The Study On Exchange Rate Risk Of Commercial Banks Under Opening Economic

Commercial Banks' ability to manage exchange rate risk is related to the country's financial security. It is the core indicator to measure the maturity of a country banks. China has performed innovations in the exchange rate formation system since July 2005. With the large flotation in RMB exchange rate, studies on commercial banks' management of exchange rate risk are essential.However, there is a certain lag in the studies on the exchange rate risk management among foreign and domestic scholars. Regarding exchange rate risk, the existing risk management theory can't completely explain its change rule and perform the active control. Overall, systematic qualitative analysis combined with quantitative studies is rare. So based on summarization of previous theoretical and empirical studies, this paper explores theories, methods and techniques of risk management, focusing on the measure and control of exchange rate risk. We modify and adjust the VaR model by using t-EGARCH model and copula model. With the improved model, we get the estimation of exchange rate risk of foreign assets in the empirical study.With the research on their management of foreign exchange risks, Citibank, Mizuho, HSBC Bank are found to have strict and efficient risk management organizations, scientific and reasonable risk management systems and innovative risk management techniques. In the last part of the thesis, we provide some suggestions : China's commercial banks should urgently establish effective management organizations to handle exchange rate risk, strengthen internal management and optimize the exchange environment.The paper presents following new viewpoints and conclusions:1. A systematically review of the methods to forecast, estimate and manage the exchange rate risk;2. Modification of a new empirical model. With the improved VaR model, we get the estimation of exchange rate risks of foreign assets in the empirical study. This model will provide a useful reference for China's commercial banks to improve risk estimation3. Recommendations for China's commercial banks to optimize the management system of exchange rate risk.