| 1. Background and significance of the paperFinance is the core of the economy, at the same time, it also contains risk and crisis. In the1970s, the bretton woods system thoroughly collapsed. More and more countries in the world restricted on the floating exchange rate system other than the fixed exchange rate system. Together with the mass international capital flow and frequent trading foreign exchange market will make the currency exchange rate fluctuations more intense. Therefore, it is particularly important and outstanding to commercial Banks in exchange rate risk.Before July21,2005,our country executed the fixed exchange rate system, from then on, China began to implement on market supply and demand with reference to a basket of currencies regulation, a managed floating exchange rate system. Since then, the RMB exchange rate has not only pegged to the U.S. dollar, but formed a more flexible exchange rate mechanism. After that period of time, people’s bank of China issued a series of relevant laws and regulations as well as policy in order to further promote the reform of the RMB exchange rate system. Under the background of the exchange rate system reform, both the depth and breadth of foreign exchange market expanded largely. In addition, China’s foreign exchange market fused with international financial market more largely. Therefore, connection between our country commercial bank’s business and foreign exchange market will be more and more closed. For commercial Banks, it should not only take active measures to deal with and resolve because recent appreciation of the RMB do bring exchange rate risk, and more should profit from the international advanced the bank rate management mode, speed up to establish and perfect the commercial bank risk management system of the pace, in order to gaining a more active position in dealing with a more flexible RMB exchange rate formation mechanism.2. Frame and structureThe first part is the introduction. On one hand this section explains the research background and research significance. On the other hand, this section analysis the influence factors of the exchange rate, risk management theory and development, commercial bank exchange rate risk measurement research, commercial bank exchange rate risk management research and the introduction of experts and scholars in China and abroad about exchange rate risk management and some research results.The second part is the overview that how commercial bank manage exchange rate risk in our country. This part mainly describes some of the basic concepts and basic theories of exchange rate risk and exchange rate risk management in relevant commercial bank. This part is the concept and theoretical of this paper and analysis and conclusions also played an important role the in the foreshadowing. This part firstly introduces the definition, classification causes of the exchange rate risk. This paper carried on some detailed introduction on the basis of different experts and scholar’s different views and understanding. There are some simple comparison and analysis. And then, this paper introduces some basic methods to measure the risk of exchange rate, the main risk value method, open administration and other analysis method. Finally, it introduces basic theory of the exchange rate risk management. On the one hand, it describes principles that exchange rate risk management should follow. On the other hand, this part introduces what kind of program that the commercial bank exchange rate risk management should be according to. This is mainly indicated that the establishment of a perfect and complete exchange rate risk prevention mechanism system must be in accordance with the exchange rate risk management program.The third part is the influence on the commercial Banks in China due to the appreciation of the RMB. This part mainly discussed the influence on banks from several different angles and aspects. For example, the liquidity risk, accounting statements, capital adequacy ratio, the quality of loan assets, international settlement business, stock yield fluctuation, the introduction of strategic investors from overseas mergers and acquisitions,. The fluctuation of exchange rate on stock return effects was used the quantitative methods and get the conclusion that the exchange rate for the RMB has some significant influence on the individual listed commercial Banks stock yield. This paper used qualitative analysis method on the influence of (?)e change in the exchange rate of foreign exchange for commercial bank in liquidity risk, accounting statements, capital adequacy ratio, the quality of loan assets, international settlement business and the introduction of strategic investors and overseas mergers and acquisitions. This part got the following conclusion:the RMB exchange rate fluctuation had an influence on the liquidity risk of commercial Banks; The RMB exchange rate change has significant influence on the foreign currency assets and equity in accounting statements and profits and losses during the current period in commercial bank. The RMB exchange rate change is more sensitive to the change on commercial bank capital adequacy ratio. The RMB exchange rate changes will affect credit assets quality of some industry or enterprise that influenced largely by exchange rate fluctuation. The RMB exchange rate change has the opposite effect on import trade and export trade. But there was continuing trade surplus in China. There was a growing trend in international settlement in the commercial banks. Especially in recent years, the RMB exchange rate fluctuation remained a strong trend in the commercial Banks in China and at the same time it is still a way of internationalization road for the merger and acquisition.The fourth part is mainly about the measures of commercial bank in our country. First, the commercial bank should focus on the commercial bank exchange rate risk exposure management, commercial bank management of exchange rate fluctuations in order to the future our country commercial bank exchange rate risk prevention. Second, the commercial bank should strengthen the business of all the existing risk management and risk control, such as attaching great importance to credit business, optimizing foreign exchange fund business, international business development and the risk of business of the coordination of relationship, strengthen the foreign exchange business and foreign exchange risk of internal audit and control and attach importance to the training and introduction of foreign exchange business and foreign exchange risk management areas of talent, etc. Thirdly, the commercial bank should build the system of exchange rate risk management. |
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