| Along with the economic globalization and China’s financial market reform and opening to the deepening, China’s huge foreign exchange reserves,on one hand, provide import trade powerful support, on the other hand, make us face more and more complex financial risks.The central bank’s foreign exchange reserves in business faced all kinds of risk, as well as foreign exchange funds in the general commercial Banks.In the several decades, Chinese foreign exchange reserve structure in dollar assets primarily of our country, face great exchange rate risk, the dollar weakness will directly cause our foreign exchange reserve’s book assets shrink. The2008financial crisis hit the U.S. economy, lead to the weak dollar. From August2007US subprime mortgage crisis outbreak by the end of2008, the us dollar to RMB exchange rate from7.5600to6.8346, depreciation as high as9.6%.If our foreign exchange reserves is$1.9trillion, exchange rate risk loss caused by as high as1.37826trillion RMB.A lot of our dollar assets are the United States Treasury bonds, assets structure is relatively single, so risk is relatively concentrated. To get rid of the financial crisis, the United States government through the seven$00billion rescue the city, so it issued a large number of Treasury bonds, this leads to issued bonds yields downs, and the Federal Reserve to cut interest rates to stimulate the economy continuous policy, also caused bond yields down. This undoubtedly brought further losses to China’s foreign exchange reserves.Maturity mismatch brought the liquidity risk. As our investment in dollar securities, long-term securities investment proportion bigger, compared the short-term investment proportion is not big. China’s holdings of dollar assets investment tools and term structure in continual readjustment. China held about$1.61trillion of assets, by June,2011. Among them,1.4793trillion long-term bonds, short-term bond is4.9billion, equity investment is126.5billion. In the long-term debt, the national debt, institutional debt and corporate debt were about1.1081trillion,360billion and11.1billion. In the short-term debt, the national debt, agency debt and corporate debt were about4billion,075million and847million.According to the American ministry of finance published countries hold the United States securities portfolio shows China’s long-term bond investment accounts for more than90%of the total amount of securities investment, and short-term bond investment accounted for only7%of the total amount of securities investment and the appreciation of the RMB caused a large number of international capital inflow, these capital invest primarily in domestic bond, stock liquidity, such asstrong financial tools, that is to say the Chinese for long-term investment abroad is introduced in a large number of short-term investments. Maturity mismatch put China in huge liquidity risk in front, a denier flight of capital, Southeast Asia financial crisis may repeat itself.In the short term, China’s foreign exchange reserves will continue to invest primarily in dollars, the dollar assets internal structure adjustment is more suitable for China’s current foreign exchange reserve management situation. To sum up, get our country foreign exchange reserves optimal investment is of great significance. Financial risk management foundation and premise is risk measurement.Only scientific accurately measure the size of the risk, just can for risk management lay the good foundation. Asset managers and regulators to risk management need to know the size of the risk, if not the risks to scientific measurement, can carry out the effective management of risk, so, to huge us dollar assets can effective management to the risks that may be caused by the scientific measurement.The information entropy theory, it is the study of the information system uncertainty measure index. Due to the financial investment risk is financial investment income uncertainty reflecting, so, this theory can be used to finance the risk of investment in the measurement.The information entropy as a financial investment risk (uncertainty) measuring index concept clear, meaning to understand, the uncertainty of the system with unified digital to reflect, for different system uncertainty provides a comparison between the objective standard, in addition, entropy type risk measurement results and the expected rate of return of investors for the assets related, therefore, it has the characteristics of risk measurement in advance.The risk entropy type measure principle, this paper measure the Chinese foreign exchange reserve of short-term and medium-term United States Treasury entropy type risk.But, this index not highlights loss and income difference, the investor psychological different feelings, and, without considering the size of the loss, but only consider various state distribution of probability. In order to minimize the risk of financial assets can specific quantization for a match with income than number, outstanding loss and income difference, so as to conform to the investor’s psychological feeling, introducing risk measurement of VaR method.VaR method measuring the financial risk meaning concise, value judgment is intuitive, make the risk of financial assets can specific quantization for a match with income than number, highlighted the loss and income difference, the investor psychological feelings conform to, so as to facilitate the realization of the objective of asset management. The method measuring the financial risk, considering the investment decision makers and the specific environment, makes risk measure and decision-making more practical.Upon completion of the financial risk measurement basis we have to research the financial risk management. This Markowitz Portfolio Theory is the expected return and variance of combination, Markowitz this asset portfolio theory and one of the most fundamental hypothesis is investors expect in a given risk level gain the most investment income, or in the same income level, able to bear the risk of minimum. Portfolio Theory assumes that investors are risk averse, that is to say, in the income of the same two assets they will choose between the low levels of risk.This Markowitz Portfolio Theory train of thought can be expressed as follows four stages:first of all, distinguish between effective portfolio and ineffective assets combination; Second, describe effective portfolio of profitability and uncertainty (risk), which is expected return and variance to describe effective portfolio; Again, choose the most can satisfy the investors expected utility revenue and uncertainty combination; Finally, to determine satisfy investors to maximize utility this portfolio composition of asset.But, mean-variance portfolio analysis method is to provide yield relative to the average symmetry discrete degree, Markowitz also pointed out that we should use other methods instead of and supplement. According to the model with variance or standard deviation as risk measurement index, many scholars criticized:the obvious thing is, variance are used to reaction rate of return of the changeableness or uncertainty, between positive and negative deviation with symmetry, but losses and gains for risk contribution is different, investors for deviation of mean deviation and are obviously different views, so, rate of return of the variance risk measure against the risk of investors to the real psychological feelings.Therefore, it is necessary to "mean-Variance" asset portfolio management of risk measurement index replacement for VaR, then drew the following "mean VaR" portfolio management model. We use "mean-VaR" portfolio management model, the use of LINGO12empirical research the different rate of return under the requirements of the long-term national debt, long-term national debt, mortgage bonds, corporate bonds, equity and us dollar assets optimal portfolio. |
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