The Research On Measurement And Avoidance Of Exchange Rate Risk Of Foreign-related Enterprises Based On GARCH-CVaR Model

With the continuous development of China’s economy and society, and the continuous progress of the integration of the world economy, more and more domestic enterprises go out and explore the international market. Therefore, the new pattern of China’s foreign exchange reserves reached new highs, The increase of appreciation of the RMB rate, and the flexibility of the RMB exchange rate is further enhanced have formed. This new pattern formed China’s foreign exchange rate risk. Exchange rate risk has become an important risk of the foreign-related enterprises in China, especially the enterprises of mainly engaged in export business. However, the ability of China’s foreign-related enterprises to avoid exchange rate risk is still low. Therefore, how to effectively measure the exchange rate risk and avoid exchange rate risk has important practical significance for foreign-related enterprises.Considering the exchange rate risk faced by the enterprises is not only constantly changing, and the coefficient of relationship between foreign exchange assets owned by enterprises is also time-variant, in order to be able to accurately describe and measure the dynamic changes of the exchange rate risk, this paper uses multivariate GARCH and CVaR methods to expand the research on dynamic exchange rate risk of enterprises owed a variety of foreign assets, with its theoretical value.The paper selected the historical data of several currencies, using relevant theoretical model to study on measurement and empirical research of exchange rate risk of enterprises, expects to do some useful exploratory research on the exchange rate risk of combination and enterprise’s dynamic exchange risk management. The main research contents and conclusions of this paper are as follows:(1) The analysis of trends and influences of the RMB exchange rate fluctuations. Trends are as follows:in recent years, the RMB exchange rate fluctuation presented the characteristics of non-equilibrium appreciation; the independence of the RMB against the non-US currency movements and changes enhanced; Appreciation of the RMB against the other currencies was enlarged; recently showed bilateral appreciation trend. These trends have increased the difficulty for Chinese enterprises to manage and control the exchange rate risk in international trade.(2) This paper constructs multivariate GARCH-CVaR model to measure the dynamic exchange rate risk for enterprises. Because the foreign exchange assets are correlated and the correlation coefficients are random, therefore, this paper constructs multivariate GARCH-CVaR dynamic risk measurement model to fit these characteristics and describe the relationship between such assets dynamically, and to measure the exchange rate risk of foreign-related enterprises,under the condition of probability level, profit and risk constraint.(3) Based on the model of multivariate GARCH-CVaR to carry out an numerical example analysis. The results show that:the value of CVaR fluctuates largely in the recent, indicating Chinese enterprises are undertaking large exchange rate risk; at the same time, enterprises can independently adjust its own structure of the foreign exchange portfolio to avoid or reduce the exchange rate losses, and it is effective and feasible. Final, this paper puts forward that the enterprise how to select the exchange currency of the settlement and control the quantity and object strategies to reduce the loss of exchange rate of rationally and effectively.