where S2 includes the closing - out profit or loss calculated based on the previous - day settlement price and the current - day transaction price;

[0041] Record the selling price of the material, that is, the revenue of the order determined on the delivery date, as P0, record the total inventory cost obtained according to the spot settlement price of the day as C1, and record the unfilled orders as n;

[0042] Amortize the total inventory profit or loss (N / M)*S1 corresponding to the order quantity to each order n i , and record it as s1, for order n i Accumulate and sum up the profit or loss D1 through the daily - allocated s1;

[0043] When D1 is greater than 0, the initial raw - material cost C0 = C1-(D1 / n); when D1 is less than or equal to 0, the initial raw - material cost C0 = C1+(D1 / n);

[0044] The cost of materials is confirmed through C0*n, and the revenue of materials is confirmed through P0*n. The profit and loss are included in the current period, achieving the matching of revenue and cost, and thus completing the hedging accounting treatment.

[0045] Amortize S2 to the total inventory of each remaining M-N according to a preset ratio, and record it as s2.

[0046] Accumulate the total profit and loss Q through the daily amortized s2, and the cumulative profit and loss R of the total daily spot settlement profit and loss s3 of the M-N total inventory. Then, the profit and loss of Q plus R at the end of the month are included in the current profit and loss, thus completing the hedging accounting treatment.

[0047] Optionally, in the hedging risk quantification method as described above, the measurement process of the cash flow hedging accounting treatment principle is as follows:

[0048] Settle the total inventory daily according to the daily spot settlement price, and record the settlement profit and loss as S3.

[0049] Settle the purchased futures daily according to the futures settlement price, and record the settlement profit and loss as S4, where S4 contains the closing profit and loss calculated based on the previous day's settlement price and the current day's transaction price.

[0050] Record the selling price of the materials, that is, the order revenue determined on the delivery date, as P0, record the total inventory cost obtained according to the daily spot settlement price as C1, and record the unfilled orders as n.

[0051] Amortize S3 to each order n according to a preset ratio i , and record it as s3, for order n i Accumulate the total profit and loss D2 through the daily amortized s3;

[0052] When D2 is greater than 0, the initial cost of raw materials C0 = C1 - (D2 / n); when D2 is less than or equal to 0, the initial cost of raw materials C0 = C1 + (D2 / n), achieving the matching of revenue and cost. Based on this, revenue and cost are recognized and carried forward, and hedging profit and loss accounting is carried out.

[0053] Amortize S4 to each order n according to a preset ratio i , and record it as s4. Accumulate the total profit and loss T through the daily amortized s4;

[0054] Confirm the revenue of the materials through P0*n, and confirm the cost of the materials through C0*n + T or C1*n + D2 + T. The profit and loss are included in the current period, achieving the matching of revenue and cost, and thus completing the hedging accounting treatment.

[0055] To solve the foregoing technical problems, the second aspect of the present invention provides a hedging risk quantification device, and the hedging risk quantification device includes:

[0056] The quantitative data module is used to obtain the quantity on the asset side and the quantity on the liability side of the material, and obtain the hedging ratio of the material through the hedging ratio calculation formula. The hedging ratio calculation formula is as follows:

[0057]

[0058] Where O is the hedging ratio, F is the quantity on the asset side, and L is the quantity on the liability side.

[0059] To solve the foregoing technical problems, a third aspect of the present invention provides a computer device, including a memory and a processor. Computer-readable instructions are stored in the memory. When the computer-readable instructions are executed by the processor, the processor executes the steps of the above hedging risk quantification method.

[0060] To solve the foregoing technical problems, a fourth aspect of the present invention provides a storage medium storing computer-readable instructions. When the computer-readable instructions are executed by one or more processors, the one or more processors execute the steps of the above hedging risk quantification method.

[0061] The positive and progressive effects of the present invention are as follows:

[0062] 1. Through the quantitative index of the hedging ratio, the present invention is used to refine the management of the risk exposure, help production, processing, and manufacturing enterprises to realize the quantification of enterprise hedging risks during the hedging process, increase the ability to identify and manage hedging risks, and improve the effectiveness of hedging operations.

[0063] 2. By using the material balance sheet to obtain and display various relevant data during the hedging process, the material balance sheet adopts a double-entry bookkeeping-like mode, that is, the asset and liability mode, classifies the data related to each exposure during the hedging process into major categories, realizes the normalization of the exposure, and quantifies the overall hedging risk ratio of the enterprise.

[0064] 3. By designing the material balance sheet, the production, procurement, sales, futures and other departments can fill in the material balance sheet in a timely manner according to the actual business data, and then obtain the risk exposure ratio of the enterprise at any time.

[0065] The material balance sheet can record the flow of materials in real time, including the input, output, consumption and storage of materials. Through real-time material tracking, operators can promptly discover abnormal situations in material flow, such as abnormal loss or wastage of materials, and thus quickly take measures for adjustment.

[0066] The material balance sheet covers all material flow information in the production process, including raw materials, semi-finished products, finished products, etc. Through global material balance analysis, managers can comprehensively understand the flow of materials in each process and link, identify bottlenecks and problems in material flow, and thus conduct global optimization and adjustment. Since the material balance sheet provides a unified material information platform for departments such as production, procurement, sales, and futures, each department can coordinate and cooperate according to the information in the material balance sheet, which helps to improve the operation efficiency and collaboration ability of the entire enterprise and also provides an important basis for the enterprise's strategic decision-making.

[0067] The material balance sheet can be closely integrated with production plan management to provide accurate material information for the formulation and execution of production plans. When combined with inventory management, the material balance sheet can achieve refined inventory management and avoid inventory backlogs or shortages. The material balance sheet records the flow and transformation process of materials and can provide important data support for quality control.

[0068] It can be seen that the present invention effectively integrates dynamic management, global management and existing production and manufacturing management through the material balance sheet, optimizes the production process, reduces production delays, improves the production efficiency of the enterprise, realizes accurate inventory management, reduces inventory backlogs, lowers inventory costs, reduces material waste, optimizes material allocation, improves material utilization rate, strengthens information sharing, promotes departmental collaboration, enhances the flexibility of decision-making, and provides favorable data support for decision-making.

