| 1. Background and purpose of the thesisThe finance is regarded as the core of the modern economy, at the same time, it is that the risk is the greatest, frequently, most sensitive and fragile economic field. Especially in the seventies of the 20th century, since collapsing in Bretton Woods System, most countries have implemented the floating exchange rate system in the world, the exchange rate floats and is not limited again, and international capital extensive sport and frequent trade of foreign exchange market these will cause of different exchange rate among the currency to fluctuate by a large margin, this makes the bank face the enormous exchange rate risk, the exchange rate risk management with effective science seems extremely important to the competitiveness and sound development of the bank which promote the bank.The exchange rate risk is one of the risks of staple market which the commercial bank faces while managing, with the swift and violent development of financial derived products after the eighties of the 20th century, and Bahrain Bank, etc. lead to the fact because of carrying on the trade of derived products that the incident lost, going bankrupt frequently happens, so Basel committee is it supplement to make to capital agreement on 1996, include market risk in capital supervise the category."New capital agreement of committee of Basel"passed in June of 2004. Call three major risks that the commercial bank management with credit risks, market risk, risks of operating it clearly.On 21 July 2005, China announced the reform measures of RMB exchange rate regime, shifting to a more flexible managed float with reference to a basket of currencies. As a result, China's commercial banks are facing with serious challenge inherent in the new exchange rate mechanism. After this, the PBC issued a series of relevant policies successively, advanced the reform of the exchange rate system of RMB further. However, in the exchange rate system which our country has implemented since 1994, this makes commercial bank negligent of the risk and keep a lookout for a long time, in such aspects as risk management mechanism, way, personnel and products innovation, can't meet the needs of new exchange rate mechanism, and there is greater disparity. So exchange rate this form reform of system deal in to of our country business of commercial bank and risk management put forward high request. So, seek the theory method to suit exchange rate risk of commercial bank of our country, carry on effective risk management to the commercial bank according to the current rule, have very important meanings in promoting the bank competitiveness and sound development of the bank, this is my original intention to choose the theme.2. Structure of this thesisThis paper is divided into five parts:The first part, nominal rate stability of RMB, international revenue and expenditure improve, reduce the interest rate in order to stimulate the demand, there is a contradiction analogous to the degree between these three: on the premise of safeguarding the exchange rate steadily, the linkage function of interest rate and exchange rate will be limited. In the long run, the exchange rate reform of RMB has already become inevitable,strengthening the management of the exchange rate risk is the question that the commercial bank should face sooner or later.The second part,the summary about exchange rate risk in commercial bank management. At first, the paper has analyzed the definition, classification and origin cause of formation of the exchange rate risk, then it is the introduction to three kinds of methods of weighing the exchange rate risk, the value law of the risk, testing the law and scene analytic approach extremely. Finally, it is basic theories of risk management of the exchange rate.The third part,the current situation and theoretical analysis of exchange rate risk management in our commercial banks. Compare with the international leading practice about exchange rate risk management of banking, the commercial bank of our country has greater disparity. Mainly showing in the following aspects: at first, the commercial bank has greater disparity on personnel's quality and management culture, bank enterprises have not formed well risk management culture yet, have lacked overall risk management consciousness. Secondly it is the commercial bank that there is disparity on the system factor too, the relevant supplementary measure was not set up and perfected either. Moreover, there is a method to lag behind in the demeanor means of the exchange risk too, way in the commercial bank of our country, indifferent characteristic, can't meet the needs of forming the mechanism and risk management in new RMB exchange rate. Finally, as one of the risk management important means of commercial bank, it is obviously insufficient that the banking of our country exists in the innovative respect of the finance.The fourth part,the reform measures of RMB exchange rate regime's impact on risk management of commercial bank of our country. The adjustment of the exchange rate of RMB not merely makes the home currency and foreign currency assets of the commercial bank and debt structure produce certain change, the more important thing is that the commercial bank of our country begins to face the double tests of the interest rate risk and exchange rate risk. Improve ability and level of managing and controlling the market risk and already become task of top priority of China-invested Bank as soon as possible, it is the important sign of weighing managerial skill of commercial bank and synthesized competitiveness too. After this exchange rate system reform, will form RMB exchange rate mechanism full of more elasticity, the fluctuation of the exchange rate will be frequent day by day, fluctuating range will be strengthened further, this to the domestic commercial bank which lacks the experience of management of the exchange rate risk, the difficulty in management is self-evident, the commercial bank must heighten the level of risk management of the exchange rate as soon as possible.The fifth part,set up and amplify the exchange rate risk mechanism of the commercial bank of our country. Under the new exchange rate system, the uncertainty of the exchange rate of RMB increases to some extent, the commercial bank must have stronger risk pricing ability and stronger risk managerial ability, improving the management level of the exchange risk actively, perfect the management system of the exchange risk as soon as possible. Promote the risk managerial ability, innovation ability of the products, marketing ability and trade profit ability of the business of the foreign exchange funds in a more cost-effective manner. Set up and amplify the exchange rate risk mechanism of the commercial bank of our country, thus tackle the coming challenge.3. Innovation and deficiency of this paperThis paper pays attention to the combination of the theory and practice during the process of analyzing exchange rate risk management of commercial bank of our country, standardize analysis and practice analysis that combines together, has used the analytical method of deducing, comparing etc., have used certain data analysis, have expounded the fact more systematically how to strengthen the exchange rate risk management of commercial bank of our country and set up and amplify the frame of the exchange rate risk mechanism. In the theory, this paper tries to use"Mundell– Fleming"model to analysis the coordination of monetary policy and the exchange policy of our country, the commercial bank of our country must face the challenge that the exchange rate risk bring sooner or later. At the same time, on the basis of anglicizing the commercial bank's own exchange rate risk, combine the reality of domestic exchange rate risk management, analyzes that suits the basic frame of exchange rate risk management of commercial bank of our country.Generally speaking, as to commercial bank research, exchange rate of risk management, western developed country it accumulates to be comparatively abundant experience, however, restricted by the current situation of the development of financial market of our country, return the place the management in exchange rate risk of our country on the more primitive basis, with the deepening gradually of financial reform, the further perfection of market system, the management of the exchange rate risk of commercial bank of our country will step into a brand-new stage too.For the limitation of my theory level, maybe there are still some error and slip. I expect to get direction from teachers, and I will make great efforts to improve it in the future. |
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