我国商业银行汇率风险管理研究
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摘要
一、本文的选题背景和研究意义
金融作为现代经济的核心和枢纽,同时也是风险最大、危机最频、最为敏感和脆弱的经济领域。尤其是20世纪70年代,自布雷顿森林体系崩溃以来,世界上大多数国家实行了浮动汇率制,汇率浮动不再受到限制,而国际资本大规模的运动以及外汇市场上的频繁交易必然会导致各种货币间汇率的大幅度波动,这就使得银行面临着巨大的汇率风险,科学有效的汇率风险管理对于提升银行的竞争力和银行的健康发展具有极为重要的现实意义。
汇率风险是商业银行经营中面临的主要市场风险之一,随着20世纪80年代以后金融衍生产品的迅猛发展,以及巴林银行等因进行衍生产品交易而导致亏损、破产的事件频繁发生,因此,巴塞尔委员会于1996年对资本协议做了补充,将市场风险纳入资本监管范畴。2004年6月通过的《巴塞尔委员会新资本协议》又明确把操作风险和信用风险、市场风险一起并称商业银行经营的三大风险。
市场风险的一个具体内容是外汇风险。银行作为外汇市场的造市者向客户公布牌价并持有各类币种的敞口头寸,在汇率波动剧烈时,外汇业务内在的风险特别是外汇敞口头寸的风险会增大。商业银行汇率风险主要是由于汇率波动的时间差、区差以及币种和期限结构不匹配等因素造成的。
2005年7月21日起,我国开始实行以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度。自此,人民币汇率不再盯住单一美元,形成了更富弹性的汇率机制。此后,央行又陆续出台了一系列相关政策,进一步推进人民币汇率制度的改革。然而,自1994年以来我国实行的汇率制度中,人民币汇率基本盯住了美元,这就使得各商业银行长期疏于风险防范,在风险管理的机制、方式、人员以及产品创新等方面,都不能适应新的汇率机制的要求,且存在着比较大的差距。因此,此次汇率形成制度的改革对我国商业银行的业务经营和风险管理提出了更高的要求。可以说,此次人民币升值标志着对商业银行管理和驾驭市场风险能力的考验才刚刚开始。因此,寻求适合我国商业银行汇率风险的理论方法,按照国际通行的规则对我国商业银行进行有效的风险管理,对提升银行竞争力和银行的健康发展具有十分重要的意义,这也是本文选题的初衷。
二、本文的框架结构
本文分为五个部分:
第一个部分,人民币汇率形成机制改革的必然性及其内涵分析。“蒙代尔三角”在中国外汇政策和货币政策协调中依然存在。人民币名义汇率稳定、国际收支改善和降低利率以刺激需求三者之间存在着相当程度的矛盾:在维护汇率稳定的前提下,利率-汇率的联动作用会受到限制。从长远来看,人民币汇率形成机制改革已成必然,加强汇率风险的管理是我国商业银行迟早都要面对的问题,而对人民币汇改的内涵性分析,有助于了解此次改革的背景。
第二个部分,商业银行汇率风险管理概述。本部分是商业银行汇率风险管理的相关基本理论,是为了后面展开分析做理论铺垫。
首先文章分析了汇率风险的定义、分类与成因,其中不同的专家和学者有不同的看法和理解,文章都作了比较详细的阐述,并做了简单的对比分析。然后文章简单介绍了衡量汇率风险的三种方法,风险价值法、极端测试法和情景分析法。最后是汇率风险管理的基本理论,先是介绍了汇率风险管理的原则,然后是汇率风险管理的的程序,建立一个完整的汇率风险防范机制体系,必须严格按照程序来建立。
第三个部分,我国商业银行汇率风险管理现状分析。与国际银行业关于汇率风险管理的领先实践相比较,我国商业银行存在着比较大的差距。主要表现在:首先是商业银行在人员素质和管理文化上就存在着比较大的差距,部分银行董事会和高级管理人员监控各种风险的能力还有待提高,银行企业尚未形成良好的风险管理文化,缺乏全面风险管理意识。其次是商业银行在体制因素上也存在着差距,汇率风险防范机制体系建设存在不足,执行力度有待加强,相关的配套措施也没有建立和完善起来。再者,我国商业银行在汇率风险防范手段、方式上也存在着方法落后,能力不强的特点,不能适应新的人民币汇率形成机制和风险管理的要求。最后,作为商业银行风险管理的重要手段之一,金融创新在西方发达国家早己被广泛运用,但与之相比,我国银行业在金融创新方面存在明显不足,主要体现在以下五个方面:一是金融创新的外部市场环境不完善。二是商业银行金融创新的内部动力不足。三是社会对金融创新的需求程度不高。四是金融创新的效果不明显。五是金融创新的技术支持薄弱。金融创新动力不足,影响了银行业务的发展。
