我国商业银行外汇风险的控制与监管.pdfVIP

要 2005 年以来，外汇交易市场的持续改革给商业银行风险管理引入了新的不确 定因素。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 制度。人民币汇率形成新机制意味着汇 的频繁波 动将是包括商业银行在内的金融市场参与者每天所要面临的现实，原来集中由国 家承担的汇 风险一下子分散到外汇持有者手里，外汇风险管理成为商业银行不 得不面对的一个话 。人民币汇率形成机制改革和外汇市场发展对银行机构的经 营和风险管理提出了新要求。目前，我国商业银行外汇风险意识比较薄弱，有效 的风险管理和控制体系尚有待建立。因此，需要通过对商业银行外汇风险的研究 找到防范我国商业银行外汇风险的对策。 本文共分为四大部分，通过分析商业银行外汇风险的基本理论、我国商业银 行外汇风险管理现状及存在的问题，着重于我国外汇体制改革对我国商业银行带 来的机遇和挑战，同时借 国外银行外汇风险防范的经验，提出了诸如增强外汇 风险管理意识、完善外汇风险管理政策和程序、加快发展外汇市场和各种外汇衍 生产品等进一步加强我国商业银行外汇风险管理的措施。文中还分析了赫斯塔特 银行远期交易失败的案例及澳大利亚国民银行外汇期权交易失误的案例，指出商 业银行的外汇交易必须建立在对外汇市场行情的正确估计上，否则银行将面临巨 大的风险，而由此产生的风险将对全球经济产生强烈的冲击。 关键词：商业银行 外汇风险 控制 监管 1 Abstract Since 2005, continual reforms of foreign exchange transactions in the market drew some new uncertain factors into commercial banks risk management. On July 21, 2005, China began to carry out an administrant floating rate system basing on a supplying and demanding market by referencing a basket-currency policy. RMB exchange rate regime predicates that a frequent exchange rate fluctuation will become the fact that the money market actors including commercial banks must face everyday. The exchange rate risk that is formerly centralized by country detracts foreign exchange holders. Foreign exchange risk management become one of themes that commercial bank have to be up against. RMB exchange rate regime reform and foreign exchange market development have raised new requirements for banks operations and risk management. To date, commercial banks in China have yet to attach adequate significance to foreign exchange risk management. In addition, an effective risk management and control system is yet to be set up. Therefore, it is very essential for us to find out some effective countermeasures to keep our commercial banks forei