Risk Measurement Of RMB

The Latest report of international payments global ranking statistics, which is released by theWorldwide Interbank Financial Telecommunications, shows that: In January2013, the internationalpay scale of RMB account for0.63%of the global market share, ranked13th in the world. As earlyas in2010,the volume of China’s economy has already overtaken Japan，becomes the world’ssecond-largest economies. In2012, China’s total imports and exports had exceeded the UnitedStates, ranked first in the world. The huge total foreign exchange transactions and the payment levelis clearly uncoordinated. How to enlarge the pay scale by adjusting the exchange rate regime, whichis aimed at improve the economic exchange level between China and other countries.After the Exchange rate reform in2005, China carried out floating exchange rate regime basedon a basket of currencies, Along with the increasingly market-oriented of the RMB exchange ratefluctuations. The foreign exchange position of all the foreign trade body、commercial bank and thecentral bank hold、the exchange investment ratio will change with the fluctuations RMB exchangerate, which will lead to more risk. The proportion of different types of currency in the basket willdirectly determine the exchange rate risk level of the China.Along with the exchange rate risk has become increasingly prominent, how to implementeffective RMB exchange rate risk management has become an important research issue of majoreconomic entities, the premise of risk management is risk Price series of RMB exchange rate is atime series model, ARIMA model and GARCH family model can well fit the characteristics ofexchange rate fluctuations.In1993, J.P.Morgan first proposed VAR model, which is in a financial risk measurement in thestudy derivative products. After that, it has been widely used. Compared to the more traditionalfinancial risk measurement way, VAR method is simple easily understand and operate. At the sametime it can provide more information to investors. in1996, The Basel Committee on BankingSupervision explicitly put forward VAR value of the internal risk of bank. In1997, the U.S.Securities and Exchange Commission (SEC) announced that listed companies must disclosequantitative information about derivative financial instruments risk, which can use the VARmethods. At present, it has become a mainstream method of performance assessment, informationdisclosure and market risk measurement, VAR model cannot well fit the tail of the distributioncharacteristics, and which is not satisfied with the coherent risk measures. In the article we will usethe ES (expected shortfall) based on the VAR method.Exchange rate risk arises from fluctuations of the exchange rate. In the paper, firstly, analysisexchange rate volatility characteristics, then Normality Tests the unit root test, ARCH Tests, comprehensively verified the premise of application of the ES method. Fluctuations of exchangerates is asymmetric and alginate. GARCH model can well fit the exchange rate gains distribution.We will compute VAR parameters based on a Variety of different thick-tailed distribution,t-distribution, GED distribution, extreme value extreme value theory (generalized Pareto distributi-on POT),then calculate the ES value.