人民币汇率体制改革下商业银行的汇率风险管理
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摘要
中国人民银行在2005年7月21日发布关于汇率体制改革的公告。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。人民币不再盯住单一美元,形成更富弹性的人民币汇率机制。这一措施使一直以来的人民币升值压力兑现,人民币汇率波动幅度有所加大。2006年7月21日就已较2005年7月21日启动人民币汇率改革之时,升值约2.88%,人民币对美元汇率中间价为8.0380：1。从商业银行的年报中发现,上市银行的手里,有近400亿美元的外汇敞口,以7.5%的升值速度和2008年的人民币汇率估算,这部分外汇资产可能带来的损失超过200亿人民币。单2007年中国工商银行披露的年报上就显示其外汇敞口为1376.88亿,等值美元188.49亿,截止到2007年年未,已经确认的汇总损失已经达到68.81亿元人民币。自其后的几年里,人民币汇率也一直处在平稳的波动之中,这使得我国商业银行对汇率风险提高了认识。对于银行来说,风险管理是一个永恒的课题,即银行与风险同在。汇率制度的变更会对商业银行的资本充足率,外币资产和负债以及外汇产品销售等多方面产生影响。商业银行如何防范汇率风险,如何进行汇率风险管理以增强金融环境的稳定性和提高企业的经济效益,这一问题日益受到重视,对于这一问题的研究具有非常现实的意义。在汇率制度改革之前,我国商业银行几乎不承担汇率风险,因此我国的金融机构对汇率风险的认识不够,汇率风险管理的经验也相当匮乏。汇率制度改革之后,我国的人民币汇率形成机制逐渐市场化,汇率波动呈现两个特点：波动幅度越来越大,波动频率越来越快。作为外汇市场主要参与者的商业银行面临着巨大的汇率风险暴露,这给我国缺乏汇率风险管理技术和经验的商业银行进行汇率风险管理带来了极大挑战。自2005年启动汇率体制改革至今已有5年光景,汇率体制改革在这5年时间里,取得了一定成果,但同时也存在一定问题。本文在人民币汇率体制改革的背景下对商业银行的汇率风险管理进行了研究,对现阶段我国汇率市场的特点进行分析,并预见性的提出在汇率市场逐渐完善,汇率形成机制逐步市场化情况下,我国商业银行如何进行汇率风险管理对这个问题进行的研究具有重要的理论意义和现实意义。
本文分为五个部分,第一部分是汇率风险概述,从理论上对商业银行面临的汇率风险的概念、特征、种类及成因进行分析,并对汇率风险管理进行理论概述,力求对商业银行面临的汇率风险及汇率风险管理进行全面的介绍。商业银行外汇风险管理的步骤有：战略目标制定、风险识别、风险计量、风险管理、风险监测。通过战略目标的制定,商业银行能够明确要达到的目标,能够承受的风险的范围。在文章的第二部分,对我国外汇体制改革的历程进行了回顾,由外汇体制改革出发,研究了汇率体制改革给我国商业银行带来的五个方面的影响。这五个方面的影响包括：给商业银行资本充足率带来的影响、给商业银行资产负债业务带来的影响、对商业银行外汇理财产品带来的影响、人民币升值带来商业银行面临的信用风险的加大、人民币升值给商业银行所面临的流动性风险的增大、人民币汇率制度改革使商业银行面临更大的交易风险。指出汇率体制改革给我国商业银行既带来了挑战也带来了机遇。汇率体制改革是一个渐进的过程,应当逐步推进和完善,我国外汇市场也处于逐步完善的进程之中,我国外汇体制改革以本国经济、金融发展和稳定为出发点,经过数年的发展已经取得了丰硕的成果,但现阶段我国外汇市场仍存在诸多问题,人民币汇率体制改革的相关配套工作尚存在缺陷,外汇市场不够完善,人民币调控机制不够完善,可供使用的汇率风险规避工具种类不够丰富,金融衍生产品极度匮乏,跨境资本流动对我国存在巨大冲击,监管不够得力。存在由于人民币升值预期导致的套利资金流动问题。我国渐进的进行汇率体制改革,使人民币升值压力得以兑现,实现人民币汇率在一定范围内的波动,但同时因为我国缺乏有效的外汇市场,国外发达资本主义国家采用做市商制度的外汇市场绝大多数以上都是分散的和无形的而在我国则是集中的,外汇远期交易很少,几乎全部都是即期交易,几乎我国所有的外汇交易都是金融机构间进行的,其他机构和个人参与相当少,中国外汇市场的这种现状导致汇率制度改革受到一定影响。跨境资本流动越来越便捷,但我国金融监管能力相对薄弱,跨境资本流动对我国可能造成巨大冲击。商业银行进行汇率风险管理也存在诸多问题。随着汇率体制改革的逐步推进,我国商业银行业已初步形成了汇率风险管理理念,但是能够使用的进行风险管理的工具相当匮乏,就衍生金融产品来说,我国商业银行目前使用较为普遍的是只有远期外汇合约。究其原因主要是我国发育不健全的外汇市场,没有一个高效的,完善的外汇市场,不能为外汇衍生产品的交易提供场所,即使有丰富的外汇衍生产品,其活跃性也是受到质疑的,也就是说我国外汇市场不具备外汇衍生金融产品活跃的条件。第三部分是对汇率风险的计量。对汇率风险计量的准确性是商业银行进行有效风险管理的前提和保障。在本部分作者对风险敞口和VaR的几种风险计量方法进行介绍,在详细介绍了VaR模型的基础上,给出了一个计量VaR的一个例子。通过运用方差协方差法分别计量1%、5%及10%这三种不同置信水平下的VaR,并对其计量结果进行比较。指出商业银行如何选取合适的显著性水平,需要与商业银行的风险管理能力,其资本状况相匹配。商业银行应当在综合考虑自身经营水平,及风险管理能力的情况下选择合适的置信区间。数据选取2006年1月1日汇改后至2009年11月3日的人民币对美元的汇率中间价,样本容量为933个。在进行数据处理时首先将人民币汇率的价格序列转换成为收益率序列。在第四部分中对我国商业银行的汇率风险管理进行研究,分析现阶段我国商业银行的汇率风险管理,及我国商业银行要面对的汇率风险管理的问题：缺乏有效的汇率风险管理方法和工具,在应用VaR等较为先进的风险计量工具时存在诸多问题。继而对国外常见的几种汇率风险管理的金融衍生工具进行了介绍,并预见性的提出在我国汇率形成机制以市场供求为基础,有管理的浮动汇率的情况下,在我国应用汇率衍生产品进行汇率风险管理具有其必要性也具有着极其重要的意义。在上述四个部分分析的基础上,本文作者在第五部分给出了我国商业银行汇率风险管理的几点建议。指出我国商业银行应当完善风险管理体系,建立严谨而全面的风险管理体系；加强对汇率风险的测量；积极运用各种外汇衍生品规避和对冲汇率风险；加强对外汇衍生品的风险管理。发达国家的银行业在长期浮动汇率的环境中,积累了一套成熟而完善的防范汇率风险的理论与经验。我国商业银行可以在探索汇率风险管理过程中适当借鉴发达国家的汇率风险管理经验。我国商业银行可以适当借鉴国际上主流的风险度量工具VaR模型,并以建立在VaR基础上的汇率风险度量体系,实现对人民币汇率风险的有效,实时的监控和管理,是面对这种不断增大的汇率风险所必须采取的措施。以适应汇率体制改革渐进的步伐及逐渐发育,逐步完善的外汇市场,这样在将来面对越来越强的汇率波动性及越来越大的外汇波动幅度之时,我国商业银行才能够有效管理汇率风险,为之积累宝贵经验,做好准备。