[0069] 4. The present invention determines the current hedging risk by comparing the hedging ratio with a preset tolerance range, and can limit the hedging risk within the expected range by adjusting factors, reducing the hedging risk problem of the enterprise.

[0070] 5. The present invention quickly identifies the risk exposure by comparing the quantity on the asset side and the quantity on the liability side, and can determine whether the uncertain factors to be hedged are on the asset side or the liability side. Taking the uncertain factors as the hedging target, when the hedging ratio exceeds the tolerance range, the uncertain factors can be adjusted specifically.

[0071] 6. When determining the tolerance range, the present invention accepts real-time market data, dynamically calculates price quantiles and adjusted trends, and determines the flexibility, timeliness and effectiveness of risk management by introducing a cross-table of the hedging ratio superposition model and automatically adjusting the hedging strategy according to real-time data.

[0072] 7. The present invention can also adaptively determine the hedging accounting treatment principle according to the quantity on the asset side and the quantity on the liability side. BRIEF DESCRIPTION OF THE DRAWINGS

[0073] With reference to the accompanying drawings, the disclosure of the present invention will become more apparent. It should be understood that these drawings are only for illustrative purposes and are not intended to limit the scope of protection of the present invention. In the drawings:

[0074] Figure 1 It is a schematic diagram showing a tabular display of the material balance sheet of the present invention;

[0075] Figures 2 to 5 It is the data of part of the hedging accounting treatment process in Example 1 of the present invention. Detailed implementation manners

[0076] The following specific examples illustrate the implementation manners of the present invention. Those skilled in the art can easily understand other advantages and effects of the present invention from the content disclosed in this specification. The present invention can also be implemented or applied through other different specific implementation manners. Various details in this specification can also be modified or changed based on different viewpoints and applications without departing from the spirit of the present invention.

[0077] It should be noted that, without conflict, the following embodiments and the features in the embodiments can be combined with each other.

[0078] In the description of the present invention, it should be noted that for orientation terms, such as terms "outer side", "middle section", "inner", "outer", etc., the indicated orientation and positional relationships are based on the orientation or positional relationships shown in the drawings. It is only for the convenience of describing the present invention and simplifying the description, rather than indicating or implying that the device or element referred to must have a specific orientation, be constructed and operated in a specific orientation, and should not be construed as limiting the specific protection scope of the present invention.

[0079] In addition, such terms as "first" and "second" are only used for descriptive purposes and cannot be construed as indicating or implying relative importance or implicitly specifying the quantity of technical features. Thus, the features defined with "first" and "second" may explicitly or implicitly include one or more of such features. In the description of the present invention, the meanings of "several" and "a number of" are two or more, unless otherwise specifically and clearly defined.

[0080] An embodiment of the present invention provides a hedging risk quantification method. This hedging risk quantification method can help production, processing, and manufacturing enterprises to achieve the quantification of enterprise hedging risks during the hedging process. This hedging risk quantification method includes:

[0081] Obtain the asset-side quantity and liability-side quantity of the material, and obtain the hedging ratio of the material through the hedging ratio calculation formula. The hedging ratio calculation formula is:

[0082]

[0083] Among them, O is the hedging ratio, F is the quantity on the asset side, and L is the quantity on the liability side.

[0084] This hedging ratio is the quantified value of hedging risk. The specific hedging ratio is obtained through the hedging ratio calculation formula and provided to enterprise users, which can help enterprise users understand the current hedging risk of the enterprise, enhance the ability to identify and manage hedging risks, and improve the effectiveness of hedging operations.

[0085] Generally, for an enterprise, there is one or several kinds of materials. The materials of the present invention are relatively independent of each other, and the hedging ratio is calculated for each material separately.

[0086] In some embodiments, the quantity on the asset side is obtained by summing at least one asset factor among the pre-hedged production volume, total inventory, and futures purchase quantity.

[0087] Pre-hedged production volume (raw materials): The quantity for hedging the future production volume (the raw material production volume within any production cycle) according to the enterprise's production plan (such as the production from ore to raw materials) and the formulated hedging strategy, and finally this data is corrected according to the actual production volume.

[0088] Futures purchase quantity: Refers to the quantity of commodities bought and held in the futures account.

[0089] Among them, the total inventory preferably includes at least one of raw material inventory, finished product inventory, and waste products.

[0090] Raw material inventory: The sum of the quantity of unordered inventory raw materials and the quantity of purchased raw materials corresponding to orders (including those in the raw material warehouse, those priced in transit, and those in the supplier warehouse), which is the quantity of commodities reserved for product production.

[0091] Finished product inventory (work-in-progress, OEM): The sum of the quantity of finished products, work-in-progress, and OEMs that have not been corresponding to orders and the quantity of finished products, work-in-progress, and OEMs that have been corresponding to orders and have been issued to suppliers.

[0092] Waste products: The quantity of waste products stored in the company's waste product warehouse.

[0093] In some embodiments, the quantity on the liability side is obtained by summing at least one liability factor among unissued orders, pre-awarded quantities, and futures selling quantities.

[0094] Pre-awarded quantity: For orders that have been bid or are about to be bid, the quantity that may be awarded is evaluated based on the historical winning probability and the latest business progress.

[0095] Futures selling quantity: Refers to the quantity of commodities sold and held in the futures account.

[0096] Among them, the unissued orders include at least one of unissued order raw materials that have not been purchased, unissued order raw materials that have been purchased, and unissued order finished products.

[0097] Unordered raw materials not purchased: The quantity of raw materials that have not been ordered and need to be hedged but have not yet been scheduled for production or purchased.

[0098] Raw materials purchased for unissued orders: The quantity of raw materials purchased for unissued orders (including those unused in the raw materials inventory, those priced in transit, and those not shipped in the supplier inventory).

[0099] Undelivered finished products (work-in-progress, OEM): The sum of the number of finished products that have been produced but not shipped, the number of work-in-progress, and the number of products that have been issued to OEM suppliers but not shipped.

