A Study On The Exchange Rate Risk Measurement And Avoidance Of Enterprises In The International Trade Under The Uncertainty Of The Time And Limit For The Settlement Of Payment

The global financial crisis triggered by the American sub prime-lending crisis has caused heavy losses to the financial and trading systems around the world. As one member in the system of the economic globalization, China cannot be immune from the global financial crisis. In the times of financial crisis, the number of the international trade orders in China is sharply going down and it also becomes difficult to carry out the original orders. Therefore, there are great uncertainties of the time when the enterprises can collect the payment and the limit of the collection of payment, and some enterprises become bankrupt. In addition, since China implemented the floating RMB exchange rate system, RMB has appreciated to one degree or another against other world's major currencies. The appreciation of RMB and the fluctuations of exchange rate have no doubt increased the risk of the enterprises in international trade. Besides, because China's financial derivatives market is still relatively backward and the instruments and measures of avoiding the risk are very limited, it is very passive to avoid the risk for enterprises and the cost is fairly high. Therefore, it has practical significance to do the research on how the enterprises should measure the exchange rate risk and avoid risk in international trade.Risk measurement is the precondition of risk avoidance. Objectively speaking, it is a very complex problem to measure risk. At present, the risk measurement theory has evolved from the variance of Markowitz H to CVaR, WCVaR and Dynamic CVaR, etc. However, the researches on the risk measurement of exchange rate with the theory of both WCVaR and Dynamic CVaR need to be improved. Therefore it has theoretical value to do research on risk measurement and risk avoidance in international trade based on the related theories.This paper adopts the standard research method.The research in mainly on:The theories and literature reviews of the research on the risk measurement and avoidance. It illustrates such risk measurement theories as the variance and Markowitz asset allocation model, downside risk method and Harlow asset allocation model, Value-at-Risk (VaR) and Value-at-Risk (VaR) model and Conditional Value-at-Risk (CVaR) model, etc. It makes an analysis of the background, main contents and applied conditions of the theories and methods mentioned above and finds out that Value-at-Risk (VaR) method and Dynamic Programming Theory can better meet the needs of the research on the risk measurement when the time and limit for the settlement of payment are not confirmed and are the basic theories of setting up and improving the risk measurement model in international trade under different conditions.The definition of "uncertainty". The analysis of the connotation, categories and causes of exchange rate risk shows that: the fluctuation of exchange rate makes the exchange rate have the time value; The international situation, the enterprises' credit and the geopolitical, georeligious, geocultural and guileful factors all effect the international trade of enterprises. Therefore, the uncertain time and limit for the settlement of payment often happen; In the circumstance of the appreciation of RMB and global financial crisis, the two kinds of uncertainties intensify the exchange rate risk of enterprises in international trade.Research on the exchange rate risk measurement in international trade under the condition of certain time and limit for the settlement of payment. It elaborates on the theories of VaR and CVaR, and in the constraint conditions of confidence level, profit and risk sets up the model of the exchange rate risk measurement to access how big the exchange rate risk in international trade is when the time and limit for the settlement of payment are confirmed. It is concluded from the research that the volatility of exchange rate mainly affects the exchange rate risk in international trade. The higher the confidence level is, the greater the enterprise's aversion to the risk is and the greater the risk is when there is the same demand for profit. The strategies of choosing the currency of the settlement of exchange and controlling the export partners and quantities can effectively lower the exchange rate risks of enterprises in international trade.The research on the exchange rate risk in international trade when the time for the settlement of payment is not certain. This paper separately sets up the exchange rate risk measurement models in the two cases of partial unawareness and total unawareness of the time of the settlement of payment based on the WCVaR theory and method in the constraint conditions of confidence level, profit and risk and analyzes by numerical examples how risky the enterprises are in the two cases. It is from the study that it is more risky if the time for the settlement of payment is not certain; It is after to know some information of the time for the settlement of payment than to have no idea of it; When the time for the settlement of payment is not certain, the volatility of exchange rate is the main factor to decide the risk of the exchange rate risk. Furthermore, the higher the confidence level is, the greater the risk is. The strategies of choosing the currency of the settlement of exchange and controlling the export partners and quantities can also effectively lower the exchange rate risks ofenterprises in international trade. The research on the exchange rate risk in international trade when the limit for the settlement of payment is not certain. This paper takes the exchange rate risk measurement as the selection and risk measurement of a dynamic asset portfolio when the limit for the settlement of payment is uncertain. It adopts the stochastic dynamic programming theory and dynamic CVaR method to build the measurement models and analyzes and studies the size of the exchange rate risk in international trade. Studies lead to conclude that it is more risky when the limit for the settlement of payment is uncertain than when it is certain but no difference is made to the exchange rate risk when the time for the settlement of payment is uncertain; when the limit for the settlement of payment is not certain, the fluctuation ratio is also the main factor of the size of the risk. The higher the confidence level is, the more risky it will be for the same international trade portfolio. The strategies of choosing the currency of the settlement of exchange and controlling the export partners and quantities can also effectively lower the exchange rate risks of enterprises in international trade.Suggestions on the exchange rate risk avoidance. To avoid the exchange rate risk of enterprises, the paper separately proposes the risk-control strategies and suggestions when the time and limit for the settlement of payment is certain, the time for the settlement of payment is not certain and the limit for the settlement of payment is not certain.This paper attempts to make innovations of the theoretical research on exchange rate risk of enterprises in international trade. The innovation points are:Set up the exchange risk measurement model of enterprises in international trade when the time and limit for the settlement of payment are certain. This paper sets up the exchange risk measurement model based on the CVaR theory and method in the constraint conditions of confidence level, profit and risk. The model can quantificational calculate the exchange rate risk of enterprises in international trade when the time and limit for the settlement of payment are certain and provide the basis for exchange rate risk avoidance. Set up the exchange risk measurement model of enterprises in international trade when the time for the settlement of payment is not certain. This paper separately sets up the exchange rate risk measurement models in the two cases of partial unawareness and total unawareness of the time of the settlement of payment based on the WCVaR theory and method in the constraint conditions of confidence level, profit and risk. The model can quantificational calculate the exchange rate risk of enterprises in international trade when the time for the settlement of payment is uncertain and provide the basis for exchange rate risk avoidance.Set up the exchange risk measurement model of enterprises in international trade when the limit for the settlement of payment is not certain. This paper sets up the exchange risk measurement model based on the stochastic dynamic programming theory and dynamic CVaR method in the constraint conditions of confidence level, profit and risk. The model can quantificational calculate the exchange rate risk of enterprises in international trade when the limit for the settlement of payment is uncertain and provide the basis for exchange rate risk avoidance.Quantificational analyze how big the exchange rate risks of enterprises are in different situations. This paper sets up the exchange rate risk models of enterprises in international trade and quantificational analyses by numerical examples how big the exchange rate risks of enterprises are in different situations and the tend of changing. The strategies of exchange rate risk avoidance of enterprises in international trade are proposed on the basis.