第四部分,人民币汇率形成机制改革对我国商业银行汇率风险管理的影响。人民币汇率的调整不仅使商业银行的本外币资产和负债结构产生一定的变化,更重要的是我国商业银行开始面临利率风险和汇率风险的双重考验。尽快提高管理和驾驭市场风险的能力和水平已成为中资银行的当务之急,也是衡量商业银行经营管理水平和综合竞争力的重要标志。而对商业银行的外汇管理机制而言,汇率机制的改革对于商业银行的风险定价能力提出了更高的要求,人民币汇率不再盯住美元,在客观上要求商业银行必须对外汇营运资金进行积极主动的管理,此次汇率制度改革后,将形成更富弹性的人民币汇率机制,汇率的波动将日益频繁,波动幅度将进一步加大,这对缺乏汇率风险管理经验的国内商业银行来说,管理难度不言而喻,商业银行必须尽快提高汇率风险管理的水平。
第五部分,建立健全我国商业银行的汇率风险防范机制。在新的汇率制度下,人民币汇率的不确定性有所增加,从而必然对商业银行的结售汇业务定价、日常交易管理和敞口头寸控制方式产生深刻的影响,商业银行必须具有更强的风险定价能力和更强的风险管理能力,商业银行要在认真评估本行汇率风险管理状况的基础上,积极制定并实施完善汇率风险管理体系、提高汇率风险管理水平的方案,尽快完善汇率风险管理体系。在业务上,进一步加强对各项业务的风险管理和风险控制。商业银行要密切关注受影响行业,特别是受影响比较大的传统出口优势型行业、国际化定价行业、进口替代行业的企业经营情况,适度调整信贷额度,降低经营风险。大力提升外汇资金业务的风险管理能力、产品创新能力、市场营销能力和交易盈利能力。建立高效的汇率风险的管理组织框架,制定正确的汇率风险管理程序,建立健全我国商业银行的汇率风险防范机制,从而应对即将来临的挑战。
三、本文的创新和不足
本文在分析我国商业银行汇率风险管理的过程中注重理论与实践的结合,规范分析与实践分析相结合,运用了演绎、比较等分析方法,运用了一定的数据分析,比较系统地论述了如何加强我国商业银行汇率风险管理以及建立健全汇率风险防范机制的框架。本文在理论分析上,尝试地运用了蒙代尔-弗莱明模型分析了我国的货币政策与外汇政策的协调,指出“蒙代尔三角”在中国外汇政策和货币政策协调中依然存在。人民币名义汇率稳定、国际收支改善和降低利率以刺激需求三者之间存在着相当程度的矛盾:在维护汇率稳定的前提下,利率-汇率的联动作用会受到限制。由此得出汇率形成机制改革的必然性,我国商业银行迟早都必须面对汇率风险带来的挑战。同时,在分析汇改对我国商业银行的影响这一问题上,本文运用了大量的理论和数据分析。本文在通过对商业银行本身的汇率风险管理方法的基础上,结合国内汇率风险管理的现实情况,分析适合我国商业银行汇率风险管理的基本框架,尝试着一些理论探索。
从总的来说,对于商业银行汇率风险管理的研究,西方金融发达的国家积累了较为丰富的经验,然而,受到我国金融市场发展现状的制约,我国在汇率风险方面的管理还处在比较原始的基础上,随着金融改革的逐渐深入,市场体系的进一步完善,我国商业银行汇率风险的管理也会步入一个全新的阶段。
由于本人的水平有限,文中会存在错误和疏漏之处,敬请各位老师提出意见,批评指正,本人将在今后的学习和工作中继续努力。
1. Background and purpose of the thesis
The finance is regarded as the core of the modern economy, at the same time, it is that the risk is the greatest, frequently, most sensitive and fragile economic field. Especially in the seventies of the 20th century, since collapsing in Bretton Woods System, most countries have implemented the floating exchange rate system in the world, the exchange rate floats and is not limited again, and international capital extensive sport and frequent trade of foreign exchange market these will cause of different exchange rate among the currency to fluctuate by a large margin, this makes the bank face the enormous exchange rate risk, the exchange rate risk management with effective science seems extremely important to the competitiveness and sound development of the bank which promote the bank.