People's Bank of China issued a notice on the exchange rate reform, which declared that China began to implement floating exchange rate system under the management based on a market-based supply and demand with reference to a basket of currencies. The rate of RMB is no longer pegged to single U.S. dollar, and to format more flexible exchange rate mechanism. This makes RMB exchange rate fluctuations increase. The exchange rate of RMB on July 21,2006 had been raised of about 2.88% to July 21,2005. The central parity of RMB exchange rate against the U.S. dollar was 8.0380:1. It could be founded that there were about 40 billion U.S. dollar in listed banks from annual report of these banks. This forms an exposure which could bring more than 20 billion Yuan. The Annual report showed that Industrial and Commercial Bank of China alone in 2007 had more than 137.688 billion, equivalent to 18.849 billion U.S. dollars. Till 12,2007, the summary of the loss has reached 6.881 billion Yuan. During the subsequent years, the RMB exchange rate's fluctuating makes China's commercial banks raise awareness to exchange rate risk. For commercial banks, risk management is an eternal subject. The conversion of exchange rate system brings the changes to the capital adequacy ratio of commercial banks, foreign currency assets and liabilities and the products reference to foreign exchange rate and many other impacts, how to carry out the exchange rate risk management to enhance the stability of the financial environment and improve the economic efficiency of enterprises, this problem is getting more attention for the study of exchange risk management. The study on this question has a very real sense. Before the conversion of exchange rate China's commercial banks is almost not bear exchange rate risk, therefore out country's financial institutions are lack of awareness on the exchange rate risk and is also very lack of experience of exchange rate risk management. The data of foreign exchange rate after the conversation shows two characteristics:the amplitude increases and fluctuations increasing frequently. As a key player in the foreign exchange market of commercial banks face huge exchange rate risk exposure, which gives out country the lack of exchange rate risk management techniques and experience in the foreign exchange risk management of commercial banks has brought about tremendous challenges.
This paper is divided into five parts. The first part is an overview of exchange rate risk. In this part, the writer analyzes the theoretical exchange rate risks faced by commercial banks, the concept, characteristics, types and causes of the analysis, and exchange rate risk management theory, and overview of an effort to exchange rate risks faced by commercial banks and foreign exchange risk management a comprehensive introduction. Foreign exchange risk management has five steps:strategic objectives, risk identification, risk measurement, risk management, risk monitoring. Strategic goals through the formulation of commercial banks will be able to achieve clear objectives, is able to withstand the risk range. In the second part, the writer reviews the course of China's foreign exchange system conversion. Based on the reviewing, the writer studies the five impacts which are capital adequacy ratio for