风险管理流程视角下商业银行外汇风险管理研究
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摘要
随着金融体制改革的日益深化和人民币汇率市场化进程的不断推进,中国金融经济对外开放程度进一步提升,正在逐步融入世界经济整体之中。在此背景下,中国商业银行的相关外汇业务伴随着经济大环境的变化而越来越丰富。外汇业务的多样性及整个市场联动性和相关性的加强,使得商业银行面临外汇风险的机率提高。因此,出于中国商业银行未来稳定发展的需要,关于其外汇风险管理的研究就显得十分重要。
目前,中国商业银行的外汇风险管理由于机制的完善和监管的加强取得了一定的进展,但还存在不少问题,例如风险意识淡薄、认识不够全面、风险度量及规避方法相对落后等,它们严重制约了商业银行的外汇风险管理水平。本文拟从风险管理流程视角出发,首先分析并识别外汇风险,然后度量风险,再后对风险进行规避和控制,最后提出有关政策建议,以逐步递进的方式对商业银行外汇风险问题进行系统研究。
在商业银行外汇风险机理研究部分,本文基于风险管理的基本流程,从外汇风险识别、度量、控制的角度,对其相关理论和方法进行阐述。首先分析商业银行外汇风险的形成原因及类别,接着探讨外汇风险暴露的内涵及形式,并对外汇风险暴露的衡量方法进行阐述,进而比较分析外汇风险的度量方法及管理工具。
在商业银行外汇风险管理的实证研究方面,本文基于商业银行外汇风险因素的判定、风险的识别、度量和规避这一路径展开研究。首先通过构建上市商业银行外汇风险影响因素模型,探讨其共同影响因素,并对不同性质的上市商业银行外汇风险影响因素的差异性进行分析,发现对五大国有商业银行而言,银行规模、资本结构和流动性比例是其外汇风险的关键影响因素。而对其它股份制银行而言,汇率风险的决定性影响因素则是银行规模。然后从非对称性的角度,分别考察单个上市商业银行及整个银行业所面临的外汇风险暴露情况,发现考虑了外汇风险暴露非对称性的上市商业银行及整个银行业,其外汇风险暴露更加明显,且不同汇率条件下的外汇风险暴露程度不同。总体而言,考虑了外汇风险暴露非对称性之后,能够更真实准确地衡量其外汇风险暴露的程度。再后在商业银行外汇风险的度量研究方面,通过构建时变多元Copula模型拟合汇率组合中波动的时变相关动态变化特征,并结合Monte Carlo模拟对其汇率组合的风险进行VaR度量及估计,发现各汇率收益率序列之间的相关性以时变方式变动,且基于时变多元Copula模型估计所得到的VaR值能较好地对商业银行外汇组合的实际风险进行覆盖。对比时变多元Copula模型和静态多元Copula模型的VaR估计效果可以看出,考虑了汇率组合之间时变相关特性的Copula模型在VaR估计中效果更优。最后实证研究外汇风险的规避,从最小下偏距风险度量指标出发,选取国际主要货币的期货合约考察上市商业银行的外汇套期保值,对时变Clayton Copula参数法与实际分布法的套期保值效果进行对比分析,发现各货币现货和期货收益率间的相关性呈现显著的动态相关性特征。同时,时变Clayton Copula方法比实际分布法得到更小的下偏矩,能显著改善传统的最小下偏矩套期保值比率的估计,从而可以更有效地规避商业银行所面临的外汇风险。
作为应用研究,本文从商业银行外汇风险管理经验分析与启示、商业银行外汇风险管理的金融环境建设与工具运用和商业银行外汇风险管理的策略创新三个方面为商业银行的外汇风险管理提出对策建议。
With the continuing boost of the deepening reform of financial system and the marketization of RMB exchange rate, Chinese financial and economical degree of external development has made a further improvement and China is gradually integrating into the world economy system as a whole being. Then Chinese commercial banks'foreign exchange business is becoming richer along with the change of economic environment. And the diversity of the foreign exchange business and the strengthening of every market's linkage increase the foreign exchange risk of commercial banks. Therefore, foreign exchange risk management has become increasingly important of Chinese commercial banks for seeking stable development in the future.
Currently, Chinese foreign exchange risk management has also made some progress due to the perfection of management mechanism and the strengthening of supervision, but there are still many problems, such as weak awareness of foreign exchange risk, incomprehensive understanding, the backward of risk measurement and risk avoiding method. Those problems are seriously restricting the level of foreign exchange risk management of commercial banks. This paper will make a gradually progressive research on commercial banks foreign exchange risk from the point of the risk management process.