The exchange rate risk is one of the risks of staple market which the commercial bank faces while managing, with the swift and violent development of financial derived products after the eighties of the 20th century, and Bahrain Bank, etc. lead to the fact because of carrying on the trade of derived products that the incident lost, going bankrupt frequently happens, so Basel committee is it supplement to make to capital agreement on 1996, include market risk in capital supervise the category.“New capital agreement of committee of Basel”passed in June of 2004. Call three major risks that the commercial bank management with credit risks, market risk, risks of operating it clearly.
On 21 July 2005, China announced the reform measures of RMB exchange rate regime, shifting to a more flexible managed float with reference to a basket of currencies. As a result, China’s commercial banks are facing with serious challenge inherent in the new exchange rate mechanism. After this, the PBC issued a series of relevant policies successively, advanced the reform of the exchange rate system of RMB further. However, in the exchange rate system which our country has implemented since 1994, this makes commercial bank negligent of the risk and keep a lookout for a long time, in such aspects as risk management mechanism, way, personnel and products innovation, can't meet the needs of new exchange rate mechanism, and there is greater disparity. So exchange rate this form reform of system deal in to of our country business of commercial bank and risk management put forward high request. So, seek the theory method to suit exchange rate risk of commercial bank of our country, carry on effective risk management to the commercial bank according to the current rule, have very important meanings in promoting the bank competitiveness and sound development of the bank, this is my original intention to choose the theme.
2. Structure of this thesis
This paper is divided into five parts:
The first part, nominal rate stability of RMB, international revenue and expenditure improve, reduce the interest rate in order to stimulate the demand, there is a contradiction analogous to the degree between these three: on the premise of safeguarding the exchange rate steadily, the linkage function of interest rate and exchange rate will be limited. In the long run, the exchange rate reform of RMB has already become inevitable,strengthening the management of the exchange rate risk is the question that the commercial bank should face sooner or later.
The second part,the summary about exchange rate risk in commercial bank management. At first, the paper has analyzed the definition, classification and origin cause of formation of the exchange rate risk, then it is the introduction to three kinds of methods of weighing the exchange rate risk, the value law of the risk, testing the law and scene analytic approach extremely. Finally, it is basic theories of risk management of the exchange rate.
The third part,the current situation and theoretical analysis of exchange rate risk management in our commercial banks. Compare with the international leading practice about exchange rate risk management of banking, the commercial bank of our country has greater disparity. Mainly showing in the following aspects: at first, the commercial bank has greater disparity on personnel's quality and management culture, bank enterprises have not formed well risk management culture yet, have lacked overall risk management consciousness. Secondly it is the commercial bank that there is disparity on the system factor too, the relevant supplementary measure was not set up and perfected either. Moreover, there is a method to lag behind in the demeanor means of the exchange risk too, way in the commercial bank of our country, indifferent characteristic, can't meet the needs of forming the mechanism and risk management in new RMB exchange rate. Finally, as one of the risk management important means of commercial bank, it is obviously insufficient that the banking of our country exists in the innovative respect of the finance.
The fourth part,the reform measures of RMB exchange rate regime’s impact on risk management of commercial bank of our country. The adjustment of the exchange rate of RMB not merely makes the home currency and foreign currency assets of the commercial bank and debt structure produce certain change, the more important thing is that the commercial bank of our country begins to face the double tests of the interest rate risk and exchange rate risk. Improve ability and level of managing and controlling the market risk and already become task of top priority of China-invested Bank as soon as possible, it is the important sign of weighing managerial skill of commercial bank and synthesized competitiveness too. After this exchange rate system reform, will form RMB exchange rate mechanism full of more elasticity, the fluctuation of the exchange rate will be frequent day by day, fluctuating range will be strengthened further, this to the domestic commercial bank which lacks the experience of management of the exchange rate risk, the difficulty in management is self-evident, the commercial bank must heighten the level of risk management of the exchange rate as soon as possible.
The fifth part,set up and amplify the exchange rate risk mechanism of the commercial bank of our country. Under the new exchange rate system, the uncertainty of the exchange rate of RMB increases to some extent, the commercial bank must have stronger risk pricing ability and stronger risk managerial ability, improving the management level of the exchange risk actively, perfect the management system of the exchange risk as soon as possible. Promote the risk managerial ability, innovation ability of the products, marketing ability and trade profit ability of the business of the foreign exchange funds in a more cost-effective manner. Set up and amplify the exchange rate risk mechanism of the commercial bank of our country, thus tackle the coming challenge.