[0100] In some embodiments, the quantity on the asset side and the quantity on the liability side are obtained by at least one of manual entry, acquisition from original data, and external data import.

[0101] When the asset factor in the asset quantity and the liability factor in the liability quantity need to be manually entered, the human-computer interaction interface can be used to allow enterprise users to manually enter the relevant data. For example, the pre-covered output in the asset quantity and the pre-bid quantity in the liability quantity are manually entered. Enterprise users can manually enter data through the preset material balance sheet.

[0102] When the asset factor in the asset side quantity and the liability factor in the liability side quantity already have original data, in order to avoid repeated manual input, you can link to the original data end and obtain the factor data corresponding to the original data end at a regular interval to achieve the automatic data acquisition function. Of course, you can also use monitoring to obtain the modified data when there is modified data for the factor corresponding to the original data end, so as to calculate the current hedging ratio in time. For example, the number of futures purchased in the asset side quantity and the number of futures sold in the liability side quantity usually exist in the original data end, so the corresponding data can be directly obtained from the original data end.

[0103] This embodiment can also obtain the asset side quantity and liability side quantity by external data import, and in this case, the enterprise user can be provided with an entry to import relevant data through the human-computer interaction interface. For example, the total inventory in the asset side quantity is independent of the system corresponding to the hedging risk quantification method of the present invention, and the total inventory can be imported into the system for acquisition by external data import.

[0104] In some embodiments, the quantity on the asset side and the quantity on the liability side are obtained and displayed through a preset material balance sheet, and the hedging ratio is displayed through the material balance sheet.

[0105] This embodiment can obtain and display data by providing a preset material balance sheet. Of course, when some data exists at the original data end, it can be obtained from the original data and displayed in the material balance sheet. When some data provides an external data import method, it can be obtained and displayed in the material balance sheet through the external data import method.

[0106] The hedging ratio calculated is also displayed in the material balance sheet for enterprise users to view.

[0107] In some embodiments, the material balance sheet includes the enterprise name and each material name under the enterprise name. Under the material name, there are corresponding asset factors of the asset side quantity, asset side quantity, liability factors of the liability side quantity, liability side quantity, and hedging ratio.

[0108] The material names can be listed according to the actual situation of the enterprise. For example Figure 1 in, enterprises with company name A and enterprises with company name B both have three materials: copper, aluminum, and gold.

[0109] In one embodiment, referring to Figure 1 , the asset factor of the asset side quantity consists of the pre-scheduled production volume (A), raw material inventory (B), finished product inventory (C), waste products (D), and futures purchase quantity (E). At this time, the asset side quantity, that is, the subtotal F = A + B + C + D + E.

[0110] The liability factor of the liability side quantity consists of the raw materials not purchased for unissued orders (G), raw materials already purchased for unissued orders (H), finished products for unissued orders (I), pre-awarded quantity (J), and futures selling quantity (K). At this time, the liability side quantity, that is, the subtotal L = G + H + I + J + K.

[0111] The hedging ratio O = F / L * 100%.

[0112] In some embodiments, under the material name, there are also the difference number between the asset side quantity and the liability side quantity and remarks.

[0113] Referring to Figure 1 , the difference number is L - F.

[0114] This difference number can quickly identify the risk exposure, that is, it can determine whether the uncertain factors to be hedged are on the asset side or the liability side. Take the uncertain factors as the hedging target. When the hedging ratio exceeds the tolerance range, the uncertain factors can be adjusted specifically.

[0115] In some embodiments, the hedging risk quantification method further includes:

[0116] Determine whether the hedging ratio exceeds the preset tolerance range. If it exceeds, adjust at least one of the asset factors of the asset side quantity and the liability factors of the liability side quantity until the hedging ratio is within the tolerance range.

[0117] In this embodiment, the tolerance range can be preset according to the specific situation of the enterprise. This tolerance range is a threshold range for the hedging ratio. For example, the tolerance range is 0.8 - 1.2. By comparing the hedging ratio with the preset tolerance range, the current hedging risk is determined. And by adjusting the factors, the hedging risk can be limited within the expected range, reducing the hedging risk problem of the enterprise.

[0118] In some embodiments, the asset factor includes the quantity of futures bought, and the liability factor includes the quantity of futures sold. When the hedging ratio exceeds the tolerance range, adjust at least one of the quantity of futures bought and the quantity of futures sold until the hedging ratio is within the tolerance range.

[0119] When adjusting the factors, it is preferred to adjust the quantity of futures bought and / or the quantity of futures sold.

[0120] In this embodiment, a preset buy upper limit and a preset sell upper limit can be set. Both the preset buy upper limit and the preset sell upper limit are preset upper limit values, such as 50 tons, 100 tons, etc. When the quantity of futures bought or the quantity of futures sold reaches this upper limit value, no increase in the adjustment quantity can be made.

[0121] In some embodiments, the tolerance range is a dynamically adjustable dynamic range.

[0122] Generally, the hedging ratio can be increased when the market / material price is low, and the hedging ratio can be decreased when the market / material price is high. Therefore, through the human - machine interaction interface, enterprise users can be provided to manually adjust the tolerance range according to the specific situation of the enterprise or the current market conditions.

[0123] In some embodiments, the hedging risk quantification method further includes: obtaining a preset hedging ratio reference value. When the hedging ratio reference value is within the tolerance range, adjust at least one of the quantity of futures bought and the quantity of futures sold until the hedging ratio is the hedging ratio reference value.

[0124] In this embodiment, a hedging ratio reference value is introduced as the ideal value of the hedging ratio to further optimize the current hedging ratio so that it can reach the ideal value.

[0125] Of course, when the hedging ratio reference value is outside the tolerance range, the current hedging ratio cannot be adjusted to the ideal value. That is to say, the tolerance range is a compliance requirement, and its priority is greater than the ideal value.