commercial banks, the impact of business assets and liabilities to commercial banks, the impact of foreign exchange financing products to commercial banks, the impact of foreign exchange financing products to commercial banks the impact of credit risk increasing, the impact of liquidity risk increasing, the impact of transaction risk increasing. After the analysis, the writer point out that the conversion of foreign exchange rate brought commercial banks both challenges and opportunities. The exchange rate reform is a gradual process; it should be step by step. after several years of development has been achieved fruitful results, but at the present stage of China's foreign exchange market, there are still many problems related to the RMB exchange rate reform in supporting the work of the remaining defects, inadequate foreign exchange market, the RMB inadequate regulatory mechanisms, the availability of the exchange rate risk aversion tool for species not abundant, extreme lack of financial derivatives, cross-border capital flows on China's huge impact on effective supervision is not enough. The conduct of the exchange rate of China's gradual reform, so that the pressure of RMB appreciation realized to achieve the RMB exchange rate fluctuations within a certain range, but because of our lack of an effective foreign exchange market, foreign developed capitalist countries have adopted market-maker system, the vast foreign exchange market Most of the above are dispersed and invisible in our country are concentrated, very little foreign exchange forward transactions, almost all spot transactions, almost all of China's foreign exchange transactions are conducted between financial institutions, other institutions and individuals involved relatively small, China's foreign exchange market, this situation led to the exchange rate system reform to certain effects. Cross-border capital flows are increasingly convenient, but China's financial supervision capacity is relatively weak, cross-border capital flows can cause enormous impact on China. There are also many problems about Exchange rate risk management of commercial banks. China's commercial banking industry has formed an initial exchange rate risk management concept, but the risk management tool which could be used is rather scarce on the derivative financial products, China's commercial banks are currently using Forward foreign exchange contracts. The main reason is China's development does not sound foreign exchange market, without an efficient, improve the foreign exchange market, foreign exchange can not provide a platform for derivatives trading, even if there is a wealth of foreign exchange derivative products, its active nature is also being questioned, nor means that China's foreign exchange market, foreign exchange derivative products do not have the active conditions. The third part is measured on the exchange rate risk. The accuracy of measurement of the exchange rate risk is a commercial bank a prerequisite for effective risk management and protection. In this section the authors of several risk exposure and VaR risk measurement models are introduced, the