Eastern Airlines Exchange Rate Risk Measurement Based On Foreign Exchange Exposure

After several exchange rate reforms in China,the marketization of the exchange rate has continued to deepen,and the RMB exchange rate has gradually changed.The recent Sino-U.S.Trade war has caused the RMB exchange rate to fluctuate more violently,showing a sharp unilateral devaluation phenomenon.It is difficult to predict future changes in China's exchange rate market.Under such a background,foreign exchange companies with large foreign exchange exposures continue to intensify exchange rate risks,and their potential exchange losses continue to expand.This article takes a representative aviation company,China Eastern Airlines,as a case study object.Based on the ratio of foreign exchange gains and losses to net profit and ROE indicators,compared with other domestic listed airlines,it finds that its foreign exchange gains and losses have a greater impact on net profit and internally.The management level is not high.The regression analysis of ROE over the years shows that the foreign exchange exposure has a significant impact on ROE.In this regard,this article compares Air China and China Southern Airlines from the perspective of foreign exchange exposure,and finds that China Eastern Airlines has a high asset-liability ratio and foreign currency non-current liabilities,a larger foreign exchange exposure,and uneven distribution of foreign exchange exposure.In response to these problems,this paper uses the median price of the three types of foreign exchange rates of RMB,RMB,and RMB held by airlines as sample data to conduct an empirical analysis of the GARCH-VaR model.The GARCH(1,1)model under the t distribution To fit the US dollar exchange rate data,the TARCH(1,1)model under the GED distribution is used to fit the Euro exchange rate data,and the GARCH(1,1)model under the GED distribution is suitable to fit the Japanese yen exchange rate data;Oriental Thelargest exchange rate risk caused by aviation holdings in the US dollar is mainly due to the large foreign exchange exposure of the US dollar.On this basis,this article further analyzes the foreign currency assets and liability structures of the three major airlines,and finds that in terms of foreign exchange liabilities,China Eastern Airlines has achieved good results in reducing US dollar liabilities in recent years,but the euro,yen And other foreign currency liabilities are higher than those of the other two companies;in terms of foreign exchange assets,China Eastern Airlines ' total foreign currency assets are very small,which is very different from the other two companies,mainly in US dollar assets;in terms of foreign exchange exposure China Eastern Airlines has the largest total foreign exchange exposure among the three companies,and other foreign exchange exposures are insufficiently controlled,resulting in its foreign exchange exposures other than the US,Europe,and Japan,which are not small,and also constitute a greater exchange rate risk.Based on the above analysis,from the perspective of foreign exchange exposure,this paper has issued recommendations for Eastern Airlines to measure exchange rate risk fluctuations in real time,adjust foreign exchange exposure based on the measurement results,and reasonably allocate other foreign exchange exposures.The impact of reducing exchange losses on the company's net profit can be improved.At the same time,this article's analysis of the case of China Eastern Airlines and its countermeasures suggest that it has a certain warning effect and reference value for other companies in the aviation industry.