Measurement On Chinese Commercial Bank's Risk Of Exchange Rate

As the outbreak of the global financial crisis in 2008, some financial institutions and countries were in trouble or even bankrupted instantly, so that people could be more clearly aware of the risk management of the prevention work. Financial institutions will subject to serious damage when extreme financial crisis happens. Along with the increasingly complex financial environment and the globalization of financial markets, the reforming of exchange rate mechanism, the increasing of the magnitude of exchange rate fluctuations, Chinese commercial banks will suffer more serious exchange rate risk. Exchange rate risk management has become commercial banks' focus. In this context, research on Chinese commercial banks'exchange rate risk control and management is of great practical significance.In this paper, we have done qualitative quantitative research on China's commercial banks exchange rate risk, and then we made measurement of exchange rate exposure of commercial banks. Firstly, we analyzed three kinds of exchange rate risk respectively, on the economic risk, transaction risk and accounting risks, drew three kinds of risk on the commercial Banks. Impact of different factors on the commercial banks is different, we used two-factor model as a whole to do a measure of risk analysis,and found that in the short term, the RMB appreciation on the impact of the domestic bank index is negative, the RMB appreciation would make domestic banks index short-term decline, but this effect was not obvious. The long term appreciation of the RMB exchange rate index of domestic banks is a positive appreciation of the RMB to promote domestic banks rose. RMB exchange rate appreciation for the development of China's commercial banks is both a formidable challenge and a very good opportunity.As the measurement of exposure to exchange rate risk, we use the method of Value at Risk and Stress Testing. First we use the historical simulation method to measure the risk of exchange rate of seven major commercial banks. Then with additional methods of the risk value method, namely, stress testing, to establish identity model, we make stress testing of seven major Chinese commercial banks on the exchange rate risk stress tests. Risk Management of Commercial Banks in research and practice has certain significance.