writer gives a measure of an example. Through the use of variance-covariance method were measured 1%,5% and 10% of these three different confidence levels of VaR, and to compare the results of its measurement. In the fourth part of China's commercial banks exchange rate risk management research, analysis at this stage of China's commercial banks to exchange rate risk management, and China's commercial banks have to face exchange rate risk management problem:the lack of effective exchange rate risk management methods and tools for in the application of VaR and other more advanced risk measurement tools, problems abound. Then several common foreign exchange rate risk management, financial derivatives were introduced, and the predictability of the proposed China's exchange rate formation mechanism based on market supply and demand, managed floating exchange rate case, in our application of the exchange rate derivative products exchange rate risk management has its necessity also has an extremely important meaning. In the above-mentioned four parts based on the analysis, this author is given in the fifth part of the Commercial Bank of China's exchange rate risk management proposals. China's commercial banks in the foreign exchange risk management process to explore appropriate exchange-rate risk management in developed countries learn from the experience. China's commercial banks can draw on an appropriate risk-measurement tool for the mainstream VaR model and to build on VaR based on the exchange rate risk measurement system, the RMB exchange rate risk to achieve an effective, real-time monitoring and management is the face of this ever increasing a large exchange-rate risk that must be taken. To adapt to the pace of exchange rate reform a gradual and progressive development, and gradually improve the foreign exchange market, so that the face of growing stronger and stronger in the future exchange rate volatility and the increasing volatility of foreign exchange, the China's commercial banks will be able to effectively manage exchange rate risks, whom gained valuable experience to prepare.
本文分为五个部分,第一部分是汇率风险概述,从理论上对商业银行面临的汇率风险的概念、特征、种类及成因进行分析,并对汇率风险管理进行理论概述,力求对商业银行面临的汇率风险及汇率风险管理进行全面的介绍。商业银行外汇风险管理的步骤有：战略目标制定、风险识别、风险计量、风险管理、风险监测。通过战略目标的制定,商业银行能够明确要达到的目标,能够承受的风险的范围。在文章的第二部分,对我国外汇体制改革的历程进行了回顾,由外汇体制改革出发,研究了汇率体制改革给我国商业银行带来的五个方面的影响。这五个方面的影响包括：给商业银行资本充足率带来的影响、给商业银行资产负债业务带来的影响、对商业银行外汇理财产品带来的影响、人民币升值带来商业银行面临的信用风险的加大、人民币升值给商业银行所面临的流动性风险的增大、人民币汇率制度改革使商业银行面临更大的交易风险。指出汇率体制改革给我国商业银行既带来了挑战也带来了机遇。汇率体制改革是一个渐进的过程,应当逐步推进和完善,我国外汇市场也处于逐步完善的进程之中,我国外汇体制改革以本国经济、金融发展和稳定为出发点,经过数年的发展已经取得了丰硕的成果,但现阶段我国外汇市场仍存在诸多问题,人民币汇率体制改革的相关配套工作尚存在缺陷,外汇市场不够完善,人民币调控机制不够完善,可供使用的汇率风险规避工具种类不够丰富,金融衍生产品极度匮乏,跨境资本流动对我国存在巨大冲击,监管不够得力。存在由于人民币升值预期导致的套利资金流动问题。我国渐进的进行汇率体制改革,使人民币升值压力得以兑现,实现人民币汇率在一定范围内的波动,但同时因为我国缺乏有效的外汇市场,国外发达资本主义国家采用做市商制度的外汇市场绝大多数以上都是分散的和无形的而在我国则是集中的,外汇远期交易很少,几乎全部都是即期交易,几乎我国所有的外汇交易都是金融机构间进行的,其他机构和个人参与相当少,中国外汇市场的这种现状导致汇率制度改革受到一定影响。跨境资本流动越来越便捷,但我国金融监管能力相对薄弱,跨境资本流动对我国可能造成巨大冲击。商业银行进行汇率风险管理也存在诸多问题。随着汇率体制改革的逐步推进,我国商业银行业已初步形成了汇率风险管理理念,但是能够使用的进行风险管理的工具相当匮乏,就衍生金融产品来说,我国商业银行目前使用较为普遍的是只有远期外汇合约。究其原因主要是我国发育不健全的外汇市场,没有一个高效的,完善的外汇市场,不能为外汇衍生产品的交易提供场所,即使有丰富的外汇衍生产品,其活跃性也是受到质疑的,也就是说我国外汇市场不具备外汇衍生金融产品活跃的条件。