Research On Foreign Exchange Risk Measurement And Countermeasures Of Chinese Commercial Banks Based On VaR Model

On June 19,2010,China announced the implementation of the "secondary exchange rate reform",which ended the floating peg of RMB to the U.S.dollar and changed the peg to a basket of currencies,making exchange rate fluctuations more normal.Under the general trend of economic globalization and RMB internationalization,the future RMB exchange rate fluctuations will more reflect the changes of market supply and demand,and the measurement and management of the exchange rate risks of commercial banks will certainly put forward higher requirements.Therefore,how to accurately measure the exchange rate risk of Chinese commercial banks and effectively prevent the risk caused by exchange rate fluctuations has become the core of commercial banks' foreign exchange business.Based on the foreign exchange risk and foreign exchange risk measures facing the commercial banks in China,trying to explore a more reliable measurement method of the foreign exchange risk through the analysis of characteristics of each foreign currency yield sequence data and the test of model,we finally picked out the best model for each sequence,making the sequence and the best fitting model matched.There have important theoretical and practical significance for the accurate measurement of foreign exchange risk and taking corresponding risk control measures for Chinese commercial banks.Based on this,this article takes our country foreign exchange business of eight largest commercial banks(Bank of China,Industrial and Commercial Bank of China,China Construction Bank,Agricultural Bank of China,Bank of Communications,China Merchants Bank,China Minsheng Bank,Shanghai Pudong Development Bank)as the research object,select its annual report disclosure of net foreign exchange exposures(U.S.dollar,Hong Kong dollar,euro,Japanese yen,and British pound)from 2010 to 2019,and daily exchange transaction price(US dollar,Hong Kong dollar,euro,Japanese yen,and British pound)from June 21,2010 to December 31,2019 to measure the exchange rate risk of commercial bank in our country.First of all,the five groups have carried on the model applicability test yield sequence of foreign exchange,and then use the GARCH group model based on the t distribution and GED distribution,choosing the best appropriate model.For the sequence that cannot fit the condition of GARCH model,using the historical simulation method.Finally we choose the best model for each sequence: U.S.dollar-EGARCH-M-GED model,Hong Kong dollar-TARCH-M-GED model,euro-EGARCH-GED model,Japanese yen-PARCH-t model and pound-historical simulation method.Then,the value of Va R per unit foreign exchange risk is measured according to the selected best model,and then the total exchange rate risk Va R is measured in combination with the net foreign exchange exposure of eight commercial banks.The measurement results show that,Chinese commercial banks have the highest risk per unit of Hong Kong dollar and the lowest risk per unit of U.S.dollar,but it has increased sharply after 2015.For the Bank of China,the total risk of five kinds of foreign exchanges all decreased after 2015,and even realized some profits.For other commercial banks,the risk of Hong Kong dollar has been at a high level for nearly a decade.The risk of U.S.dollar of state-owned banks has significantly decreased after 2015,while the risk of total U.S.dollar of non-state-owned banks have increased slightly.Finally,based on the analysis of the measurement results of exchange rate risk,this paper puts forward the countermeasures of exchange rate risk management from the aspects of correctly selecting the measurement method of exchange rate risk and optimizing the management of foreign exchange exposures.This paper enriches the research on the measurement and management of the exchange rate risk of commercial banks and provides necessary reference for the practice of the measurement and management of the exchange rate risk of commercial banks in China.