3. Innovation and deficiency of this paper
This paper pays attention to the combination of the theory and practice during the process of analyzing exchange rate risk management of commercial bank of our country, standardize analysis and practice analysis that combines together, has used the analytical method of deducing, comparing etc., have used certain data analysis, have expounded the fact more systematically how to strengthen the exchange rate risk management of commercial bank of our country and set up and amplify the frame of the exchange rate risk mechanism. In the theory, this paper tries to use“Mundell– Fleming”model to analysis the coordination of monetary policy and the exchange policy of our country, the commercial bank of our country must face the challenge that the exchange rate risk bring sooner or later. At the same time, on the basis of anglicizing the commercial bank's own exchange rate risk, combine the reality of domestic exchange rate risk management, analyzes that suits the basic frame of exchange rate risk management of commercial bank of our country.
Generally speaking, as to commercial bank research, exchange rate of risk management, western developed country it accumulates to be comparatively abundant experience, however, restricted by the current situation of the development of financial market of our country, return the place the management in exchange rate risk of our country on the more primitive basis, with the deepening gradually of financial reform, the further perfection of market system, the management of the exchange rate risk of commercial bank of our country will step into a brand-new stage too.
For the limitation of my theory level, maybe there are still some error and slip. I expect to get direction from teachers, and I will make great efforts to improve it in the future.
金融作为现代经济的核心和枢纽,同时也是风险最大、危机最频、最为敏感和脆弱的经济领域。尤其是20世纪70年代,自布雷顿森林体系崩溃以来,世界上大多数国家实行了浮动汇率制,汇率浮动不再受到限制,而国际资本大规模的运动以及外汇市场上的频繁交易必然会导致各种货币间汇率的大幅度波动,这就使得银行面临着巨大的汇率风险,科学有效的汇率风险管理对于提升银行的竞争力和银行的健康发展具有极为重要的现实意义。
汇率风险是商业银行经营中面临的主要市场风险之一,随着20世纪80年代以后金融衍生产品的迅猛发展,以及巴林银行等因进行衍生产品交易而导致亏损、破产的事件频繁发生,因此,巴塞尔委员会于1996年对资本协议做了补充,将市场风险纳入资本监管范畴。2004年6月通过的《巴塞尔委员会新资本协议》又明确把操作风险和信用风险、市场风险一起并称商业银行经营的三大风险。
市场风险的一个具体内容是外汇风险。银行作为外汇市场的造市者向客户公布牌价并持有各类币种的敞口头寸,在汇率波动剧烈时,外汇业务内在的风险特别是外汇敞口头寸的风险会增大。商业银行汇率风险主要是由于汇率波动的时间差、区差以及币种和期限结构不匹配等因素造成的。
2005年7月21日起,我国开始实行以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度。自此,人民币汇率不再盯住单一美元,形成了更富弹性的汇率机制。此后,央行又陆续出台了一系列相关政策,进一步推进人民币汇率制度的改革。然而,自1994年以来我国实行的汇率制度中,人民币汇率基本盯住了美元,这就使得各商业银行长期疏于风险防范,在风险管理的机制、方式、人员以及产品创新等方面,都不能适应新的汇率机制的要求,且存在着比较大的差距。因此,此次汇率形成制度的改革对我国商业银行的业务经营和风险管理提出了更高的要求。可以说,此次人民币升值标志着对商业银行管理和驾驭市场风险能力的考验才刚刚开始。因此,寻求适合我国商业银行汇率风险的理论方法,按照国际通行的规则对我国商业银行进行有效的风险管理,对提升银行竞争力和银行的健康发展具有十分重要的意义,这也是本文选题的初衷。
二、本文的框架结构
本文分为五个部分:
第一个部分,人民币汇率形成机制改革的必然性及其内涵分析。“蒙代尔三角”在中国外汇政策和货币政策协调中依然存在。人民币名义汇率稳定、国际收支改善和降低利率以刺激需求三者之间存在着相当程度的矛盾:在维护汇率稳定的前提下,利率-汇率的联动作用会受到限制。从长远来看,人民币汇率形成机制改革已成必然,加强汇率风险的管理是我国商业银行迟早都要面对的问题,而对人民币汇改的内涵性分析,有助于了解此次改革的背景。
