The Perspective Of Commercial Bank Exchange Rate Risk Under The Renovation Of RMB Exchange Rate System

On August 11,2015, Chinese government reformed the middle price determining mechanism, the pricing of middle price will be more market-oriented. This is one of the important progress of the RMB exchange rate formation mechanism reform. Since 2005, China's exchange rate system reform has been ten years, with increasing marketization degree. At present, the RMB exchange rate is close to equilibrium level. The change of RMB exchange rate has present a two-way floating characteristics in 2014, the flexible of exchange rate enhances obviously. With the exchange rate of RMB becoming more flexible, Domestic commercial banks are facing increasing foreign exchange risks. Therefore, reinforcing the management of foreign exchange risk is of great significance to Chinese commercial banks.The paper is based on the changes of exchange rate system to analyse the exchange rate risk Chinese commercial banks facing. On the basis of risk analysis, the paper measures exchange rate risk using two calculate methods, which include foreign exchange rate exposure, GARCH-VaR Model. Finally, the paper considered the present exchange rate risk management situation of Chinese commercial banks. By analyzing the shortcomings it had, the paper provide relevant policy recommendations for commercial banks to control the foreign exchange risk effectively.