Study On Foreign Exchange Risk Management In Our State-owned Holding Commercial Bank

A huge change and fluctuation of environment of banking business took place in 2008. The financial crisis initiated by American loan crisis is increasingly fierce, developing rapidly from the part to the whole world, conducting from developed country to emerging market country and developing country, proliferating from financial domain to entity economic domain and the world economy is under serious impact. The Chinese economy continues to maintain a steady and quick growth, but the difficulty of economic movement is sharply growth due to natural disaster and financial crisis. Under the great background of international and domestic economy, our country banking industry faced with enormous challenge and the performance of exchange rate risk is the most prominent. So conducting research to management of exchange rate risk of state-owned holding Commercial bank which occupied the main status will have an important theoretical and practical significance. Aiming at the state of exchange rate risk management of commercial bank and the status of risk management of state-holding commercial bank. VaR model carries on the exchange rate risk of our country state-owned holding Commercial bank, in order to cause the consciousness of the state-owned holding commercial bank management and strengthen the exchange rate risk management. VaR model is suitable the normal market condition. Although our country economy movement is steady, but it is in the financial crisis environment. Considering that the market has the situation which exceptionally fluctuates, introduct the supplement method of VaR. Stress testing carries on the risk assessment, and it enables the commercial bank to have the enough preparation to deal with the thunderbolt. With our country state-owned holding commercial bank's empirical analysis, proposes our country state-owned holding commercial bank exchange rate risk management measures. First enhance management management exchange rate risk ability. Second sharpe the exchange rate risk measurement monitoring ability. Third utilizate foreign exchange derivation. Fourth enhances the Commercial bank exchange rate risk management to control from the inside the level. Fifth take the professional. Finally the paper pointes out present research limitation, and it carries on the research forecast.