[0126] In some embodiments, the reference value of the hedging ratio is obtained in the following manner: performing a quantile calculation on the current futures price based on the futures prices in a historical preset time period to obtain the current quantile of the current futures price; comparing the spot prices and the price differences between the futures contracts within the current and historical preset time periods to determine the current market trend; and querying the current quantile and the current market trend in a preset hedging ratio superposition model cross-table to obtain the reference value of the hedging ratio.

[0127] In this embodiment, the current tolerance range corresponding to the current hedging ratio is determined from two aspects: the price dimension and the trend dimension.

[0128] The price dimension determines the position of the current futures price in the historical price range through a quantile calculation method, and determines whether the current futures price is at a historical high or low by comparing the current futures price with the historical quantile. Among them, the historical preset time period is a pre-set time range, such as one month, one quarter, one year, or three years, etc., which is determined according to the analysis requirements.

[0129] The calculated quantiles can be divided as follows:

[0130] Above the 95% quantile is divided into the ultra-high region;

[0131] The 90% - 95% quantile is divided into the high region;

[0132] The 75% - 90% quantile is divided into the upper region;

[0133] The 25% - 75% quantile is divided into the middle region;

[0134] The 10% - 25% quantile is divided into the lower region;

[0135] The 5% - 10% quantile is divided into the low region;

[0136] The 0% - 5% quantile is divided into the ultra-low region.

[0137] Of course, it can also be divided as follows:

[0138] Above the 95% quantile is "historical high price".

[0139] Above the 75% quantile is "general high price".

[0140] The 25% - 75% interval is the "normal price range"

[0141] Below the 25% quantile is "general low price".

[0142] Below the 5% quantile is "historical low price".

[0143] The trend dimension uses the normal or inverted market of the basis to judge the market supply and demand relationship. When supply exceeds demand or the long position holding time is unfavorable, it is a normal market (Contango); when demand exceeds supply or the long position holding time is favorable, it is an inverted market (Backwardation). That is to say, when the spot price is greater than the prices of each futures contract within a certain range, it is considered a normal market or a significantly normal market; when the spot price is equal to or less than the prices of each futures contract within a certain range, it is considered an inverted market or a significantly inverted market. The trend is determined by observing the normal market or inverted market in a preset historical time period.

[0144] The determination of the trend can adopt existing technologies. For example, if the normal market lasts for a preset first time, it is considered a slight increase; if it lasts for a preset second time, it is considered a bullish trend; if it lasts for a preset third time, it is considered a strong increase, etc. Of course, the trend is determined by E(r), that is, the expected return (Expected Return).

[0145] The trend can be divided as follows:

[0146] E(r) > 5% means a strong increase;

[0147] E(r) > 3% means a bullish trend;

[0148] E(r) > 1% means a slight increase;

[0149] -1% < E(r) < 1% means neutral;

[0150] E(r) ≤ -1% means a slight decrease;

[0151] E(r) ≤ -3% means a bearish trend;

[0152] E(r) ≤ -5% means a strong decrease.

[0153] The hedging ratio superposition model cross - table is a pre - filled cross - table that contains two variables. The rows and columns are quantiles and trends respectively, and each cell shows the hedging ratio corresponding to the combination of the two variables. By querying the current quantile and single - parent trend in the hedging ratio superposition model cross - table, the corresponding hedging ratio reference value can be obtained.

[0154] In some embodiments, the hedging ratio superposition model cross - table is obtained in the following way: According to the preset price classification and trend classification, fill in the preset cross - table to obtain an initial cross - table. Use the variable importance index in the preset decision tree model to judge whether the data in the initial cross - table conforms to the business logic. If not, modify it until it conforms to the business logic, and finally obtain the hedging ratio superposition model cross - table.

[0155] The filling of the cross - table can be carried out in a way that combines manual work with a model. That is to say, first, manually fill in the hedging ratio reference values in each cell of the preset cross - table, and use the variable importance index in the decision tree model to measure whether the importance ratio of the price and trend indicators is adapted to the business logic: for materials with strong periodicity, the importance of price is higher; on the contrary, for materials with strong trendiness, the importance of trend is higher.

[0156] An embodiment of the hedging ratio superposition model cross - table is as follows:

[0157]

[0158]

[0159] In some embodiments, the hedging risk quantification method further includes determining the hedging accounting treatment principle: obtain the quantity of the asset side and the quantity of the liability side of the material, set the quantity of the asset side except for the futures purchase quantity as quantity M, and set the quantity of the liability side except for the futures sale quantity as quantity N; if there are no outstanding orders in the liability side quantity, when conducting hedging accounting treatment, adopt the fair value hedging accounting treatment principle; if there is an overall inventory in the asset side quantity and there are outstanding orders in the liability side quantity, when M is less than or equal to N, when conducting hedging accounting treatment, adopt the cash flow hedging accounting treatment principle; when M is greater than N, when conducting hedging accounting treatment, adopt the cash flow hedging accounting treatment principle for the N part, and adopt the fair value hedging accounting treatment principle for the part of M minus N.

[0160] This embodiment also adaptively determines the hedging accounting treatment method according to the quantity of the asset side and the quantity of the liability side. First, it is necessary to determine whether there are outstanding orders. When there are no outstanding orders, there is no need to compare the quantity of the asset side and the quantity of the liability side, and directly adopt the fair value hedging accounting treatment principle. When there are outstanding orders, there will generally be an overall inventory such as raw materials, and at this time, compare the quantity of the asset side and the quantity of the liability side.

[0161] Fair value hedging: When the quantity M of the asset side (non - futures, such as raw materials, etc.) of the material balance sheet is greater than the quantity N of the liability side (non - futures, such as outstanding orders, etc.) of the material balance sheet, then the futures (sold) hedge the overall inventory such as raw materials, and adopt the fair value hedging accounting treatment principle.

[0162] Cash flow hedging: When the quantity M of the asset side (non - futures, such as raw materials, etc.) is less than or equal to the quantity of the liability side (non - futures, such as outstanding orders, etc.), then the futures (bought) hedge the orders, etc., and adopt the cash flow hedging accounting treatment principle.