第二个部分,商业银行汇率风险管理概述。本部分是商业银行汇率风险管理的相关基本理论,是为了后面展开分析做理论铺垫。
首先文章分析了汇率风险的定义、分类与成因,其中不同的专家和学者有不同的看法和理解,文章都作了比较详细的阐述,并做了简单的对比分析。然后文章简单介绍了衡量汇率风险的三种方法,风险价值法、极端测试法和情景分析法。最后是汇率风险管理的基本理论,先是介绍了汇率风险管理的原则,然后是汇率风险管理的的程序,建立一个完整的汇率风险防范机制体系,必须严格按照程序来建立。
第三个部分,我国商业银行汇率风险管理现状分析。与国际银行业关于汇率风险管理的领先实践相比较,我国商业银行存在着比较大的差距。主要表现在:首先是商业银行在人员素质和管理文化上就存在着比较大的差距,部分银行董事会和高级管理人员监控各种风险的能力还有待提高,银行企业尚未形成良好的风险管理文化,缺乏全面风险管理意识。其次是商业银行在体制因素上也存在着差距,汇率风险防范机制体系建设存在不足,执行力度有待加强,相关的配套措施也没有建立和完善起来。再者,我国商业银行在汇率风险防范手段、方式上也存在着方法落后,能力不强的特点,不能适应新的人民币汇率形成机制和风险管理的要求。最后,作为商业银行风险管理的重要手段之一,金融创新在西方发达国家早己被广泛运用,但与之相比,我国银行业在金融创新方面存在明显不足,主要体现在以下五个方面:一是金融创新的外部市场环境不完善。二是商业银行金融创新的内部动力不足。三是社会对金融创新的需求程度不高。四是金融创新的效果不明显。五是金融创新的技术支持薄弱。金融创新动力不足,影响了银行业务的发展。
第四部分,人民币汇率形成机制改革对我国商业银行汇率风险管理的影响。人民币汇率的调整不仅使商业银行的本外币资产和负债结构产生一定的变化,更重要的是我国商业银行开始面临利率风险和汇率风险的双重考验。尽快提高管理和驾驭市场风险的能力和水平已成为中资银行的当务之急,也是衡量商业银行经营管理水平和综合竞争力的重要标志。而对商业银行的外汇管理机制而言,汇率机制的改革对于商业银行的风险定价能力提出了更高的要求,人民币汇率不再盯住美元,在客观上要求商业银行必须对外汇营运资金进行积极主动的管理,此次汇率制度改革后,将形成更富弹性的人民币汇率机制,汇率的波动将日益频繁,波动幅度将进一步加大,这对缺乏汇率风险管理经验的国内商业银行来说,管理难度不言而喻,商业银行必须尽快提高汇率风险管理的水平。
第五部分,建立健全我国商业银行的汇率风险防范机制。在新的汇率制度下,人民币汇率的不确定性有所增加,从而必然对商业银行的结售汇业务定价、日常交易管理和敞口头寸控制方式产生深刻的影响,商业银行必须具有更强的风险定价能力和更强的风险管理能力,商业银行要在认真评估本行汇率风险管理状况的基础上,积极制定并实施完善汇率风险管理体系、提高汇率风险管理水平的方案,尽快完善汇率风险管理体系。在业务上,进一步加强对各项业务的风险管理和风险控制。商业银行要密切关注受影响行业,特别是受影响比较大的传统出口优势型行业、国际化定价行业、进口替代行业的企业经营情况,适度调整信贷额度,降低经营风险。大力提升外汇资金业务的风险管理能力、产品创新能力、市场营销能力和交易盈利能力。建立高效的汇率风险的管理组织框架,制定正确的汇率风险管理程序,建立健全我国商业银行的汇率风险防范机制,从而应对即将来临的挑战。
三、本文的创新和不足
本文在分析我国商业银行汇率风险管理的过程中注重理论与实践的结合,规范分析与实践分析相结合,运用了演绎、比较等分析方法,运用了一定的数据分析,比较系统地论述了如何加强我国商业银行汇率风险管理以及建立健全汇率风险防范机制的框架。本文在理论分析上,尝试地运用了蒙代尔-弗莱明模型分析了我国的货币政策与外汇政策的协调,指出“蒙代尔三角”在中国外汇政策和货币政策协调中依然存在。人民币名义汇率稳定、国际收支改善和降低利率以刺激需求三者之间存在着相当程度的矛盾:在维护汇率稳定的前提下,利率-汇率的联动作用会受到限制。由此得出汇率形成机制改革的必然性,我国商业银行迟早都必须面对汇率风险带来的挑战。同时,在分析汇改对我国商业银行的影响这一问题上,本文运用了大量的理论和数据分析。本文在通过对商业银行本身的汇率风险管理方法的基础上,结合国内汇率风险管理的现实情况,分析适合我国商业银行汇率风险管理的基本框架,尝试着一些理论探索。
从总的来说,对于商业银行汇率风险管理的研究,西方金融发达的国家积累了较为丰富的经验,然而,受到我国金融市场发展现状的制约,我国在汇率风险方面的管理还处在比较原始的基础上,随着金融改革的逐渐深入,市场体系的进一步完善,我国商业银行汇率风险的管理也会步入一个全新的阶段。
由于本人的水平有限,文中会存在错误和疏漏之处,敬请各位老师提出意见,批评指正,本人将在今后的学习和工作中继续努力。
1. Background and purpose of the thesis
The finance is regarded as the core of the modern economy, at the same time, it is that the risk is the greatest, frequently, most sensitive and fragile economic field. Especially in the seventies of the 20th century, since collapsing in Bretton Woods System, most countries have implemented the floating exchange rate system in the world, the exchange rate floats and is not limited again, and international capital extensive sport and frequent trade of foreign exchange market these will cause of different exchange rate among the currency to fluctuate by a large margin, this makes the bank face the enormous exchange rate risk, the exchange rate risk management with effective science seems extremely important to the competitiveness and sound development of the bank which promote the bank.
