Studying On The Measurement And Avoidance Of Enterprise Exchange Rate Risk Under The Uncertainty Receipt Date

With the rapid development of China's international trade, the number of the companies who exposure to foreign exchange risk are increasing and it's exposure positions are also growing. Coupled with the reform of RMB exchange rate mechanism, the rate risk which the companies faced becomes more and more serious because of the significantly accelerating trend of the fluctuations amplitude and frequency of the RMB exchange rate. At the same time, the incidents such as "Libya crisis" and so on will bring great uncertainty to the enterprise receipt date and cause the unplanned exchange rate risk. China's foreign exchange market and money market is still in the development stage, the enterprises have a narrow range of choices when avoiding the rate risk, the effect to evade is not good. Therefore, the research on the measurement and avoidance of the enterprise international trade exchange rate risk has strong theoretical and practical significance.Risk measurement is the premise of risk aversion. This paper, based on the latest achievements and the existing domestic and abroad foreign exchange risk management and risk measurement theory, combined with our enterprise risk management and foreign exchange situation in international trade, set up the exchange risk measurement model of enterprises in international trade when the receipt time is not certain based on the WCVaR theory and method. Then based on the relatively robust optimization and RCVaR method, set up the foreign exchange risk measurement and through the numerical example gets its the optimal portfolio in international trade and foreign exchange risk. All in all, this paper hopes to enrich and perfect the theory and method of enterprise international trade exchange rate risk measurement and avoid research under uncertainty receipt period, so as to develop enterprise international trade vision, and provided the basis and the judgment standard for the foreign exchange risk management in the enterprise's international trade, in order to avoid the loss of the foreign exchange rate risk effectively.The main research contents:①The review of Chinese enterprises foreign exchange risk and its latest management in the international trade. Show that Chinese enterprises need to face increasing international trade by analyzing many notes, analyze the reason from the outside and inner aspect.②Studying on the exchange risk measurement model of enterprises in international trade when the time for the settlement of payment is not certain. Mainly through the WCVaR method, to construct the foreign exchange rate measurement model under the uncertain receipt time, then through the model and the numerical example to study the optimal combination of international trade enterprise and its measurement problems.③R esearch on the foreign exchange risk measurement subsystem based on relatively robust optimization. Primarily use the relatively robust optimization principle to build a relatively robust optimization foreign exchange risk measurement model, then through the model and numerical example to study the optimal portfolio and measure the foreign exchange risk.The results show that: The model based on the WCVaR and RCVaR method is effective and appropriate for enterprise international trade exchange rate risk measurement; and under the uncertain receipt time, the RCVaR model is more likely to let the enterprise in the international trade to make the more robust and not too conservative decision. Meanwhile, the numerical example found that the enterprise should select the settlement of exchange currency and control export objects and numbers to circumvent the risk of exchange rate is feasible.