A Study On Exchange Rate Risk Management Of Chinese Commercial Banks Based On Exposure Analysis And Value At Risk

For a long time,China has implemented a single peg to the us dollar exchange rate system,and the RMB exchange rate is basically stable.China’s commercial Banks have not paid attention to the risks that may be caused by exchange rate fluctuations,and the level of exchange rate risk management is backward.From July 21,2005,China began to implement a managed floating exchange rate system based on market supply and demand,with reference to a basket of currencies for adjustment.Subsequent years,the pace of the RMB exchange rate reform has been stalled,the marketization of exchange rate under the condition of the deepening,the RMB exchange rate volatility,uncertainty,for financial institutions on the risk prevention ability put forward higher request,as the main participants in the foreign exchange market exchange rate risk of commercial bank faces.At the same time,in the context of economic globalization,with the gradual integration of China’s economy into the world economy as a whole and the deepening of the reform of the exchange rate management system and financial system,the foreign exchange business of China’s commercial Banks is growing rapidly,and the exchange rate risks they face are increasing.Therefore,for the stable development of China’s commercial Banks,exchange rate risk management is becoming more and more important,strengthening exchange rate risk management is urgent.Based on the analysis of existing literature at home and abroad on the basis of exchange rate risk faced by Chinese commercial Banks is studied,this paper introduces the basic theory of exchange rate risk,exchange rate risk for the intuitionistic descriptions,and analyzes the present situation of our country commercial bank exchange rate risk measurement and management,and the theoretical study and actual situation,draw lessons from and to improve the references related to exchange rate risk in the field of research;This paper analyzes the current situation of exchange rate risk,foreign exchange business and risk response of China’s commercial Banks and conducts data demonstration.The main points and conclusions of this paper are as follows:(1)based on the sensitivity analysis of enterprise value of major commercial Banks to exchange rate fluctuations,it is concluded that different Banks have different degrees of exposure to exchange rate risks,and the more frequent the foreign exchange business transactions,the higher the degree of exposure to exchange rate risks;(2)based on the sample bank’s foreign exchange exposure data,through differentexposure analysis method to calculate and compare,exchange rate risk of commercial bank has carried on the preliminary measuring and understanding,then based on the VaR risk value method,with the foreign exchange markets as the research object,carries on the quantitative analysis of exchange rate risk,exchange rate reform process in China that contributed to the exchange rate risk,exchange rate market opening up(3)it tries to conduct a quantitative study on the risk of asset portfolio through a multivariate model and compares the advantages and disadvantages of various exchange rate risk research methods.It is found that the operation of exposure analysis is simple and easy to use,and VaR has obvious advantages in data accuracy,but it also overestimates the risk.Each method of risk measurement has its own advantages and disadvantages,so we should make a decision in risk measurement.