基于CvaR模型的我国外汇储备汇率风险研究-西方经济学专业论文.docxVIP

华中科技大学硕士学位论文 华 中 科 技 大 学 硕 士 学 位 论 文 II II Abstract By the end of March of 2011, Chinese foreign exchange reserves had reached 3044.674 billion dollars.According to growth of Chinese foreign exchange reserves, Chinese foreign exchange reserves are still growing. As dollar has higher proportion of the assets of Chinese current foreign reserve, according to the current international situation and with the trend of Dollar and RMB exchange rate, the dollar exists the possibility of depreciate. It is a serious challenge for China government which has a huge amount of dollar assets. In order to make effective management of Chinese foreign exchange reserves, we must have a clear direction and goals, propose some effective preventive measures, to minimize the risk of foreign exchange reserves under the challenge of holding huge assets of foreign exchange reserves . The article first reviews the development process of the increased of our countrys foreign exchange reserves, which from 19.44 billion dollars in late of 1992, rose to 3044.674 billion dollars by the end of March 2011. And then through international experience standards to determine the adequacy of Chinese foreign exchange reserves, the results show that: Chinese foreign exchange reserves are in excessive state. Though holding sufficient reserves has obvious advantages in preventing financial risks and promoting economic development, holding excess reserves should pay a big price. Then, this article describes the main risks of Chinese foreign exchange reserves ,such as interest rate risk, exchange rate risk, liquidity risk and opportunity risks. In the third part of this article,it introduces the concepts and methods of VaR calculation methods. Although VaR is very popular in the field of risk measurement, it also has some bad properties, such as: lack of time convexity and sub-additive. Based on it, this paper proposed CvaR model to study the exchange of rate risk by empirical study, which is based on the model