[0163] In some embodiments, before applying the fair value hedge accounting treatment principle or the cash flow hedge accounting treatment principle for hedge accounting, it further includes: decomposing the raw material price of the material into a benchmark price, a premium or discount, and other expenses, and recording the benchmark price and the premium or discount as the cost price; decomposing the finished product price of the material into a benchmark price, a premium or discount, processing fees, and other expenses or the quoted price, and recording the benchmark price, the premium or discount, the processing fees, or the quoted price as the selling price; when performing hedge accounting, using the cost price and the selling price for hedge accounting.

[0164] This embodiment not only details the material procurement, inventory, and sales data in the enterprise's business activities, but also decomposes the quantity of the purchased and sold materials according to the use of the basic materials to obtain the most basic material purchase and sales data, and participates in the quantity calculation of the material balance sheet and the hedge accounting treatment. Through the double decomposition (quantity and price) of the material price, the enterprise can formulate a more accurate hedging strategy.

[0165] In some embodiments, the measurement of the fair value hedge accounting treatment principle can adopt existing technologies, and preferably adopt the following measurement process:

[0166] Settle the total inventory daily according to the spot settlement price of the day, and record the settlement profit and loss as S1;

[0167] Settle the sold futures daily according to the futures settlement price, and record the settlement profit and loss as S2, where S2 contains the closing profit and loss calculated according to the previous day's settlement price and the current day's transaction price;

[0168] Record the selling price of the material, that is, the order income determined on the delivery date, as P0, record the total inventory cost obtained according to the spot settlement price of the day as C1, and record the unfilled orders as n;

[0169] Amortize the total inventory profit and loss (N / M)*S1 corresponding to the order quantity to each order n according to a preset ratio i , and record it as s1, order n i Accumulate and sum up the profit and loss D1 through the daily amortized s1, D1 = [(s11 + s12 + s13....)], where s11 is the s1 amortized on the first day for order n i Included in the s1 amortized on the first day, s12 is the s1 amortized on the second day for order n i The s1 amortized on the second day, and so on, until the s1 amortized on the current day for order n i The s1 amortized on the current day.

[0170] When D1 is greater than 0, the initial raw material cost C0 = C1 - (D1 / n); when D1 is less than or equal to 0, the initial raw material cost C0 = C1 + (D1 / n);

[0171] The cost of materials is confirmed by C0*n, and the revenue of materials is confirmed by P0*n. The profit and loss are included in the current period, achieving the matching of revenue and cost, that is, completing the hedging accounting treatment;

[0172] Amortize S2 to the total inventory of each remaining M-N in accordance with a preset ratio, denoted as s2;

[0173] Accumulate and sum up the profit and loss Q through the daily amortized s2, Q = [(s21 + s22 + s23....)], where s21 is the s2 amortized to the total inventory of each remaining M-N on the first day, s22 is the s2 amortized to the total inventory of each remaining M-N on the second day, and so on, until the s2 amortized to the total inventory of each remaining M-N on the current day.

[0174] The cumulative profit and loss R of the daily spot settlement profit and loss s3 of the total inventory of M-N, R = (s31 + s32 + s33....), where s31 is the s3 amortized to the total inventory of each remaining M-N on the first day, s32 is the s3 amortized to the total inventory of each remaining M-N on the second day, and so on, until the s3 amortized to the total inventory of each remaining M-N on the current day. Then, the profit and loss of Q plus R at the end of the month is included in the current profit and loss, that is, completing the hedging accounting treatment.

[0175] In some embodiments, the measurement of the cash flow hedging accounting treatment principle can adopt the prior art, and preferably adopt the following measurement process:

[0176] Conduct daily settlement on the total inventory according to the daily spot settlement price, and record the settlement profit and loss as S3;

[0177] Conduct daily settlement on the purchased futures according to the futures settlement price, and record the settlement profit and loss as S4, where S4 contains the closing profit and loss calculated according to the previous day's settlement price and the current day's transaction price;

[0178] Record the selling price of the materials, that is, the order revenue determined on the delivery date, as P0, record the total inventory cost obtained according to the daily spot settlement price as C1, and record the unfilled order as n;

[0179] Amortize S3 to each order n respectively according to a preset ratio i , denoted as s3, order n i Accumulate and sum up the profit and loss D2 through the daily amortized s3, D2 = [(s31 + s32 + s33....)], where s31 is the s3 amortized to order n i on the first day, s32 is the s3 amortized to order n i on the second day, and so on, until the s3 amortized to order n i on the current day.

[0180] When D2 is greater than 0, the initial raw material cost C0 = C1 - (D2 / n); when D2 is less than or equal to 0, the initial raw material cost C0 = C1 + (D2 / n). The matching of revenue and cost is achieved, and based on this, revenue and cost are recognized and carried forward, and the hedging profit and loss are accounted for.

[0181] Amortize S4 to each order n according to a preset ratio i , denoted as s4. The cumulative total profit and loss T is obtained by adding up the daily amortized s4, T = [(s41 + s42 + s43....)], where s41 is the s4 amortized to order n i credited to the s4 amortized on the first day, s42 is the s4 amortized to order n i the s4 amortized on the second day, and so on until the s4 i amortized on the current day for order n.

[0182] The revenue of the material is confirmed through P0 * n, and the cost of the material is confirmed through C0 * n + T or C1 * n + D2 + T. The profit and loss are recorded in the current period, and the matching of revenue and cost is achieved, thus completing the treatment of hedging accounting.

[0183] Through the above hedging risk quantification method, the present invention has the following advantages compared with the prior art:

[0184] Quantitative risk management: By introducing the hedging ratio, refined management and quantitative analysis of risks are achieved.

[0185] Data transparency: Based on the principle of double-entry bookkeeping, the integrity and consistency of data are ensured, providing a solid foundation for financial analysis and risk management.

[0186] Optimized resource allocation: Optimize the production plan through the material balance sheet, reduce inventory backlog, and lower the capital occupation cost.

[0187] Simplified risk identification: Shift from looking for uncertain factors to looking for certain factors, significantly reducing the management cost.

