| Since the1970s, along with the disintegration of the Bretton Woods system, floating exchange rate system replaced the fixed exchange rate system, becoming a dominant international financial markets. Since July212005, the RMB exchange rate formation mechanism reformed, changing from staring at a single U.S. dollar exchange rate system to based on market supply and demand with reference to a basket of currencies, becoming a managed floating exchange rate changes. Needless to say, after the exchange rate reform, the RMB exchange rate fluctuations has been increasingly market-oriented, with the fluctuations in exchange rates between the major currencies of the world,and appear upward or downward fluctuations. The trend is more and more independent floating, the RMB appreciation is also expected gradually increasing.In2007, sub-prime mortgage crisis of the U.S. devastated the world financial and trade system. China, as a member of economic globalization system, China’s economic development is relatively high dependence on foreign. Sub-prime crisis not only made the new order’s number of China’s foreign trade enterprises in international trade dropped significantly, but also made the follow-up to the original order to performed more difficult. Thus,the increasing risk of foreign trade enterprises carry out the contract, which led to the bankruptcy of part of the foreign trade enterprises. Therefore, the strengthening of the RMB exchange rate risk measurement and management is the most important trade strategy of import and export enterprises in order to participate in international trade activities, which having a positive and practical significance.Undoubtedly, the exchange rate risk measure is the premise of the exchange rate risk management. Practical significance in terms of the risk measure is a complex issue. Risk measurement method has evolved from a single sensitivity method to the comprehensive analysis method development process, the more popular methods from the1980s, including sensitivity gap analysis, duration analysis, convex analysis, scenario analysis to the1990s invention of JP Morgan VaR approach. Each method has its pros and cons, risk measurement methods have yet to be strengthened, so this study also has some theoretical value.This study mainly includes three aspects:l.This paper uses a standard research method describes the exchange rate risk related connotation, including the meaning of the exchange rate risk, exchange rate types, causes and the historical evolution of the RMB exchange rate regime. In addition, base on the analysis of the trends of a floating exchange rate system, China’s foreign trade enterprises facing the new situation of the appreciation of the RMB on the whole. Finally, the combination of the new situation of the appreciation of the RMB, we analyzed the fluctuations of the exchange rate risk of foreign trade enterprises in the situations of exchange rates, domestic demand reduced and trade protectionism,2This paper uses static POT model of extreme value theory to calculate the risk of the RMB exchange rate of the U.S. dollar, euro, Japanese yen, Hong Kong dollar after the reform, getting its VaR and ES values, then using further inspection failure rate test method returns. Draw the following conclusions:after the exchange rate reform, relative to the U.S. dollar and Hong Kong dollar, the RMB has been in the upward trend, and the Hong Kong dollar pegged to the dollar practiced both changes in trends; euro and the yen since exchange of the RMB exchange rate After the change, has been in fluctuation, and by a big margin, but in the appreciation of the RMB overall trend; euro and yen against the RMB exchange rate fluctuations relative to the U.S. dollar, Hong Kong dollar should be large. Therefore, the U.S. dollar, Hong Kong dollar against the RMB similar degree of exchange rate risk, and relative to the euro and the yen against the RMB exchange rate risk, the euro and the yen against the RMB exchange rate risk. The empirical results of ES value than the corresponding VaR value, which corresponds to the definition of the size of the expected loss is beyond the VaR and ES, by calculating the ES value can clearly know the size of the risk of losses which in excess of VaR.3.In this paper, according to data analyzed with the principles, we gets some strategies and measures of the exchange rate risk aversion of foreign trade enterprises. Changing the strategy of import and export enterprises trade, adjusting the trade contracts of enterprises, changing the strategy of import and export business, using trade finance and using financial derivatives to avoid exchange rate risk. Then, combining empirical analysis of the conclusions, we select the currency for settlement and control of the export of the objects and their number to analyze the strategies and measures specifically. |
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