cvar商业银行汇率风险评估中的应用分析.docxVIP

优秀毕业论文 精品参考文献资料 CVaR在商业银行汇率风险评估中的应用研究 摘 要 商业银行的风险管理一直是理论界与实业界的重要研究对象。伴随着我国政 府对汇率管理的逐步放松。我国商业银行所面临的汇率风险也日益凸现。在此背 景下，加强商业银行汇率风险管理己成为摆在各大经济主体面前的重大课题，而 其核心和前提是实现对汇率风险的有效度量。考虑到目前我国商业银行对汇率风 险的认识大多停留在定性分析上，本文认为有必要采取较为科学的定量方法一 CVAR法对目前的人民币汇率风险进行实证度量，以深化商业银行对汇率风险的 认识，从而便于更为有效的管理和控制汇率风险。 本文首先对汇率风险的界定和分类进行了详细的阐述，回顾了现有的集中衡 量汇率风险的方法。汇率风险被分成交易风险、折算风险和经济风险。现有的汇 率风险衡量方法主要包括灵敏度分析、波动性分析、VaR方法等，Vail．方法克服 了传统风险度量方法的缺点，逐渐成为一种主要的风险度量方法。 其次，在对VaR方法和CVaR方法进行比较的基础上，决定采用CVaR方法 对商业银行的汇率风险进行度量。利用2005年7月21到2008年2月29日的人 民币兑美元的汇率、人民币兑日元的汇率和人民币兑欧元的汇率作为研究样本， 基于GARCH模型计算某商业银行VaR值进而得到CVaR值。实证分析表明， 美元外汇资产的风险相对较高，但是该行持有大量的美元资产，致使其可能遭巨 额外汇损失。 关键词：汇率风险；风险价值； 条件风险价值  The Application Research of CVaR on Commercial B ank’S Exchange Rate Risk Evaluation Abstract The commercial banks’risk management has always been the important researching object of the theory and industry field．With the newly reform of RMB exchange rate forming mechanism on 21，July 2005 and a series of corresponding reform measures in the exchange market,RMB exchange rate is inclined to market-oriented and fluctuates more and more frequently．So，RMB exchange rate risk appears increasingly apparent，which a variety of economic bodies including trade and investment bodies involved in foreign affairs，commercial banks and central bank and 80 on are subject to．Under the background，how to strengthen the management of RMB exchange rate risk has being an important task that the economic bodies are faced with。while the core and premise of the task is to realize the effective measurement of RMB exchange ram risk．．The reformation of exchange rate system changes the costume of commercial banks，and they have become the undertaker of Renminbi exchange rate risk．Because of the notation of managing exchange lag，we write this article to improve the notation and manage efficiently exchange rate risk． This article is divided into three parts． First，we introduce the definition and the classification of exchange rate．The measurement of exchange rate risk includ