| Since the beginning of 21st century, Chinese commercial banks'reformation and development is moving forward rapidly, being confronted with at the same time also austere challenge and excellent opportunity. Among them the exchange rate administration is brought about by the globalization of world economy and the global macro-economy environment development and it becomes an especially outstanding problem. How carries out identification, measurement and their administration on exchange rate is an urgent mission of Chinese commercial banks. So how to improve Chinese commercial banks' exchange rate risk administration level is necessary to opens up international financial market and finance safety work.First of all, three kinds of foreign exchange risks are defined: transaction risk, accounting risk and economic risk. But the sources of foreign exchange risks in commercial banks owe much to the foreign currency trading and foreign asset and liability position. In the second, it shows how to measure the foreign exchange risk of commercial banks. VaR is introduced as a very popular method of foreign exchange risk measurement. Stress testing, also a measurement method of foreign exchange risk is expanded. Stress testing, being differ from VaR, put particular emphasis on the exceeding tail assembly event of assets gains and losses distribution, in this way it's made up the defects of VaR to a certain extent. Thirdly, it carries on comparative analysis to the risk management methods of western commercial banks and it suggests some countermeasure of risk management. Our commercial banks can have very great enlightenment for their experiences. In the last place, we firstly point out that foreign exchange risk management is badly needed for Chinese commercial banks.To sum up the main points of the paper, almost all the commercial banks have to face the foreign exchange risk, and each bank should choose the appropriate methods to measure and manage its specific foreign exchange risk. |
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