[0188] Improved risk management efficiency: Adjust the strategy in real time through the dynamic monitoring system to ensure the flexibility and effectiveness of risk management.

[0189] Enhanced enterprise competitiveness: By finely managing the risk exposure, the enterprise can better cope with market fluctuations and ensure the stability of profits.

[0190] Improved economic benefits: By optimizing the hedging strategy, not only the risk is reduced, but also the economic benefits are significantly improved.

[0191] Decision support: By superimposing the model cross-tabulation and the decision tree model, more accurate hedging decision support is provided, enhancing the enterprise's anti-risk ability in the face of market fluctuations.

[0192] Automated determination of hedge accounting: By comparing the quantity on the asset side (non-futures) and the quantity on the liability side (non-futures), the real-time adaptive determination of the hedge accounting method is achieved, and the basic financial data required for hedge accounting treatment is automatically generated at the end of the month.

[0193] An embodiment of the present invention also provides a hedging risk quantification device, which includes:

[0194] A quantification data module, configured to obtain the quantity on the asset side and the quantity on the liability side of the material, and obtain the hedging ratio of the material through the hedging ratio calculation formula. The hedging ratio calculation formula is:

[0195]

[0196] where O is the hedging ratio, F is the quantity on the asset side, and L is the quantity on the liability side.

[0197] In some embodiments, the hedging risk quantification device further includes:

[0198] A risk judgment and adjustment module, configured to judge whether the hedging ratio exceeds a preset tolerance range. If it exceeds, at least one of the asset factor of the quantity on the asset side and the liability factor of the quantity on the liability side is adjusted until the hedging ratio is within the tolerance range.

[0199] In some embodiments, the hedging risk quantification device further includes:

[0200] A module for determining the hedge accounting treatment principle, configured to obtain the quantity on the asset side and the quantity on the liability side of the material, set the quantity on the asset side except for the futures purchase quantity as quantity M, and set the quantity on the liability side except for the futures sale quantity as quantity N; if there are no outstanding orders in the quantity on the liability side, when performing hedge accounting treatment, the fair value hedge accounting treatment principle is adopted; if there is total inventory in the quantity on the asset side and there are outstanding orders in the quantity on the liability side, when M is less than or equal to N, when performing hedge accounting treatment, the cash flow hedge accounting treatment principle is adopted; when M is greater than N, when performing hedge accounting treatment, the N part adopts the cash flow hedge accounting treatment principle, and the M minus N part adopts the fair value hedge accounting treatment principle.

[0201] An embodiment of the present invention also provides a computer device, including a memory and a processor. When the computer-readable instructions stored in the memory are executed by the processor, the processor executes the steps of the hedging risk quantification method provided in the above embodiments.

[0202] An embodiment of the present invention also provides a storage medium storing computer-readable instructions. When the computer-readable instructions are executed by one or more processors, the one or more processors execute the steps of the hedging risk quantification method provided in the above embodiments.

[0203] Example 1:

[0204] A simulation test was conducted on a copper processing enterprise from November 2019 to August 30, 2024. The test conditions are as follows:

[0205] Monthly sales order volume: 1000 tons

[0206] Average delivery cycle: 30 days

[0207] Initial inventory: 400 tons

[0208] Initial undelivered orders: 2000 tons

[0209] Under the condition of ensuring inventory safety, the enterprise carried out open position management and basis management through the material balance sheet technology of the present invention.

[0210] The market data is as follows:

[0211] Content Data Date 2022.4.25 Number of historical market quotation samples 242 Current index price 73368 Basis 385

[0212] The material balance sheet data is as follows: (unit: ton)

[0213]

[0214] Taking April 25, 2022 as an example, its hedging ratio is 98.96%. Based on the historical preset time period within one year before April 25, the current quantile is calculated to be 0.86, and the current market trend is bullish. According to the hedging ratio overlay model cross-tabulation, the corresponding hedging ratio reference value is between 1 and 1.03. Obviously, the current hedging ratio exceeds the reference range. Furthermore, through the material balance sheet, it can be seen that the futures purchase quantity on the asset side needs to be adjusted to adjust the hedging ratio to 102.09% so that the current hedging ratio is within the reference value range. Furthermore, the basis is positive, and 90 tons of the far-month cu2207 contract are purchased.

[0215] Taking August 9, 2024 as an example, the quantity of the asset side except for the futures purchase quantity is set as quantity M = 200 tons, the quantity of the liability side except for the futures sale quantity is set as quantity N = 0, and there are no undelivered orders in the liability side. Then, when conducting hedging accounting treatment, the fair value hedging accounting treatment principle is adopted. The raw material price of the material is decomposed into the benchmark price, the forward premium / discount, and other expenses. The benchmark price and the forward premium / discount are recorded as the cost price. The finished product price of the material is decomposed into the quoted price, the forward premium / discount, and other expenses. The quoted price and the forward premium / discount are recorded as the selling price. During the process of conducting hedging accounting treatment, the cost price and the selling price are used for hedging accounting treatment.

[0216] When conducting hedging accounting treatment, refer to Figures 2 to 5It is data on the process of partial hedge accounting, where Figure 2 is the material balance sheet of copper materials, that is, the transaction data of the day (Table 1), Figure 3 is the data of the settlement profit and loss and the cumulative profit and loss of the day (Table 3), Figure 4 is the data of the settlement profit and loss and the cumulative profit and loss of the day (Table 3), Figure 5 is the process table of revenue, cost, and profit and loss recognition (Table 4).

[0217] In addition, in hedge accounting, for a pre-awarded order that is not won, the amortized profit and loss is included in the current period. The treatment of the amortized costs and related futures profit and loss for pre-awarded orders shall follow the following principles and steps:

[0218] 1. Determine the type of hedge and applicable conditions

[0219] Nature of the expected transaction: A pre-awarded order belongs to an expected transaction (a transaction that is likely to occur in the future) and is usually classified as a cash flow hedge.