第三部分是对汇率风险的计量。对汇率风险计量的准确性是商业银行进行有效风险管理的前提和保障。在本部分作者对风险敞口和VaR的几种风险计量方法进行介绍,在详细介绍了VaR模型的基础上,给出了一个计量VaR的一个例子。通过运用方差协方差法分别计量1%、5%及10%这三种不同置信水平下的VaR,并对其计量结果进行比较。指出商业银行如何选取合适的显著性水平,需要与商业银行的风险管理能力,其资本状况相匹配。商业银行应当在综合考虑自身经营水平,及风险管理能力的情况下选择合适的置信区间。数据选取2006年1月1日汇改后至2009年11月3日的人民币对美元的汇率中间价,样本容量为933个。在进行数据处理时首先将人民币汇率的价格序列转换成为收益率序列。在第四部分中对我国商业银行的汇率风险管理进行研究,分析现阶段我国商业银行的汇率风险管理,及我国商业银行要面对的汇率风险管理的问题：缺乏有效的汇率风险管理方法和工具,在应用VaR等较为先进的风险计量工具时存在诸多问题。继而对国外常见的几种汇率风险管理的金融衍生工具进行了介绍,并预见性的提出在我国汇率形成机制以市场供求为基础,有管理的浮动汇率的情况下,在我国应用汇率衍生产品进行汇率风险管理具有其必要性也具有着极其重要的意义。在上述四个部分分析的基础上,本文作者在第五部分给出了我国商业银行汇率风险管理的几点建议。指出我国商业银行应当完善风险管理体系,建立严谨而全面的风险管理体系；加强对汇率风险的测量；积极运用各种外汇衍生品规避和对冲汇率风险；加强对外汇衍生品的风险管理。发达国家的银行业在长期浮动汇率的环境中,积累了一套成熟而完善的防范汇率风险的理论与经验。我国商业银行可以在探索汇率风险管理过程中适当借鉴发达国家的汇率风险管理经验。我国商业银行可以适当借鉴国际上主流的风险度量工具VaR模型,并以建立在VaR基础上的汇率风险度量体系,实现对人民币汇率风险的有效,实时的监控和管理,是面对这种不断增大的汇率风险所必须采取的措施。以适应汇率体制改革渐进的步伐及逐渐发育,逐步完善的外汇市场,这样在将来面对越来越强的汇率波动性及越来越大的外汇波动幅度之时,我国商业银行才能够有效管理汇率风险,为之积累宝贵经验,做好准备。
People's Bank of China issued a notice on the exchange rate reform, which declared that China began to implement floating exchange rate system under the management based on a market-based supply and demand with reference to a basket of currencies. The rate of RMB is no longer pegged to single U.S. dollar, and to format more flexible exchange rate mechanism. This makes RMB exchange rate fluctuations increase. The exchange rate of RMB on July 21,2006 had been raised of about 2.88% to July 21,2005. The central parity of RMB exchange rate against the U.S. dollar was 8.0380:1. It could be founded that there were about 40 billion U.S. dollar in listed banks from annual report of these banks. This forms an exposure which could bring more than 20 billion Yuan. The Annual report showed that Industrial and Commercial Bank of China alone in 2007 had more than 137.688 billion, equivalent to 18.849 billion U.S. dollars. Till 12,2007, the summary of the loss has reached 6.881 billion Yuan. During the subsequent years, the RMB exchange rate's fluctuating makes China's commercial banks raise awareness to exchange rate risk. For commercial banks, risk management is an eternal subject. The conversion of exchange rate system brings the changes to the capital adequacy ratio of commercial banks, foreign currency assets and liabilities and the products reference to foreign exchange rate and many other impacts, how to carry out the exchange rate risk management to enhance the stability of the financial environment and improve the economic efficiency of enterprises, this problem is getting more attention for the study of exchange risk management. The study on this question has a very real sense. Before the conversion of exchange rate China's commercial banks is almost not bear exchange rate risk, therefore out country's financial institutions are lack of awareness on the exchange rate risk and is also very lack of experience of exchange rate risk management. The data of foreign exchange rate after the conversation shows two characteristics:the amplitude increases and fluctuations increasing frequently. As a key player in the foreign exchange market of commercial banks face huge exchange rate risk exposure, which gives out country the lack of exchange rate risk management techniques and experience in the foreign exchange risk management of commercial banks has brought about tremendous challenges.
