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The Exchange Rate Risk Measurement Study of China Listed Commercial Bank

Author: RenKeNan
Tutor: WangYingGui
School: Nanjing University of Finance and Economics
Course: Finance
Keywords: the listed commercial bank exchange rate risk VaR Monte Carlo sumilation
CLC: F832.6;F224
Type: Master's thesis
Year: 2010
Downloads: 213
Quote: 0
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Abstract


China listed commercial banks suffer more and more exchange rate risk after the reform of the mechanism of Renminbi(RMB ) exchange rate on july 21,2005. Up to 2008 year-ends, the middle price between USD and RMB is 1 dollar equals 6.8346 yuan, which implies that RMB has a appreciation to 21.10 per cent in total since the reform begins. This appreciation not only erodes commercial banks profit, but also affects their management ability of the exchange rate, which they are not familiar with originally. For the moment, most of the listed commercial banks in China, still adopt outdated analysis of foreign exchange exposure which can not measure the true risk, to measure the exchange rate risk which they are facing. Thus, to find the effective method to measure the exchange rate risk accurately, should become our commercial banks’concerned problem at present.On the basis of this, this paper runs back over and summarizes interrelated foreign theory and models firstly. Then it analyses the exchange rate risk which comes from both foreign exchange capital stock and their international businesses that our commercial banks are facing. After summarizing what they are using to deal with the risk, the paper points out that the banks’backward tools and instruments of the risk measurement is the crucial matter. Because of using value at risk (VaR) method to measure the risk has become prevalent in developed countries, the paper specifies the VaR in section 3. After that, this paper originally makes use of the cash flow affected by exchange rate as the dependent variable, use of the three-currency as the independent variables to make the regression, and use of Monte Carlo simulation to calculate the 2009 Q3’s VaR of China listed commercial banks including the Industrial and Commercial Bank of China (ICBC). Lastly, this paper summarizes the conclusion, points out the limitation, and carries on an outlook about the further study.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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