我国商业银行汇率风险计量方法及其应对措施——基于VaR的分析

分类号：XXX.X U D C：D10621-XXX-(2015)XXXX-0 密 级：公 开 编 号：2011242036

成都信息工程大学

学位论文

我国商业银行汇率风险计量方法及其应对措施——基于VaR的分析

论文作者姓名： 张申请学位专业： 金申请学位类别： 经

融济

学工学

勇 程 士

指导教师姓名（职称）： 杨宏斌（副教授） 论文提交日期：

年 月 日

我国商业银行汇率风险计量方法及其应对措施——基于VaR的分析

摘 要

自从汇率改革后，商业银行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。此政策使得商业银行的业务逐渐走向国际化，在获得利润的同时，也会面临着巨大的汇率风险。随着我国汇率市场化的实质性进展，汇率表现出较大的多变性和不确定性。如何有效地加强汇率风险管理以保证商业银行稳健、健康的运营已成为我国商业银行面临的巨大挑战。因而，汇率风险对商业银行的经营管理产生了越来越重要的影响。目前国际流行风险测量工具是VaR（Value at Risk）计量模型，该模型已发展成银行、非银行金融机构等各类组织进行风险度量的标准方法，并广泛应用于商业银行经营管理中。

关键词：商业银行 汇率风险 VaR 计量模型

Our country commercial bank exchange rate risk

measurement method and Its Countermeasures -- Based on

VaR analysis

Since the exchange rate reform, commercial banks began to implement based on market supply and demand with reference to a basket of currencies, a managed floating exchange rate system. This policy makes the business of commercial banks gradually move toward internationalization, in profit at the same time, will also face the enormous exchange rate risk. With the substantial progress of China marketization of exchange rate, exchange rate showed a greater variability and uncertainty. How to effectively strengthen the exchange rate risk management of commercial banks to ensure steady and healthy operation has become a huge challenge facing China's commercial banks. Therefore, the exchange rate risk has become more and more important in the management of commercial banks. At present, the international popular risk measure tool is VaR (Value at Risk) econometric model, this model has become a bank and nonbank financial institutions in risk measurement of the standard method, and is widely used in the management of commercial banks.

Key words: commercial bank Exchange-rate risk VaR Econometric model

目 录

论文总页数：XX页

1 引言 .................................................................................................................................................................... 5 1.1 课题背景 ......................................................................................................................................................... 5 1.2国内外研究现状 .............................................................................................................................................. 5

1.2.1 国外研究现状 ...................................................................................................................................... 5 1.2.2国内研究现状 ....................................................................................................................................... 6 1.3本课题的研究意义 ......................................................................................................................................... 7 1.4本课题的研究方法 .......................................................................................................................................... 8 2 汇率风险概述及计量方法 ................................................................................................................................ 8 2.1汇率风险及其成因 .......................................................................................................................................... 8 2.2 汇率风险的计量方法 ..................................................................................................................................... 8

2.2.1汇率风险敞口法 ................................................................................................................................... 9 2.2.2 VAR风险法 ......................................................................................................................................... 10 2.2.3 其他方法 .......................................................................................................................................... 10 3 我国商业银行面临的汇率风险-----基于VAR的分析 .................................................................................. 11 3.1 历史模拟法的计算和分析过程.................................................................................................................... 11

3.1.1 样本数据的选取 ................................................................................................................................ 11 3.1.2计算及分析过程 ................................................................................................................................. 11 3.2 德尔塔一正态法的计算和分析过程 ............................................................................................................ 15

3.2.1 样本数据的处理 ................................................................................................................................ 15 3.2.2 正态分布性检验 ................................................................................................................................ 15 3.2.3计算及分析过程 ................................................................................................................................. 19 3.3蒙特卡洛模拟法 ............................................................................................................................................ 19

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