A Reserch On The Calculate Of Exchange Rate Risk Of Commercial Bank After RMB Reform

From July 21,2005 China implement the exchange rate regime which take the market supply and demand as a foundation, refers to a basket currencies to carry on the adjustment, to recently RMB rate became poplars' focus, on 2010 June 19, "will advance further RMB rate to form the mechanism reform, and enhance RMB rate elasticity, defers to the foreign exchange market exchange rate fluctuation sector which have announced, carries on the dynamic management and the adjustment to the RMB rate fluctuation system." The exchange rate marketability's advancement has brought huge challenge for the Commercial bank, because more expositions will under the external risk. The global financial crisis arouse peoples' awareness of the importance of prevent risks. Carries on the recognition and the measurement to the exchange rate risk, becomes China Commercial bank risk prevent key point. Under the background of exchange rate marketability, research Commercial bank exchange rate risk's recognition and the measurement have the significant practical significance.In this paper, we have done qualitative and quantitative research on China's commercial banks exchange rate risk. The first part, we discuss the background and significance of researching commercial bank exchange rate risks and we also comprehensive provisory authors' work which about commercial bank exchange rate risks. Secondly, we focus on the definition, classification and influence of exchange rate risk. The third part, we introduce three calculate methods:foreign exchange rate exposure, Value at Risk, Stress test. The fourth part, do some demonstration analyses to the three calculate methods. Finally, summarize the result and give some suggestions.