The Estimate And Management Of China Commerchial Banks Exchange Rate Risk

The management of exchange irsk mainly contains several schedules,it includesidentification estimate monitoring and control.and derive from business operationsinvestment overseas profit transfer and foreign exchange capita.How to measurementis a important aspect,The Basel Committee recommend open analysis and modelmethod,in the mean while model method can be divided into the basic model and thecommercial banks’ internal mode.Although our country commercial banks introduceand develop various model methods，its efficiency need to be further tested.In this context,to search for the most suitable model of the RMB exchangerate,we compared several models of estimate foreigner exchange rate.Select thecentral parity rate of the foreign exchange trading center as the exchange date datasources,select several commercial banks as the bank sample,and foreign currencyposition of the Bank of China as the sample of the model-test. We find that historicalsimulation is more reliable for it.China’s commercial banks should make full use ofthis way to estimate irsk.In the mean while, from the China’s commercial banks interperspective,they have many disadvantage at their management，the use of derivative isnot sufficient,and lack excellent experts.From the outside perspective,our country’sderivative markets is not developed,there are still many restrictions,the threshold isstill high,the interest rate market mechanism still has not been established,and thecommercial banks lack competitive pricing ability.All these reasons restrictcommercial bank’s abilities to manage the exchange rate irsk.