In part of related mechanism of commercial banks'foreign exchange risk, it mainly starts from the points of foreign exchange risk identification, measurement and aversion perspective to define its theoretical concepts and methods. First, this part analyzes the formatting reasons of commercial bank' foreign exchange risk and its category. Then, it defines and classifies the foreign exchange risk exposure of commercial banks, and exploreds its foreign exchange risk exposure methods. At last, it made a comparative analysis of commercial banks'foreign exchange risk measurement methods and management tools.
For the part of empirical study on commercial bank risk management, the article is based on the main line of foreign exchange risk influential factors, risk identification, risk measurement and risk aversion. Firstly, it constructs a model of commercial bank's foreign exchange risk influential factors. Then, it investigates the common influential factors of commercial banks'foreign exchange risk and the difference between different commercial banks with different nature. Empirical results show that for the five state-owned commercial banks, bank size, capital structure and liquidity ratio are the key factors of its foreign exchange risk, but for other joint-stock banks, the decisive influencial factor is the size of the bank. Secondly, it investigates foreign exchange risk exposure conditions between individual listed commercial banks and the whole banking sector from the point of view of asymmetry. Empirical study finds that listed commercial banks and the banking sector's exposure show more obviously after considering asymmetry and foreign exchange risk exposure are different under different exchange rate conditions, overall, considering the foreign exchange risk exposure of asymmetry can be true and accurate to measure the extent of its foreign exchange risk exposure. Thirdly commercial bank foreign exchange risk metrics is researched by constructing multivariate Copula model to measure exchange rate fluctuations' time-varying characteristics and using the Monte Carlo simulation to measure risk of exchange rate combination. The results show that the correlation between the returns of exchange rate sequence is time-varying; the VaR estimated value which is based on time-varying multivariate Copula model can be the actual skill to measure commercial bank's foreign exchange portfolio risk. Making contrast between varying multivariate Copula model and static multivariate Copula model shows that the effect of VaR estimated which considering time-varying Copula model between exchange rate combinations is better. Finally, for the empirical research of foreign exchange risk aversion, the minimum lower partial moment is used to be the risk measure index, and selects commonly used international currency futures contracts to investigate the effectiveness of commercial banks'foreign exchange hedging by making contrast between the time-varying Clayton Copula model and the actual distribution method. Results show that the correlation between the yield of spot and futures currency render a significant dynamic correlation characteristics; Using time-varying Clayton Copula parameter method can improve the traditional minimum lower partial moment hedge ratio estimates than using the actual distribution method, hence to be more effectively avoid foreign exchange risk faced by commercial banks.
As applied research, this paper finally puts forward some countermeasures for commercial banks foreign exchange risk management from the following three aspects: the commercial bank foreign exchange risk management experience analysis and enlightenment, commercial bank foreign exchange risk management of financial environment construction and the tools and commercial bank foreign exchange risk management strategies innovation.
目前,中国商业银行的外汇风险管理由于机制的完善和监管的加强取得了一定的进展,但还存在不少问题,例如风险意识淡薄、认识不够全面、风险度量及规避方法相对落后等,它们严重制约了商业银行的外汇风险管理水平。本文拟从风险管理流程视角出发,首先分析并识别外汇风险,然后度量风险,再后对风险进行规避和控制,最后提出有关政策建议,以逐步递进的方式对商业银行外汇风险问题进行系统研究。
在商业银行外汇风险机理研究部分,本文基于风险管理的基本流程,从外汇风险识别、度量、控制的角度,对其相关理论和方法进行阐述。首先分析商业银行外汇风险的形成原因及类别,接着探讨外汇风险暴露的内涵及形式,并对外汇风险暴露的衡量方法进行阐述,进而比较分析外汇风险的度量方法及管理工具。
在商业银行外汇风险管理的实证研究方面,本文基于商业银行外汇风险因素的判定、风险的识别、度量和规避这一路径展开研究。首先通过构建上市商业银行外汇风险影响因素模型,探讨其共同影响因素,并对不同性质的上市商业银行外汇风险影响因素的差异性进行分析,发现对五大国有商业银行而言,银行规模、资本结构和流动性比例是其外汇风险的关键影响因素。而对其它股份制银行而言,汇率风险的决定性影响因素则是银行规模。然后从非对称性的角度,分别考察单个上市商业银行及整个银行业所面临的外汇风险暴露情况,发现考虑了外汇风险暴露非对称性的上市商业银行及整个银行业,其外汇风险暴露更加明显,且不同汇率条件下的外汇风险暴露程度不同。总体而言,考虑了外汇风险暴露非对称性之后,能够更真实准确地衡量其外汇风险暴露的程度。再后在商业银行外汇风险的度量研究方面,通过构建时变多元Copula模型拟合汇率组合中波动的时变相关动态变化特征,并结合Monte Carlo模拟对其汇率组合的风险进行VaR度量及估计,发现各汇率收益率序列之间的相关性以时变方式变动,且基于时变多元Copula模型估计所得到的VaR值能较好地对商业银行外汇组合的实际风险进行覆盖。对比时变多元Copula模型和静态多元Copula模型的VaR估计效果可以看出,考虑了汇率组合之间时变相关特性的Copula模型在VaR估计中效果更优。最后实证研究外汇风险的规避,从最小下偏距风险度量指标出发,选取国际主要货币的期货合约考察上市商业银行的外汇套期保值,对时变Clayton Copula参数法与实际分布法的套期保值效果进行对比分析,发现各货币现货和期货收益率间的相关性呈现显著的动态相关性特征。同时,时变Clayton Copula方法比实际分布法得到更小的下偏矩,能显著改善传统的最小下偏矩套期保值比率的估计,从而可以更有效地规避商业银行所面临的外汇风险。
作为应用研究,本文从商业银行外汇风险管理经验分析与启示、商业银行外汇风险管理的金融环境建设与工具运用和商业银行外汇风险管理的策略创新三个方面为商业银行的外汇风险管理提出对策建议。