This paper is divided into five parts. The first part is an overview of exchange rate risk. In this part, the writer analyzes the theoretical exchange rate risks faced by commercial banks, the concept, characteristics, types and causes of the analysis, and exchange rate risk management theory, and overview of an effort to exchange rate risks faced by commercial banks and foreign exchange risk management a comprehensive introduction. Foreign exchange risk management has five steps:strategic objectives, risk identification, risk measurement, risk management, risk monitoring. Strategic goals through the formulation of commercial banks will be able to achieve clear objectives, is able to withstand the risk range. In the second part, the writer reviews the course of China's foreign exchange system conversion. Based on the reviewing, the writer studies the five impacts which are capital adequacy ratio for commercial banks, the impact of business assets and liabilities to commercial banks, the impact of foreign exchange financing products to commercial banks, the impact of foreign exchange financing products to commercial banks the impact of credit risk increasing, the impact of liquidity risk increasing, the impact of transaction risk increasing. After the analysis, the writer point out that the conversion of foreign exchange rate brought commercial banks both challenges and opportunities. The exchange rate reform is a gradual process; it should be step by step. after several years of development has been achieved fruitful results, but at the present stage of China's foreign exchange market, there are still many problems related to the RMB exchange rate reform in supporting the work of the remaining defects, inadequate foreign exchange market, the RMB inadequate regulatory mechanisms, the availability of the exchange rate risk aversion tool for species not abundant, extreme lack of financial derivatives, cross-border capital flows on China's huge impact on effective supervision is not enough. The conduct of the exchange rate of China's gradual reform, so that the pressure of RMB appreciation realized to achieve the RMB exchange rate fluctuations within a certain range, but because of our lack of an effective foreign exchange market, foreign developed capitalist countries have adopted market-maker system, the vast foreign exchange market Most of the above are dispersed and invisible in our country are concentrated, very little foreign exchange forward transactions, almost all spot transactions, almost all of China's foreign exchange transactions are conducted between financial institutions, other institutions and individuals involved relatively small, China's foreign exchange market, this situation led to the exchange rate system reform to certain effects. Cross-border capital flows are increasingly convenient, but China's financial supervision capacity is relatively weak, cross-border capital flows can cause enormous impact on