A Study Of The Double Risks Of The Foreign Exchange Risk Management In The International Trade Of Chinese Enterprises

With the development of China's international trade, companies who exposure to foreign exchange risk are more and foreign exchange risk exposure positions is growing. Moreover, since the floating exchange rate system in China, the renminbi markedly enhanced flexibility, exchange rate volatility increased significantly, changes in frequency was significantly accelerated, which inevitably led to business of international trade to be under increasing foreign exchange risk. Meanwhile, as the global economic development and social progress, all kinds of global or regional economic and social problems continue to break out, these incidents also led to the international trade business have to bear the additional foreign exchange risk. In the face of double risks in foreign exchange of international trade, companies is very passive to avoid foreign exchange risk, and cost very high, and the situation in foreign exchange risk management is not optimistic.In recent years, foreign exchange risk and its management has received increasing attention from scholars, mainly related to foreign exchange risk management, foreign exchange risk measurement and risk aversion strategies of foreign exchange. However, in general, current studies are little and not perfect from an overall perspective and with the system analysis approach; Study on measurement of the foreign exchange risk is more a application of draw on some of the financial risk measurement methodology, the specific application combining to situation of the floating exchange rate system and a variety of unexpected events'breaking out is scarce, the more in-depth theoretical study is more scarce.This paper, based on the latest achievements and the existing domestic and abroad foreign exchange risk management and risk measurement theory, combined with our enterprise risk management and foreign exchange situation in international trade, built on the risk management system of international trade with system theory. In the basis, the study focuses on aspects of foreign exchange risk measurement and risk aversion. built foreign exchange risk measurement model under the double risks with the application of worst-case scenario firstly and the foreign exchange risk measurement model on the base of relatively robust optimization theory, and gets the appropriate optimal trading portfolio and its risk size; the further analysis and evaluation of strategies and tactics to avoid foreign exchange risks, and the effects of specific avoidance strategies through numerical examples, but also applied game theory, gets the foreign exchange risk sharing strategy and avoidance strategy. This paper tries to use analysis methods combination the system theory and the conceptual model to develop research ideas in enterprise foreign exchange risk management in international trade; and try to be innovative in measurement and avoidance theory in foreign exchange risk measurement of enterprises'international trade through the combination of mathematics models and specifications research in floating exchange rate system. To develop corporate vision of foreign exchange risk management in international trade, and provide based criterion in foreign exchange risk management, so as to effectively achieve the purpose of avoiding foreign exchange risk.The main research contents:①an overview of Chinese enterprises foreign exchange risk and its management in international trade. Mainly graphically, show that Chinese enterprises need to face increasing international trade by analyzing the three notes, then further analysis of Chinese enterprises in international trade status and foreign exchange risk management problem.②Construction of Foreign Exchange risk management system in international trade. Mainly the five elements of foreign exchange risk management system: identification subsystem, measuring subsystem, aversion risk subsystem, monitoring subsystem, assessing and summing up subsystem and build foreign exchange risk management system.③studying on the foreign exchange risk measurement based on the double risks. Mainly on the worst-case scenario, build the foreign exchange risk measurement model, through the model and numerical example gets the optimal portfolio in international trade and its foreign exchange risk.④studying on the foreign exchange risk measurement subsystem based on relative robust optimization. Primarily use the relative robust optimization principle to build relative robust optimization foreign exchange risk measurement model, and through the model and numerical example to study the optimal portfolio and measure the foreign exchange risk.⑤studying on foreign exchange risk aversion strategy. Primarily analyze, summarize and evaluate aversion strategies, and using numerical examples for the effect of strategies, while application of game theory to analyze the foreign exchange risk-sharing and aversion strategies.This paper attempts to be innovative in the research idea of foreign exchange risk management in international trade and measurement methods of foreign exchange risk, concrete innovations are:First, build a foreign exchange risk measurement model under the double risks in international trade, through the model and numerical example gets the optimal portfolio in international trade and its foreign exchange risk. By using the worst-case scenario, build the foreign exchange risk measurement model under the double risks in international trade. Obtains the enterprise international trade most superior trade combination and the exchange risk size to model solution analysis's at the same time. This article also through example compares the influence of double risks and single risk to enterprise international trade exchange risk.Second, build the foreign exchange risk measurement based on a relatively robust optimization and through the model and numerical example gets its foreign exchange risk and the optimal portfolio in international trade. According to the the principle of relative optimization, combined with conditional value at risk measurement method, and construct a relatively robust optimization based on international trade in foreign exchange risk measurement model, and through the model and numerical example gets the optimal portfolio in international trade and its foreign exchange risk. the model can not only take into account international trade enterprises extreme worst case of foreign exchange risk, also the most good case proceeds, so that enterprises in international trade decisions without being unduly conservative. At the same time, the paper also used some practical examples of analysis to measure the value of corporate foreign exchange risk in international trade, and further examples of models by changing variables and parameters to analyze the corresponding avoidance strategy.Third, Construction of the international trade both sides income model and the exchange risk share model, and consultation under Nash equilibrium theory to obtain the balanced solution of risk sharing and the aversion strategy. This article from the risk-sharing and risk-aversion strategy angle, application game theory, has constructed the international trade both sides income and the exchange risk shares model, and consults the balanced solution according to Nash, obtains the international trade both sides exchange risk to share the most superior proportion and to bargain back and forth ability relations with trade both sides, and proposed from the enterprise should adopt corresponding aversion strategies.