Studies Of Foreign Exchange Rate's Risk Management In ICBC Jilin Provincial Branch

Exchange rate risk management is that the economic subjects who touches on foreign trading use economy suitable methods to carry on the recognition, the appraisal and the management process of the exchange rate risk, in order to reduces the economic loss which are possibly brought by the exchange rate risk. The exchange rate risk mainly includes following three kinds of types: (1) transaction risk (2) management risk. (3)economic risk.The exchange rate risk recognition is the most important step of the exchange rate risk management. Only understanding exchange rate risk's origin, we can analyze the influence of the commercial bank, then takes the effective action to carry on the circumvention of exchange rate risk. The exchange rate risk reason is directly the market exchange rate change, the market exchange rate change has many kinds of factors, mainly has the macroscopic factor and the microscopic factor. The macroscopic factor includes: the international payment balance is the leading factor of affecting the exchange rate, the inflation rate height is the foundation of affecting the exchange rate change, the interest rate level is the important aspect of affecting the exchange rate, the various countries' exchange rate policy and the market intervention affect the exchange rate in certain way, the market anticipated psychology also plays to the exchange rate change on the quite major role and the foreign exchange market congenial strength also has factors on significant influence to the exchange rate change. The microscopic factor includes: The actual demand to the exchange rate change influence and according to the actual demand cash to exchange rate change factors and so on. The exchange rate risk assessment mainly adopts the VaR(value at risk) technology to carry on the survey. According to the wording explanation, VaR is"the risk value", or is"in the dangerous value".According to P.Jorion monograph in definition: VaR is the most loses of the property anticipated under the confidence and the goal time interval. A more accurate view is that VaR is amount of loss of an organization or entity, assigning the probabilityαand deadline t, among them possession estimated the loss value surpasses VaR the probability only then alpha. The mathematics express is: Prob(▽P