The Empirical Study Of VaR Method Applied In Risk Measurement Of Commercial Bank Foreign Exchange Rate Bank Foreign Exchange Rate Based On ARCH Models

Since the July 2005 China began to implement a managed float exchange rate regeme, with reference to a basket of currencies. With the series of reform such as expanding immediate foreign exchange market business main body range, introducting of OTC , expanding range of forward knot selling converging, allowing a series of swap ,have pushed forward development of our country bank room foreign exchange market. Since then, China’s exchange rate has realized real relocatability just now.As the foreign exchange market manipulators and holds a license Commercial banks public exposure of the various types of currency positions to its customers, In the sharp exchange rate fluctuations, the inherent risks of foreign exchange business, especially foreign exchange exposure may increased the risk of positions. In order to maintaining business stability and healthy development, commercial banks need to improving the exchange rate risk management capabilities. Because Risk management is the most important measure of risk, therefore, how to effectively calculate exchange rate risk have became an important issue to commercial banks.This articl is about the empirical study of VaR method applied in risk measurement of commericial bank foreign exchange rate bank foreign exchange rate based on ARCH models.Around this theme, this articl uses empirical methods to study. First of all, the value of the VaR calculation model is not an option on the selection of a certain fixed model, but the chosen GARCH class model, and choose GARCH, GARCH-M, TARCH, EGARCH models of the VaR calculations and projections.Based on the calculation of GARCH class model, each model is considered normal, t distribution and the generalized error distribution, and the mean equation take AR (2) model. This article uses Monte Carlo simulation calculated VaR.This article focuses on the China’s dollar / yuan exchange rate risks quantitative measurement, trying to find out which kind of empirical analysis based on GARCH class model to calculate the VaR closing to the real rate of return loss of the exchange rate, that is to find out which kind of GARCH class model is a better model to measuring the dollar / yuan exchange rate risk. In the end, EGARCH-GED model is the best way to measuring of China’s commercial banks of U.S. dollar / yuan exchange rate risks.