The Exchange Rate Risk Management Study Of Commercial Banks Based On VaR Model

Since the exchange rate reform in China, the introduction of China's commercial banks based on market supply and demand with reference to a basket of currencies, a managed floating exchange rate system. This policy makes the business of commercial banks gradually internationalized, in profit; it would also face enormous exchange rate risk. With China's substantial progress in market-oriented exchange rate, exchange rate showed a greater variability and uncertainty. How to effectively strengthen the exchange rate risk management of commercial banks to ensure sound operation of the health of commercial banks has become a great challenge. Thus, the exchange rate risk management of commercial banks had a more significant impact. Current international risk measurement tool is popular VaR (Value at Risk) econometric models, VaR has developed into banks, non bank financial institutions and other organizations, and the standard method of risk measurement is widely used in commercial bank management.This paper describes the exchange rate risk management theory and a brief comparison of the VaR model focuses on measurement of exchange rate risk. Select 5 January 2009 to 30 June 2010 a total of 363 trading days during the day, the U.S. dollar, euro and British pound against the RMB exchange rate as the sample data, the exchange rate risk of the value of commercial banks an empirical study. The thesis is divided into six parts:The first part describes the exchange rate risk management of commercial banks in the research background, research status, and briefly presented the contents of the thesis; second part outlines the commercial bank exchange rate risk, currency risk, mainly from the definition, classification and management Methods are introduced; The third part of the VaR model in China's commercial banks measure of exchange rate risk, primarily from an overview of VaR models, VaR model calculation principle, VaR model of the three methods commonly used, and these three kinds of method to do a comparative analysis, and finally come to the exchange rate VaR model in the management of commercial banks, the application is feasible; fourth part through a U.S. dollar, euro and British pound against the RMB exchange rate as the sample data, and empirical analysis with the VaR model; Part V on the basis in the text, combined with the actual situation of China's commercial banks for commercial banks to exchange rate risk management of the feasibility of recommendations; the sixth part of the conclusion of the text summary and proposed areas for further improvement.