China. There are also many problems about Exchange rate risk management of commercial banks. China's commercial banking industry has formed an initial exchange rate risk management concept, but the risk management tool which could be used is rather scarce on the derivative financial products, China's commercial banks are currently using Forward foreign exchange contracts. The main reason is China's development does not sound foreign exchange market, without an efficient, improve the foreign exchange market, foreign exchange can not provide a platform for derivatives trading, even if there is a wealth of foreign exchange derivative products, its active nature is also being questioned, nor means that China's foreign exchange market, foreign exchange derivative products do not have the active conditions. The third part is measured on the exchange rate risk. The accuracy of measurement of the exchange rate risk is a commercial bank a prerequisite for effective risk management and protection. In this section the authors of several risk exposure and VaR risk measurement models are introduced, the writer gives a measure of an example. Through the use of variance-covariance method were measured 1%,5% and 10% of these three different confidence levels of VaR, and to compare the results of its measurement. In the fourth part of China's commercial banks exchange rate risk management research, analysis at this stage of China's commercial banks to exchange rate risk management, and China's commercial banks have to face exchange rate risk management problem:the lack of effective exchange rate risk management methods and tools for in the application of VaR and other more advanced risk measurement tools, problems abound. Then several common foreign exchange rate risk management, financial derivatives were introduced, and the predictability of the proposed China's exchange rate formation mechanism based on market supply and demand, managed floating exchange rate case, in our application of the exchange rate derivative products exchange rate risk management has its necessity also has an extremely important meaning. In the above-mentioned four parts based on the analysis, this author is given in the fifth part of the Commercial Bank of China's exchange rate risk management proposals. China's commercial banks in the foreign exchange risk management process to explore appropriate exchange-rate risk management in developed countries learn from the experience. China's commercial banks can draw on an appropriate risk-measurement tool for the mainstream VaR model and to build on VaR based on the exchange rate risk measurement system, the RMB exchange rate risk to achieve an effective, real-time monitoring and management is the face of this ever increasing a large exchange-rate risk that must be taken. To adapt to the pace of exchange rate reform a gradual and progressive development, and gradually improve the foreign exchange market, so that the face of growing stronger and stronger in the future exchange rate volatility and the increasing volatility of foreign exchange, the China's commercial banks will be able to effectively manage exchange rate risks, whom gained valuable experience to prepare.
