Exchange Rate Risk Management Of Commercial Banks

Since July 21th. 2005, the RMB's fixed exchange rate regime was changed to be a folating exchange rate regime.The Exchange rate system reform made the exchange rate uncertainty,and lead to an inevitably exchange rate risk to the commercial banks.However,the capacity of the risk management of our commercial banks is low,and the finace supervision just begins to develop.To elevate the risk management capicity of our commercial banks and provide some advice,this paper fistly analyses the exchange rate risk management and supervision practice of the developed contry from the two aspects of the commercial banks and the supervision authorities.On this base,the paper analyses the exchange rate risk management and supervision situation in china,finds the problem,and puts forward some solutions on those problems.Chapter 1 mainly introduces the commonly used exchange rate risk management technology and the scientific exchange risk management systerm of the foreign developed countries.From the microcosmic view,the exchange risk management proceeding include three contents: exchange rate risk identity,calculation, and controlment.However,the perfect exchange rate risk management systerm of commercial banks shoud also contains: (1) the efficient lead of the directorate; (2)perfect risk identify,caculation,and controlment of the exchange rate risk managing department; (3) propriety work division and cooperation of the operating department;and (4) a seperately inside audit department.Chapter 2 mainly introduces the finance supervision practice of the foreign develeped countries. Finace supervision usually contains providing the directs of risk management,a limitation management and a minimum capital requirements.The paper introduces two methods of calculating exchange rate risk capital which are the standardised approach and the internal model approch.To make it clearer ,chapter 3 analyses the banks supervision practice of the U.S.A.and Hongkong at last.On this base,chapter 3 and chapter 4 mainly analyses the risk management and supervision situation of the commercial banks in our country,finds some problems,and provide several solutions. At the end of this paper,chapter 5 is the conclusion of the whole article.