The exchange rate risk is one of the risks of staple market which the commercial bank faces while managing, with the swift and violent development of financial derived products after the eighties of the 20th century, and Bahrain Bank, etc. lead to the fact because of carrying on the trade of derived products that the incident lost, going bankrupt frequently happens, so Basel committee is it supplement to make to capital agreement on 1996, include market risk in capital supervise the category.“New capital agreement of committee of Basel”passed in June of 2004. Call three major risks that the commercial bank management with credit risks, market risk, risks of operating it clearly.
On 21 July 2005, China announced the reform measures of RMB exchange rate regime, shifting to a more flexible managed float with reference to a basket of currencies. As a result, China’s commercial banks are facing with serious challenge inherent in the new exchange rate mechanism. After this, the PBC issued a series of relevant policies successively, advanced the reform of the exchange rate system of RMB further. However, in the exchange rate system which our country has implemented since 1994, this makes commercial bank negligent of the risk and keep a lookout for a long time, in such aspects as risk management mechanism, way, personnel and products innovation, can't meet the needs of new exchange rate mechanism, and there is greater disparity. So exchange rate this form reform of system deal in to of our country business of commercial bank and risk management put forward high request. So, seek the theory method to suit exchange rate risk of commercial bank of our country, carry on effective risk management to the commercial bank according to the current rule, have very important meanings in promoting the bank competitiveness and sound development of the bank, this is my original intention to choose the theme.
2. Structure of this thesis
This paper is divided into five parts:
The first part, nominal rate stability of RMB, international revenue and expenditure improve, reduce the interest rate in order to stimulate the demand, there is a contradiction analogous to the degree between these three: on the premise of safeguarding the exchange rate steadily, the linkage function of interest rate and exchange rate will be limited. In the long run, the exchange rate reform of RMB has already become inevitable,strengthening the management of the exchange rate risk is the question that the commercial bank should face sooner or later.
The second part,the summary about exchange rate risk in commercial bank management. At first, the paper has analyzed the definition, classification and origin cause of formation of the exchange rate risk, then it is the introduction to three kinds of methods of weighing the exchange rate risk, the value law of the risk, testing the law and scene analytic approach extremely. Finally, it is basic theories of risk management of the exchange rate.
The third part,the current situation and theoretical analysis of exchange rate risk management in our commercial banks. Compare with the international leading practice about exchange rate risk management of banking, the commercial bank of our country has greater disparity. Mainly showing in the following aspects: at first, the commercial bank has greater disparity on personnel's quality and management culture, bank enterprises have not formed well risk management culture yet, have lacked overall risk management consciousness. Secondly it is the commercial bank that there is disparity on the system factor too, the relevant supplementary measure was not set up and perfected either. Moreover, there is a method to lag behind in the demeanor means of the exchange risk too, way in the commercial bank of our country, indifferent characteristic, can't meet the needs of forming the mechanism and risk management in new RMB exchange rate. Finally, as one of the risk management important means of commercial bank, it is obviously insufficient that the banking of our country exists in the innovative respect of the finance.
The fourth part,the reform measures of RMB exchange rate regime’s impact on risk management of commercial bank of our country. The adjustment of the exchange rate of RMB not merely makes the home currency and foreign currency assets of the commercial bank and debt structure produce certain change, the more important thing is that the commercial bank of our country begins to face the double tests of the interest rate risk and exchange rate risk. Improve ability and level of managing and controlling the market risk and already become task of top priority of China-invested Bank as soon as possible, it is the important sign of weighing managerial skill of commercial bank and synthesized competitiveness too. After this exchange rate system reform, will form RMB exchange rate mechanism full of more elasticity, the fluctuation of the exchange rate will be frequent day by day, fluctuating range will be strengthened further, this to the domestic commercial bank which lacks the experience of management of the exchange rate risk, the difficulty in management is self-evident, the commercial bank must heighten the level of risk management of the exchange rate as soon as possible.
