Measuring Foreign Exchange Risk Of Our Country's Enterprises Based On The VaR Model And Researching Risk Management

In August 11 th 2015,China again carried out exchange rate reform,and the Central Bank announced the adjustment of the central parity quotation system between RMB and the U.S.dollar.Before the daily inter-bank foreign exchange market opening,market makers consider the closing price of the previous day?the foreign exchange supply and demand situation as well as the exchange rate changes of the major international currencies,offering the central parity rate.After this exchange rate reform,the new central parity rate is basically formed spontaneously in the market.The exchange rate environment has changed,and the fluctuation of RMB exchange rate has become larger.In the meantime,under the background of economic globalization?RMB internationalization and the "One Belt and One Road" strategy,China's economy is developing continuously,and the level of opening to the outside world is also constantly improving.More and more domestic enterprises are starting to carry out international business,participating in the international competition.After the reform,due to the increase of exchange rate fluctuations,foreign exchange risk of our enterprises increased.This requires Chinese enterprises pay attention to foreign exchange risk and foreign exchange risk management.However,most enterprises in China have become accustomed to relatively stable exchange rate environments before,lacking the awareness of foreign exchange risk management,not attaching importance to the quantitative measurement of foreign exchange risk,and they are very backward and passive in foreign exchange risk management.Therefore,in the current exchange rate environment,it is of great significance to study how to measure foreign exchange risk and how to manage foreign exchange risk effectively.In this paper,we apply the Va R model,using three methods(Historical simulation method,Variance-covariance method,GARCH family model)to measure the foreign exchange risk faced by Chinese enterprises after the exchange rate reform,and select the most suitable method to measure the foreign exchange risk through the test.Therefore,it can provide the basis for the foreign exchange risk management of our country's enterprises.Using the appropriate model to measure the foreign exchange risk,which can make our country's enterprises understand the level of the risk and the possible loss.Combining with the enterprise's own risk appetite and risk tolerance,our country's enterprises can formulate effective foreign exchange risk management strategies and take appropriate measures to manage foreign exchange risk effectively,striving to minimize the possible losses,which is very necessary.This paper regards August 11 th 2015 as the dividing line,selecting the data symmetrically and carrying on the quantitative analysis.Through comparing the Va R value in different stages,it further confirms that the foreign exchange risk of Chinese enterprises has indeed increased after the exchange rate reform,and it also further explains that it is very necessary to conduct foreign exchange risk management research after this exchange rate reform.At the same time,it also reminds Chinese companies that they must pay attention to foreign exchange risk and risk management.Finally,this paper puts forward some relevant policy suggestions on foreign exchange risk management from various angles.