The Identification, Measure And Control Of The Foreign Exchange Risk Of Enterprise In The Managed Floating

The purpose of this paper is to study the foreign exchange risk of enterprise,identification,measure and to give the methods to enterprise for guarding against the foreign exchange risk.China carried out the managed floating system which depended on the supply and demand of the market,referred to the basket of money to ac-commodate.It is a impending problem that how to elude the foreign exchange risk .This paper imposes the Bayesian methods to forecast the foreign exchange rate.The International Fisher Effect proves the model can be used in practice and shows its outcome may differ from the mean squared approach.The results show that for the sample period of US dollars and Japanese yen foreign rate forecast that based upon this paper's loss function slightly outperformed those based upon the mean squared errors approach.This paper sum up the means that compute VaR previously. Analytical methodology of VaR computing supposes the return follows a conditional normal distribution.For the distribution of returns of foreign exchange rate is fatter than normal ,it will result in underestimating the VaR.This paper proposes an approach which uses the skewed mixed normal distribution to calculate VaR,with parameters of the distribution updated using the GARCH model.we choose eight foreign exchange rates which keep close watch on our country to show the results.This paper introduces CVaR briefly.Combines VaR and EVT,perceives foreign invested economic main body in the open economics the conditions of foreign exchange risk finally.This paper uses bootstrap to inference about the tail of a distribution.