引文
1 Allayannis and Ofek(2001), Bank foreign exchange and interest rate risk management:simultaneous versus separate hedging strategies. Journal of Financial intermediation,2003,12(3)
2 Carter and Sinkey 2000, Evidence on the financial characteristics, of banks, the quarterly review of economics and finance,2000,40(4)
3 Mark Allen (2002),A Balance Sheet Approach to Financial Crisis, International Monetary Fund,2002(12)
4 王桂芝,王峰(2005),VaR在我国商业银行市场风险管理中的应用研究,中国流通经济,2005,19(1)
5 费翔、李金林(2006),VaR方法：对商业银行市场风险的有效衡量及价值创造效应评价,经济社会体制比较,2005年第06期
7 资料来源中国银行,中国工商银行,中国农业银行,中国建设银行网站
8 陈敏,VaR模型在我国人民币汇率风险度量中的实证研究,青岛大学硕士论文,2007
9 数据来源于中国人民银行网站：www.pbc.gov.cn
[1]胡奕明,《外汇风险管理》,东北财经大学出版社,1998年版
[2]唐.M.钱斯,衍生金融工具与风险管理,中信出版社,2004年版
[3]陈四清,《商业银行风险管理通论》,中国金融出版社,2006年版
[4]朱晓黄,《商业银行风险管理》,中国金融出版社,1995年版
[5]陈湛匀,马照富,《金融风险管理》,立信会计出版社,1994年版
[6]李志刚,《金融风险：宏观与微观透视》,中国金融出版社,2006年版
[7]周爱民,周乃岳,《金融风险的实时监测：汇率偏差估计与风险价值量测算》,经济管理出版社,2000年版
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[9]孙兆康,《我国汇制改革和外汇风险管理》,西北工业大学出版社,1995年版
[10]菲利普,乔瑞,《VAR：风险价值-金融风险管理新标准》,中信出版社,2000年版
[11]姜波克,《国际金融新编》,复旦大学出版社,2001年版
[12]涂永红,《外汇风险管理》,中国人民大学出版社,2004年版
[13]哈卡拉,威斯图普,《外汇风险：模型、工具和管理策略》,南开大学出版社,2004年版
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[17]张晓朴,2005：人民币汇率新机制对我国商业银行风险管理的挑战,国际 金融研究,2005,(12)
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[22]王桂芝,王峰(2005),VaR在我国商业银行市场风险管理中的应用研究,中国流通经济,2005年第19卷第01期
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[30]何飞平(2006),新汇率制度下的商业银行外汇风险管理,商业时代.学术评论,2006年第20期
[31]林舒(2007),VaR风险模型在金融市场风险管理中的应用研究,厦门大学硕士论文,2007
[32]李妍(2009),VaR模型计算人民币汇率风险的实证研究,《商业经济》,2009年第8期
[33]Mark Allen (2002),A Balance Sheet Approach to Financial Crisis, International Monetary Fund,2002(12)
[34]Carter and Sinkey 2000, Evidence on the financial characteristics, of banks, the quarterly review of economics and finance,2000,40(4)
[35]Allayannis and Ofek(2001), Bank foreign exchange and interest rate risk management:simultaneous versus separate hedging strategies. Journal of Financial intermediation,2003,12(3)
2 Carter and Sinkey 2000, Evidence on the financial characteristics, of banks, the quarterly review of economics and finance,2000,40(4)
3 Mark Allen (2002),A Balance Sheet Approach to Financial Crisis, International Monetary Fund,2002(12)
4 王桂芝,王峰(2005),VaR在我国商业银行市场风险管理中的应用研究,中国流通经济,2005,19(1)
5 费翔、李金林(2006),VaR方法：对商业银行市场风险的有效衡量及价值创造效应评价,经济社会体制比较,2005年第06期
7 资料来源中国银行,中国工商银行,中国农业银行,中国建设银行网站
8 陈敏,VaR模型在我国人民币汇率风险度量中的实证研究,青岛大学硕士论文,2007
9 数据来源于中国人民银行网站：www.pbc.gov.cn
[1]胡奕明,《外汇风险管理》,东北财经大学出版社,1998年版
[2]唐.M.钱斯,衍生金融工具与风险管理,中信出版社,2004年版
[3]陈四清,《商业银行风险管理通论》,中国金融出版社,2006年版
[4]朱晓黄,《商业银行风险管理》,中国金融出版社,1995年版
[5]陈湛匀,马照富,《金融风险管理》,立信会计出版社,1994年版
[6]李志刚,《金融风险：宏观与微观透视》,中国金融出版社,2006年版
[7]周爱民,周乃岳,《金融风险的实时监测：汇率偏差估计与风险价值量测算》,经济管理出版社,2000年版
[8]宜家骥,谢赤等,《外汇风险管理》,湖南科学技术出版社,1991年版
[9]孙兆康,《我国汇制改革和外汇风险管理》,西北工业大学出版社,1995年版
[10]菲利普,乔瑞,《VAR：风险价值-金融风险管理新标准》,中信出版社,2000年版
[11]姜波克,《国际金融新编》,复旦大学出版社,2001年版
[12]涂永红,《外汇风险管理》,中国人民大学出版社,2004年版
[13]哈卡拉,威斯图普,《外汇风险：模型、工具和管理策略》,南开大学出版社,2004年版
[14]米歇尔.科罗赫,丹.加莱,《风险管理》,中国财政经济出版社,2005年版
[15]黄磊,人民币汇率市场化改革渐行渐远,商业银行翘盼外汇衍生新品,《证券时报》,2005-5-31
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