Exchange Rate Risk Of Commercial Banks

With the reform of the financial system and the continuous improvement of the marketization of the CNY exchange rate,the position of the Chinese economy in the overall global economy has become more and more important,and the links between them have become increasingly close.The impact of exchange rate risks on China's economy has become increasingly prominent.Since commercial banks are the main component of foreign exchange business in China's economy,with the increase in the volume of foreign exchange business and the strengthening of market linkages,the exchange rate risks faced by commercial banks are more severe than those of major enterprises in China.In order to better manage the increasingly severe exchange rate risks,major commercial banks have to explore more advanced risk management tools than the VaR model.In this context,the CVaR model with excellent mathematical statistics features stand out among many risk management tools.More and more attention is paid to risk managers.For commercial banks,when conducting exchange rate risk management,it is not only necessary to measure the exchange rate risk of a single currency,but also the impact of the linkage between different currencies on the exchange rate risk of each major currency.Therefore,in order for Chinese commercial banks to better manage exchange rate risks,it is of great significance to study the linkage factors of CVaR model.The main research contents of this paper are as follows:Part ?:Introduction.In the introduction part,the paper firstly expounds the status quo and development of exchange rate risk management in China,and analyzes the research significance of this topic in theory and reality.Then it introduces the methods and ideas of this paper.Finally,it analyzes the subject with the actual situation.Research innovations and deficiencies.Part ?:Literature review.This part of the thesis mainly introduces the research contents of the two aspects of exchange rate risk management and CVaR method at home and abroad,so as to provide a review and review,and provide theoretical guidance for the research.Part ? :the exchange rate risk transmission path and measurement method.In this part,this paper mainly analyzes the transmission path of commercial banks'exchange rate risk in international capital,trade and interest rate,and then introduces the current measurement and management methods adopted by commercial banks for exchange rate risk,and designs and applies the following linkage CVaR model.Provide reference for reference.Part ? :the design and application analysis of the linkage CVaR model.In this part,this paper introduces the CVaR model and introduces the related GARCH family model,so as to consider the multi-currency exchange rate risk faced by commercial banks,considering the CVaR model of multi-currency linkage.Taking the exchange rate of US dollar,Hong Kong dollar,Japanese yen and Euro to CNY as the main research object,the mean-CVaR model is introduced to conduct empirical research on the exchange rate risk of commercial banks in these currencies,so as to judge the accuracy of the linked CVaR model to measure exchange rate risk and effectiveness.Part ?:Conclusions and policy recommendations.In this part,the paper summarizes the research findings of this topic,and based on the research results,proposes relevant policy recommendations for the management of exchange rate risk in China's commercial banks.