The Application Research Of Cvar On Commercial Bank's Exchange Rate Risk Evaluation

The commercial banks' risk management has always been the important researching object of the theory and industry field. With the newly reform of RMB exchange rate forming mechanism on 21, July 2005 and a series of corresponding reform measures in the exchange market, RMB exchange rate is inclined to market-oriented and fluctuates more and more frequently. So, RMB exchange rate risk appears increasingly apparent, which a variety of economic bodies including trade and investment bodies involved in foreign affairs, commercial banks and central bank and so on are subject to. Under the background, how to strengthen the management of RMB exchange rate risk has being an important task that the economic bodies are faced with, while the core and premise of the task is to realize the effective measurement of RMB exchange rate risk. The reformation of exchange rate system changes the costume of commercial banks, and they have become the undertaker of Renminbi exchange rate risk. Because of the notation of managing exchange lag, we write this article to improve the notation and manage efficiently exchange rate risk.This article is divided into three parts.First, we introduce the definition and the classification of exchange rate. The measurement of exchange rate risk includes risk exposure, variability analysis and VaR. Exchange rate risk is that exchange rate changing brings to the uncertain of asset, disability and earn. Generally speaking, exchange rate risk is changed by deal risk, discount risk and economic risk. The reason for commercial banks to have exchange rate risk is the unequal of asset and disability. VaR has become the main method to measure the exchange rate risk.Second, we show VaR and CVaR. VaR has a lot of advantage, but it still has some flaw. The CVaR can come over VaR's flaw. CVaR can describe risk objectively. CVaR is the conditional mean beyond of VaR, and VaR answer the problems of mast loss during some time, but can not answer the loss beyond of this possibility. CVaR can resolve this problem. The main method of resolving CVaR includes line programming and parameter method.At last, we make use the sample to calculate the exchange rate risk on the basis of CVaR. We find that CVaR is better that VaR and the best measurement of calculating CVaR is on the basis of GARCH model. The empirical shows that the bank holds the wrong exchange ratio. And the USA dollar has larger risk than Japanese Yuan.