The fifth part,set up and amplify the exchange rate risk mechanism of the commercial bank of our country. Under the new exchange rate system, the uncertainty of the exchange rate of RMB increases to some extent, the commercial bank must have stronger risk pricing ability and stronger risk managerial ability, improving the management level of the exchange risk actively, perfect the management system of the exchange risk as soon as possible. Promote the risk managerial ability, innovation ability of the products, marketing ability and trade profit ability of the business of the foreign exchange funds in a more cost-effective manner. Set up and amplify the exchange rate risk mechanism of the commercial bank of our country, thus tackle the coming challenge.
3. Innovation and deficiency of this paper
This paper pays attention to the combination of the theory and practice during the process of analyzing exchange rate risk management of commercial bank of our country, standardize analysis and practice analysis that combines together, has used the analytical method of deducing, comparing etc., have used certain data analysis, have expounded the fact more systematically how to strengthen the exchange rate risk management of commercial bank of our country and set up and amplify the frame of the exchange rate risk mechanism. In the theory, this paper tries to use“Mundell– Fleming”model to analysis the coordination of monetary policy and the exchange policy of our country, the commercial bank of our country must face the challenge that the exchange rate risk bring sooner or later. At the same time, on the basis of anglicizing the commercial bank's own exchange rate risk, combine the reality of domestic exchange rate risk management, analyzes that suits the basic frame of exchange rate risk management of commercial bank of our country.
Generally speaking, as to commercial bank research, exchange rate of risk management, western developed country it accumulates to be comparatively abundant experience, however, restricted by the current situation of the development of financial market of our country, return the place the management in exchange rate risk of our country on the more primitive basis, with the deepening gradually of financial reform, the further perfection of market system, the management of the exchange rate risk of commercial bank of our country will step into a brand-new stage too.
For the limitation of my theory level, maybe there are still some error and slip. I expect to get direction from teachers, and I will make great efforts to improve it in the future.
引文
2 见孙华妤,《“不可能三角”不能作为中国汇率制度选择的依据》,国际金融研究,2004(8):11-16
4参见韩复龄,一篮子货币[M],北京:中国时代经济出版社,2005
9见邹新,宋玮,《汇率变动对商业银行的影响》,银行家,2007(1):77-78,另外,温彬在 2005 年《国际金融研究》第 9 期上也对此问题也有所阐述。
10此计算公式参考邹宏元《金融风险管理》,西南财经大学出版社,2005,P273
[1]巴塞尔委员会著,中国银行业监督管理委员会译,巴塞尔新资本协议:统一资本计量和资本标准的国际协议:修订框架》,2004
[2]戴国强,商业银行经营学[M],北京:高等教育出版社,1999
[3]曾康霖,商业银行经营管理研究[M],成都:西南财经大学出版社,2000
[4]宋清华,李志辉,金融风险管理[M],北京:中国金融出版社,2003
[5]涂永红,外汇风险管理[M],北京:中国人民大学出版社,2004
[6]邹宏元,金融风险管理[M],成都:西南财经大学出版社,2005
[7]韩复龄,一篮子货币[M],北京:中国时代经济出版社,2005
[8]何泽荣主译,[英]Lucio Sarno&Mark P.Taylor,汇率经济学[M],成都:西南财经大学出版社,2006
[9]黄华莉,商业银行利率风险和汇率风险管理,硕士论文,中国期刊网,2002
[10]罗士勋,人民币汇率预测和风险管理研究,博士论文,中国期刊网,2005
[11]徐磊,我国国际企业的外汇风险管理研究,硕士论文,中国期刊网,2005.
