Study On Foreign Exchange Risk Management Of Commercial Banks In China

In 2005,the RMB exchange rate system changed significantly from the previous fixed exchange rate system to floating exchange rate system,and the supply and demand of markets and a basket of currencies were used as the basis for adjustment and management of exchange rate.In 2010,the PBo C relaunched the exchange rate system and made a series of reforms to increase the flexibility of the exchange rate.Then the PBoC in 2012 decided to increase RMB exchange rate with the dollar floating rate from 0.5% to 1% in spot transactions of the foreign exchange markets,this is the first time in five years to expand swings,but it also increased the exchange risk.Then in 2014 the PBoC again raised the volatility range from 1% to 2%.Since 2016,the RMB has been officially added to the Special Drawing Rights baskets.Based on mention above,the RMB exchange rate regime is more market-oriented and flexible,and the frequency and amplitude of exchange rate fluctuations have been improved considerably.In addition,China's comprehensive strength has been enhanced in recent years,the market economy has boomed,and more and more economic communication and cooperation have gone to the world.Therefore,the demand for foreign exchange of the real economy is also increasing.It is the real economy and virtual economy that deepen the reform and development,and this situation greatly increases the foreign exchange risk,so the domestic commercial banks should re-examine the importance of the foreign exchange risk management,update ideas,adjust the strategy actively,think and find positively about method of foreign exchange risk management suiting for commercial banks in China.This paper introduces the related basic theories on the management of foreign exchange risk,analysis concretely the current situation as well as the deficiencies of Chinese commercial bank foreign exchange risk management,and uses the GARCH model,historical simulation method to calculate VaR value of geometric yield sequence of the RMB exchange rate against the dollar,the euro,the yen,the pound.On the basis of it,this paper makes an exposure analysis of the foreign exchange combined with 2015-2016 annual reports of eight representative commercial banks in China,and measures the foreign exchange risk of commercial Banks.Furthermore,this article also compares risk before RMB joining the SDR with the risk after that and get the change of foreign exchange risk.The conclusion is that the RMB after joining the SDR,the US dollar,yen exchange risk increased significantly,while the euro,the pound exchange risk declined slightly.In general,the foreign exchange risk of Chinese commercial bank increased.Based on mention above,the author thinks that commercial Banks need to start from the inside and outside of the bank to manage foreign exchange risk,namely to establish a scientific foreign exchange risk measurement system.;flexible application of various advanced foreign exchange risk control methods;strengthening the awareness of foreign exchange risk management;improving the organizational structure of foreign exchange risk management;strengthen the talent introduction and improve the human resources policy;optimize the foreign exchange risk management environment of China's commercial Banks.