The Measurement And Control On Foreign Exchage Risk Of Commercial Bank In China

For a long time, the RMB exchange rate basically fixed, China's commercial banks do not attach great importance to the possible changes in the exchange rate risks, the level of their exchange rate risk management backward. On July 21, 2005, China began to implement the basis of market supply and demand, with reference to a basket of currencies, managed floating exchange rate system. The reform of the exchange rate system to domestic financial institutions to create a more relaxed environment for the development, but also to the financial institutions in risk prevention capabilities to a higher demand, as major players in the foreign exchange market of commercial banks will face enormous exchange rate risks. Against this background, China's commercial banks on the exchange rate risk management study has some practical guide.The basic logic of this structure is to abide by the norms of risk management model designed, in accordance with risk identification - risk measurement - risk management. The full text is divided into five chapters: Chapter 1 Introduction, this paper introduces the topics of research background and significance , the status quo at home and abroad study, the research methods used in this paper and its lack of the paper; The second chapter of our country's commercial banks outlined in the general exchange rate risk, including the risk of exchange rate definition and classification, the causes of exchange rate risk in China's commercial banks, exchange rate risk on China's major commercial banks; Chapter III of China's commercial banks exchange rate risk measurement, is the focus of the full text. This chapter details on risk measurement methods and VaR, and use risk measurement methods and VaR model simulation of historical data, the combination of foreign exchange transactions in recent years data on a bank's exchange rate risks to do empirical analysis; Chapter IV of the exchange rate of China's commercial banks risk control, this chapter introduces the exchange rate risk control of commercial banks the main ways and means, and then analyzed the exchange rate of China's commercial banks risk management status quo, the final view of the commercial exchange rate risk management in some of the issues raised in the corresponding solutions and ideas; The final chapter is the summary of the full text.