[0220] Hedge accounting conditions: The expected transaction needs to be "highly probable" (for example, the pre-awarded bid has entered the contract negotiation stage and there is sufficient evidence to support it);

[0221] The hedge relationship needs to be formally designated and recorded, and its effectiveness can be reliably measured (usually requiring the hedge effectiveness to be between 80% and 125%).

[0222] 2. Treatment of futures profit and loss (hedging instrument)

[0223] Effective portion: The portion of the change in the fair value of the futures contract that hedges the exposure to the risk of the expected transaction should be included in other comprehensive income (OCI) and not enter the income statement temporarily.

[0224] Ineffective portion: The portion exceeding the hedging effect (such as basis risk or hedge ratio deviation) is directly included in the current period's profit and loss.

[0225] 3. Treatment of amortized costs (hedged item)

[0226] Nature of the amortized cost: If the costs related to the pre-awarded order have been amortized (such as previous bidding fees), it is necessary to clarify whether the cost is part of the hedged item. If the cost is directly related to the hedged risk (such as commodity price fluctuations), its amortization should be included in the assessment of the effectiveness of the hedge relationship.

[0227] Matching treatment: When the amortized cost is recognized as an expense in the income statement, if the corresponding risk has been hedged, an equal amount of the hedging profit and loss should be transferred from OCI to the current period's profit and loss to achieve profit and loss hedging.

[0228] 4. Carry-forward when the expected transaction occurs

[0229] When a pre-awarded order is converted into a formal transaction: Transfer the cumulative hedging gains and losses in OCI to the initial recognition amount of the transaction (such as adjusting the inventory cost or cost of sales), or directly recognize them in the current profit or loss.

[0230] If the order is not fulfilled: Terminate the hedging accounting treatment and immediately transfer the cumulative gains and losses in OCI to the current profit or loss.

[0231] 5. Examples of specific accounting entries

[0232] Change in fair value of futures (effective portion):

[0233] Debit / Credit: Derivative financial instrument (futures contract)

[0234] Credit / Debit: Other comprehensive income - Cash flow hedging reserve

[0235] Amortization cost recognition expense:

[0236] Debit: Selling expense / Administrative expense

[0237] Credit: Prepaid expense / Accumulated amortization

[0238] Carry forward OCI to profit or loss (matching amortized cost):

[0239] Debit / Credit: Other comprehensive income - Cash flow hedging reserve

[0240] Credit / Debit: Cost of sales / Revenue from operations (or other relevant profit or loss accounts)

[0241] 6. Key considerations

[0242] Document integrity: It is necessary to retain the documentary evidence of hedging relationship designation, effectiveness assessment, and pre-awarded orders.

[0243] Continuous assessment: Regularly check the hedging effectiveness and the likelihood of expected transactions. If the conditions are not met, terminate the hedging accounting.

[0244] Disclosure requirements: Disclose the hedging instrument, hedged item, changes in OCI, and the impact on profit or loss in the financial statements.

[0245] 7. Summary

[0246] The amortized cost of the pre-awarded order and the futures gains and losses need to be accounted for through cash flow hedging accounting to ensure that the change in the fair value of the hedging instrument (effective portion) is temporarily stored in OCI and is carried forward synchronously when the transaction actually occurs or when the cost affects the profit or loss, realizing the financial reflection of risk hedging. It is necessary to strictly follow the applicable conditions of hedging accounting and maintain sufficient documentary support.

[0247] Through testing, the cumulative increased income from thickening is 8.67 million yuan. Calculated at a processing fee of 1,500 yuan per ton, the average cost reduction and efficiency improvement reaches 11.56% (8.67 million / 750,000), equivalent to a single-ton income of 173 yuan.

[0248] The present invention has been described in detail with reference to the accompanying drawings and embodiments. Those of ordinary skill in the art can make various variations of the present invention based on the above description. Therefore, certain details in the embodiments should not constitute a limitation to the present invention, and the present invention will be protected by the scope defined in the appended claims.

Claims

1. A hedging risk quantification method, characterized in that: The hedging risk quantification method includes: Get the asset-side quantity and liability-side quantity of the material, and get the hedging ratio of the material through the hedging ratio calculation formula. The hedging ratio calculation formula is: Among them, O is the hedging ratio, F is the number of assets, and L is the number of liabilities.

2. The hedging risk quantification method according to claim 1, characterized in that: The asset-side quantity includes at least one of the asset factors of pre-hedged production, total inventory and futures purchase quantity, and the total inventory preferably includes at least one of raw material inventory, finished product inventory and waste; And / or, the liability end quantity includes at least one liability factor of unsold orders, pre-bid quantity and futures sold quantity added together; the unsold orders preferably include at least one of unsold order raw materials not purchased, unsold order raw materials purchased and unsold order finished products; And / or, the asset-side quantity and the liability-side quantity are obtained by at least one of manual entry, acquisition from original data and external data import; And / or, the quantity on the asset side and the quantity on the liability side are obtained and displayed through a preset material balance sheet, and the hedging ratio is displayed through the material balance sheet; the material balance sheet preferably includes the enterprise name and the names of the materials under the enterprise name, and the material names have the corresponding asset factors of the asset side quantity, the asset side quantity, the liability factor of the liability side quantity, the liability side quantity and the hedging ratio; the material name more preferably also has the difference number and remarks between the asset side quantity and the liability side quantity.

3. The hedging risk quantification method according to claim 1 or 2, characterized in that: The hedging risk quantification method also includes: Determine whether the hedging ratio exceeds a preset tolerance range. If so, adjust at least one of the asset factor of the asset-side quantity and the liability factor of the liability-side quantity until the hedging ratio is within the tolerance range.

4. The hedging risk quantification method according to claim 3, characterized in that: The asset factor includes the futures purchase quantity, and the liability factor includes the futures sales quantity; when the hedging ratio exceeds the tolerance range, at least one factor of the futures purchase quantity and the futures sales quantity is adjusted until the hedging ratio is within the tolerance range; And / or, the tolerance range is a dynamic range that can be dynamically adjusted.

