Research On Exchange Risk Management Of Chinese Commercial Banks In Post-Crisis Era

Theworld financial crisis, triggered by the U.S. subprime mortgage crisis, caused the world financial market volatility, for out of the financial crisis, all countries have issued corresponding economic stimulus plan, adjust their monetary policy at the same time, it will inevitably impact on national currency. China’s renminbi exchange rate regime reform began in2005, by the financial crisis, the renminbi has appreciated by19%, the financial crisis from2008to2010in June, to stop the renminbi appreciation. On June19,2010, the pedestrian announced the resumption of exchange rate regime reform, on April26,2012, further liberalisation of spot foreign exchange trading at the margin of floating the yuan against the dollar. Since the reform, the RMB exchange rate floating two more apparent, further enhance exchange rate flexibility, provides the VaR method measuring currency risk market foundation, at the same time as the main participants of the foreign exchange market, the exchange rate risk to commercial Banks in China to further increase, so it is urgent to strengthen the exchange rate risk management.This paper on the basis of learning and using for reference related literature at home and abroad, using floating exchange rate system under the condition of exchange rate volatility and risk management theory as the main line, using the finance, econometrics, international economics and other disciplines basic theory, through empirical analysis and normative analysis, combining qualitative analysis and quantitative analysis method of combining the exchange rate risk of commercial Banks is studied. First introduced the thesis research ideas and research status at home and abroad. And then expounds the relevant theories of exchange rate risk of commercial bank and commercial Banks exchange rate risk measurement method of the source, classification, and on this basis, introduces the main exchange rate risk management of commercial Banks in China. Then the paper introduces the relevant theories of value at risk VaR method, based on this, introduced the fitting exchange rate volatility of the family of GARCH model, and introduces the principle of the statistical test of exchange rate yield time series. Finally, this thesis,on September1,2008to August30,2013as the sample interval, with four major currencies, the dollar, Hong Kong dollars, euro and yen against the yuan, the yield daily data as samples. For each currency volatility respectively choose suitable wave model computed VaR, then carried out a posteriori tests. We recognize that the VaR method, by choosing appropriate volatility model, in the exchange rate risk measurement is feasible. Since then we solved the risk measurement,which is the basis and core of exchange rate risk management problems. Finally according to the results and the existing insufficiency, this paper puts forward the policy Suggestions:Chinese commercial Banks should adopt flexible VaR method and quota management,stress tests and combined methods to perfect the exchange rate risk management.