With the continuing boost of the deepening reform of financial system and the marketization of RMB exchange rate, Chinese financial and economical degree of external development has made a further improvement and China is gradually integrating into the world economy system as a whole being. Then Chinese commercial banks'foreign exchange business is becoming richer along with the change of economic environment. And the diversity of the foreign exchange business and the strengthening of every market's linkage increase the foreign exchange risk of commercial banks. Therefore, foreign exchange risk management has become increasingly important of Chinese commercial banks for seeking stable development in the future.
Currently, Chinese foreign exchange risk management has also made some progress due to the perfection of management mechanism and the strengthening of supervision, but there are still many problems, such as weak awareness of foreign exchange risk, incomprehensive understanding, the backward of risk measurement and risk avoiding method. Those problems are seriously restricting the level of foreign exchange risk management of commercial banks. This paper will make a gradually progressive research on commercial banks foreign exchange risk from the point of the risk management process.
In part of related mechanism of commercial banks'foreign exchange risk, it mainly starts from the points of foreign exchange risk identification, measurement and aversion perspective to define its theoretical concepts and methods. First, this part analyzes the formatting reasons of commercial bank' foreign exchange risk and its category. Then, it defines and classifies the foreign exchange risk exposure of commercial banks, and exploreds its foreign exchange risk exposure methods. At last, it made a comparative analysis of commercial banks'foreign exchange risk measurement methods and management tools.
For the part of empirical study on commercial bank risk management, the article is based on the main line of foreign exchange risk influential factors, risk identification, risk measurement and risk aversion. Firstly, it constructs a model of commercial bank's foreign exchange risk influential factors. Then, it investigates the common influential factors of commercial banks'foreign exchange risk and the difference between different commercial banks with different nature. Empirical results show that for the five state-owned commercial banks, bank size, capital structure and liquidity ratio are the key factors of its foreign exchange risk, but for other joint-stock banks, the decisive influencial factor is the size of the bank. Secondly, it investigates foreign exchange risk exposure conditions between individual listed commercial banks and the whole banking sector from the point of view of asymmetry. Empirical study finds that listed commercial banks and the banking sector's exposure show more obviously after considering asymmetry and foreign exchange risk exposure are different under different exchange rate conditions, overall, considering the foreign exchange risk exposure of asymmetry can be true and accurate to measure the extent of its foreign exchange risk exposure. Thirdly commercial bank foreign exchange risk metrics is researched by constructing multivariate Copula model to measure exchange rate fluctuations' time-varying characteristics and using the Monte Carlo simulation to measure risk of exchange rate combination. The results show that the correlation between the returns of exchange rate sequence is time-varying; the VaR estimated value which is based on time-varying multivariate Copula model can be the actual skill to measure commercial bank's foreign exchange portfolio risk. Making contrast between varying multivariate Copula model and static multivariate Copula model shows that the effect of VaR estimated which considering time-varying Copula model between exchange rate combinations is better. Finally, for the empirical research of foreign exchange risk aversion, the minimum lower partial moment is used to be the risk measure index, and selects commonly used international currency futures contracts to investigate the effectiveness of commercial banks'foreign exchange hedging by making contrast between the time-varying Clayton Copula model and the actual distribution method. Results show that the correlation between the yield of spot and futures currency render a significant dynamic correlation characteristics; Using time-varying Clayton Copula parameter method can improve the traditional minimum lower partial moment hedge ratio estimates than using the actual distribution method, hence to be more effectively avoid foreign exchange risk faced by commercial banks.
As applied research, this paper finally puts forward some countermeasures for commercial banks foreign exchange risk management from the following three aspects: the commercial bank foreign exchange risk management experience analysis and enlightenment, commercial bank foreign exchange risk management of financial environment construction and the tools and commercial bank foreign exchange risk management strategies innovation.
引文
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