5. The hedging risk quantification method according to claim 4, characterized in that: The hedging risk quantification method also includes: Obtaining a preset hedging ratio reference value, and when the hedging ratio reference value is within the tolerance range, adjusting at least one factor of the futures purchase quantity and the futures sale quantity until the hedging ratio reaches the hedging ratio reference value; The hedging ratio reference value is preferably obtained in the following manner: Calculate the quantile of the current futures price based on the futures price in the historical preset time period to obtain the current quantile of the current futures price; Compare the current spot price and the price difference between futures contracts within a preset historical time period to determine the current market trend; The current quantile and the current market trend are queried in a preset hedging ratio superposition model cross table to obtain a hedging ratio reference value; The hedging ratio superposition model cross table is preferably obtained in the following manner: According to the preset price classification and trend classification, the preset cross-tab is filled in to obtain an initial cross-tab. The variable importance index in the preset decision tree model is used to determine whether the data in the initial cross-tab conforms to the business logic. If not, it is modified until it conforms to the business logic, and finally the hedging ratio superposition model cross-tab is obtained.

6. The hedging risk quantification method according to claim 1 or 2, characterized in that: The hedging risk quantification method also includes determining the hedging accounting treatment principles: Obtain the asset-side quantity and liability-side quantity of the material, set the asset-side quantity excluding the futures purchase quantity to quantity M, and set the liability-side quantity excluding the futures sale quantity to quantity N; If there are no unsold orders in the liability side quantity, fair value hedge accounting principles shall be adopted when performing hedge accounting; If there is total inventory in the asset quantity and there are unissued orders in the liability quantity, when M is less than or equal to N, the cash flow hedging accounting principles shall be adopted when performing hedging accounting treatment; when M is greater than N, the cash flow hedging accounting principles shall be adopted for the N part, and the fair value hedging accounting principles shall be adopted for the M minus N part.

7. The hedging risk quantification method according to claim 6, characterized in that: Before adopting fair value hedge accounting principles or cash flow hedge accounting principles for hedge accounting, it also includes: The raw material price of the material is broken down into the base price, premiums and discounts, and other expenses, and the base price and premiums and discounts are recorded as the cost price; The price of the finished product of the material is broken down into the base price, premiums or discounts, processing fees and other fees or quoted prices, and the base price, premiums or discounts, processing fees or quoted prices are recorded as the sales price; When performing hedging accounting, the cost price and the sales price are used for hedging accounting; And / or, the measurement process of the fair value hedge accounting principle is: The total inventory is settled daily according to the spot settlement price of the day, and the settlement profit and loss is recorded as S1; The futures sold are settled daily according to the futures settlement price, and the settlement profit and loss is recorded as S2, where S2 contains the profit and loss of closing the position calculated according to the settlement price of the previous day and the transaction price of the day; The sales price of the material, that is, the order revenue confirmed on the delivery date, is recorded as P0, the total inventory cost obtained according to the spot settlement price of the day is recorded as C1, and the unsent orders are recorded as n; Amortize the total inventory profit and loss (N / M)*S1 corresponding to the order quantity to each order n according to the preset ratio i , denoted as s1, order n i The total profit and loss D1 is accumulated through the daily allocation of s1; When D1 is greater than 0, the initial cost of raw materials C0 = C1-(D1 / n); when D1 is less than or equal to 0, the initial cost of raw materials C0 = C1+(D1 / n); The cost of materials is confirmed through C0*n, the income of materials is confirmed through P0*n, and the profit and loss are recorded in the current period, thus achieving the matching of income and cost, that is, completing the hedging accounting process; Amortize S2 to the total inventory of each remaining MN according to the preset ratio, recorded as s2; The hedging accounting is completed by adding up the accumulated profit and loss Q of s2 allocated daily and the accumulated profit and loss R of s3 of the daily spot settlement profit and loss of MN's total inventory. The profit and loss Q plus R at the end of the month is included in the current profit and loss. And / or, the measurement process of the cash flow hedge accounting principle is: The total inventory is settled daily according to the spot settlement price of the day, and the settlement profit and loss is recorded as S3; The purchased futures are settled daily according to the futures settlement price, and the settlement profit and loss is recorded as S4, where S4 contains the profit and loss of closing the position calculated according to the settlement price of the previous day and the transaction price of the day; The sales price of the material, that is, the order revenue confirmed on the delivery date, is recorded as P0, the total inventory cost obtained according to the spot settlement price of the day is recorded as C1, and the unsent orders are recorded as n; Amortize S3 to each order n according to the preset ratio i , recorded as s3, order n i The total profit and loss D2 is accumulated through the daily allocation of s3; When D2 is greater than 0, the initial cost of raw materials C0 = C1-(D2 / n); when D2 is less than or equal to 0, the initial cost of raw materials C0 = C1+(D2 / n), achieving the matching of income and cost, based on which income and cost are recognized and carried forward, and hedging profit and loss accounting is performed; Amortize S4 to each order n according to the preset ratio i , recorded as s4, the accumulated profit and loss T is calculated by daily allocation of s4; The revenue of materials is confirmed through P0*n, the cost of materials is confirmed through C0*n+T or C1*n+D2+T, and the gains and losses are recorded in the current period, thus achieving the matching of revenue and cost and completing the hedging accounting processing.

8. A hedging risk quantification device, characterized in that: The hedging risk quantification device comprises: The quantitative data module is used to obtain the asset-side quantity and liability-side quantity of the material, and obtain the hedging ratio of the material through the hedging ratio calculation formula. The hedging ratio calculation formula is: Among them, O is the hedging ratio, F is the number of assets, and L is the number of liabilities.

9. A computer device, characterized in that: The method comprises a memory and a processor, wherein the memory stores computer-readable instructions, and when the computer-readable instructions are executed by the processor, the processor executes the steps of the hedging risk quantification method according to any one of claims 1 to 7.

10. A storage medium storing computer-readable instructions, characterized in that: When the computer-readable instructions are executed by one or more processors, the one or more processors are caused to perform the steps of the hedging risk quantification method according to any one of claims 1 to 7.

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