[12]郑东,我国商业银行汇率风险形成机制及其管理研究,硕士论文,中国期刊网,2006
[13]陈洁,论人民币汇率制度改革对我国商业银行风险管理的影响,硕士论文,中国期刊,2006
[14]孙华妤,“不可能三角”不能作为中国汇率制度选择的依据[J],国际金融研究,2004(8):11-16
[15]陈荣达、王韬、肖德云,基于 Delta-Gamma-Theta-Cornish-Fisher 模型的外汇期权风险计量[J],数量经济技术经济研究,2004(11):124-129
[16]马德功,中央银行外汇市场干预理论的回顾与思考[J],世界经济,2005(3):68-70
[17]戴科、彭智,商业银行市场风险管理中的 VAR 模型[J],价值工程,2005(8):24-26
[18]夏琳,汇率形成机制改革后外汇风险管理问题的思考[J],经济与金融,2005(8):22-24
[19]荣蓉、张宁,思维变局:当人民币汇率风险真正降临[J],中国外汇管理,2005(9):28-31
[20]温彬,人民币升值对我国商业银行的影响研究[J],国际金融研究,2005(9):14-16
[21]连平、周昆平、仇高攀,汇率形成机制改革和人民币升值对我国商业银行的影响及其对策[J],中国金融,2005(21):50-52
[22]夏斌、陈道富,国际货币体系失衡下的中国汇率政策[J],经济研究,2006(2):4-14
[23]温彬,人民币汇率改革的效应和趋势分析[J],国际金融研究,2006 (3):50-56
[24]邓雄,开放经济条件下外汇政策与货币政策的协调研究[J],金融学术动态,2006(3):64-69
[25]张晓朴,商业银行外汇风险管理与监管[J],银行家,2006(8):76-79
[26]邹新,宋玮,汇率变动对商业银行的影响[J],银行家,2007(1):77-78
4参见韩复龄,一篮子货币[M],北京:中国时代经济出版社,2005
9见邹新,宋玮,《汇率变动对商业银行的影响》,银行家,2007(1):77-78,另外,温彬在 2005 年《国际金融研究》第 9 期上也对此问题也有所阐述。
10此计算公式参考邹宏元《金融风险管理》,西南财经大学出版社,2005,P273
[1]巴塞尔委员会著,中国银行业监督管理委员会译,巴塞尔新资本协议:统一资本计量和资本标准的国际协议:修订框架》,2004
[2]戴国强,商业银行经营学[M],北京:高等教育出版社,1999
[3]曾康霖,商业银行经营管理研究[M],成都:西南财经大学出版社,2000
[4]宋清华,李志辉,金融风险管理[M],北京:中国金融出版社,2003
[5]涂永红,外汇风险管理[M],北京:中国人民大学出版社,2004
[6]邹宏元,金融风险管理[M],成都:西南财经大学出版社,2005
[7]韩复龄,一篮子货币[M],北京:中国时代经济出版社,2005
[8]何泽荣主译,[英]Lucio Sarno&Mark P.Taylor,汇率经济学[M],成都:西南财经大学出版社,2006
[9]黄华莉,商业银行利率风险和汇率风险管理,硕士论文,中国期刊网,2002
[10]罗士勋,人民币汇率预测和风险管理研究,博士论文,中国期刊网,2005
[11]徐磊,我国国际企业的外汇风险管理研究,硕士论文,中国期刊网,2005.
[12]郑东,我国商业银行汇率风险形成机制及其管理研究,硕士论文,中国期刊网,2006
[13]陈洁,论人民币汇率制度改革对我国商业银行风险管理的影响,硕士论文,中国期刊,2006
[14]孙华妤,“不可能三角”不能作为中国汇率制度选择的依据[J],国际金融研究,2004(8):11-16
[15]陈荣达、王韬、肖德云,基于 Delta-Gamma-Theta-Cornish-Fisher 模型的外汇期权风险计量[J],数量经济技术经济研究,2004(11):124-129
[16]马德功,中央银行外汇市场干预理论的回顾与思考[J],世界经济,2005(3):68-70
[17]戴科、彭智,商业银行市场风险管理中的 VAR 模型[J],价值工程,2005(8):24-26
[18]夏琳,汇率形成机制改革后外汇风险管理问题的思考[J],经济与金融,2005(8):22-24
[19]荣蓉、张宁,思维变局:当人民币汇率风险真正降临[J],中国外汇管理,2005(9):28-31
[20]温彬,人民币升值对我国商业银行的影响研究[J],国际金融研究,2005(9):14-16
[21]连平、周昆平、仇高攀,汇率形成机制改革和人民币升值对我国商业银行的影响及其对策[J],中国金融,2005(21):50-52
[22]夏斌、陈道富,国际货币体系失衡下的中国汇率政策[J],经济研究,2006(2):4-14
[23]温彬,人民币汇率改革的效应和趋势分析[J],国际金融研究,2006 (3):50-56
[24]邓雄,开放经济条件下外汇政策与货币政策的协调研究[J],金融学术动态,2006(3):64-69
[25]张晓朴,商业银行外汇风险管理与监管[J],银行家,2006(8):76-79
[26]邹新,宋玮,汇率变动对商业银行的影响[J],银行家,2007(1):77-78