China's Commercial Banks Under The Existing Exchange Rate Regime The Exchange Rate Risk Management Research,

From July 21, 2005, our country has begun to implement a new exchange rate system, which is managed floating exchange rate system on the basis of market supply and demand , with reference to a basket of currencies. Then the central bank expanded the scope of the spot foreign exchange market's main body, and introduced the way of price inquiring and the seat maker institution. The central bank also expands the scope of long-term foreign exchange settlement and sales, as well as permits a series of swap transactions and other reform measures. These measures speed up the pace of market-determined exchange rates. But as China's market-oriented exchange rate system reform develop opportunities to the commercial banks, the exchange rate's more frequent and substantial fluctuations has made more exchange rate risk to the commercial banks. This is a greater challenge to the commercial banks' exchange rate risk management. The commercial banks have to pay more attention to their effective management of exchange rate risk. Therefore, under the existing exchange rate system, studying the exchange rate risk management of the commercial banks has an important theoretical and practical significance.At first, this paper give a systematic analysis of the commercial bank exchange rate risk management techniques, such as exchange rate prediction, the measurement of exchange rate risk and exchange rate risk management practices. Then it analyzes the main exchange rate risk of the commercial banks in our country, and also carries out an analysis of the current situation of our country's commercial banks. Then there is an empirical research on the core of exchange rate risk management—risk measure. The research identifies the suitable VaR models for our country's commercial banks. Finally, the author bring forward some risk management countermeasures to improve the exchange rate risk management of China's commercial banks. The countermeasures include how to guard against exchange rate risk and how to construct the exchange rate risk management system.