Research On The Measurement And Management Of China's Foreign Exchange Reserve Market Risk

The existing research on risk management of foreign exchange reserves is mostly based on the single risk research of foreign exchange reserves.This research idea is the first stage of risk management research,which ignores the complex interdependence of the specific risks of foreign exchange reserve assets.The simple addition of a single risk or the analysis based on a simple linear correlation of assets may lead to an overestimation or underestimation of the risk of foreign exchange reserves,resulting in a distortion of the risk measurement.It also lacks a corresponding theoretical basis.The cognition of modern risk management has entered the stage of comprehensive risk management,that is,to consider the risk from the complex interdependence of many risk factors faced by financial assets,and to use a corresponding modern statistical measurement method to accurately measure the integrated risk of financial assets,and build a comprehensive risk management system.Therefore,based on the transformation of modern risk management concepts,this paper attempts to review the risk management issues of China's foreign exchange reserves from the perspective of comprehensive risk management and focuses on the issue of China's foreign exchange reserve market risk management.First of all,we theoretically analyze the risk of China's foreign exchange reserves and follow the "risk factor-risk event-risk consequences"risk logic analysis framework to conduct risk classification and identification research on China's foreign exchange reserves.The study found that China's foreign exchange reserve portfolio is complex and the risk structure is multi-level,in which.the market risk is located at the most basic level of various risks.The liquidity risk,interest rate risk and exchange rate risk of reserve assets are the major risks of China's foreign exchange reserves.Based on the above analysis of the foreign exchange reserve risk,VaR-Copula method is used to measure the market risk of China's foreign exchange reserves,and the measurement results are compared with the existing single risk measure.The results show that the integrated risk measure that considers the complex dependency of risk factors is superior to the single risk measure that depends on linear correlation;Finally,based on the comprehensive risk management thinking,the corresponding strategy for reform of the comprehensive risk management system for foreign exchange reserves was proposed to compensate for some deficiencies in the existing foreign exchange reserve risk management.The main innovations of this paper are:(1)measuring the risk of foreign exchange reserve market for the first time from the perspective of risk integration;(2)quantifying and measuring the market liquidity risk of foreign exchange reserve by estimating the spread of sovereign debt trading from the perspective of market supply.(3)Conduct a theoretical discussion on China's current foreign exchange reserve risk management system from the perspective of comprehensive risk management,and build a risk system based on the principle of "consistent concepts,unified indicators,complete processes,and clear rules".