Exotic Option Risk Management Analysis Based On The Case Of CITIC Pacific Event

With the continuous development of global economic integration process of the market, international investment is more frequent, the amount of money involved is also growing, the business is more and more complicated, the enterprise will face different market risks (including exchange rate risk, interest rate risk, etc.) in order to further reduce the risk of enterprises, enterprises began to try to hedge risk through financial derivatives, but in recent years because of financial derivatives trading leads to the loss of business cases emerge in an endless stream, which requires us to process financial derivatives transactions strictly, strictly control the risk of financial derivatives contracts, corporate exposures within acceptable levels.Exotic options come standard based on a combination of financial derivatives, no fixed form, can according to the requirements of the enterprise free combination package, flexible and convenient, but also because of its non standard, no fixed risk management strategy, causes the enterprise faces huge risk exposure, but the enterprise itself did not know. Currently on the market the main varieties of packing contracts and non standardization of American options and compound options, barrier options, call options, Asian options, with the continuous development of financial markets, may be more complex for exotic options.More and more Multi-National Corporation in China, international business leading enterprises are facing the risk of exchange rate, which requires companies to hedge by exchange rate brought by the change of market risk by financial derivatives, but because quantitative technology started late in China. The system development is not perfect, which resulted in a low overall ability of financial derivatives treatment of domestic enterprises, especially in the treatment of exotic options and other irregular contracts not powerless, the enterprises in large exposure to this. At the same time option design or investment bank in general than the enterprises purchase master product risks and benefits of more information, asymmetric information exists between the more serious, and the complexity of exotic options will further enlarge the information asymmetry. Therefore, the use of correct and effective pricing model, full risk assessment for the participation of exotic options trading in the domestic enterprises to reduce losses, the effective control of enterprises has important significance of risk.This will be as exotic option pricing, risk valuation model, VaR option price sensitivity index theory based on knowledge points, CITIC cumulative option contract losses case, rate of return using Monte Carlo simulation and the distribution of the cumulative teenage boy exchange rate option pricing and risk valuation in our country, for the follow-up of other enterprises in the evaluation of singular options and other complex financial derivatives contracts to provide reference.