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Base on CVaR to Research the Foreign Exchange Risk Management of Chinese Enterprise

Author: DengXueFeng
Tutor: DaiZhiMin
School: Zhejiang University
Course: Project Management
Keywords: Risk management of foreign exchange risk measurement CVaR efficient frontier
CLC: F272.3
Type: Master's thesis
Year: 2013
Downloads: 2
Quote: 0
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Abstract


Since China’s exchange rate reform, the exchange rate volatility increases significantly, fluctuation frequency also accelerated, foreign exchange risk management problems of enterprise is more and more outstanding. In this paper, based on the related background knowledge of the foreign exchange risk faced by Chinese enterprises and its management situation etc. Firstly, it expounds the classification of exchange rate risk and its elements, and then analyzes the foreign exchange risk management system and its elements, constructing the system of foreign exchange risk management of enterprises.Then focus on the measurement of foreign exchange risk, using CVaR method as the measure of risk, foreign exchange risk enterprises are obtained by the analysis of examples, namely CVaR value.At the same time by minimizing the CVaR and application of modern portfolio theory, constructs the mean-CVaR foreign exchange portfolio optimization model, and combined with the historical data of China’s foreign exchange market, calculated the efficient frontier of portfolio of foreign exchange. Finally, analyze the strategy and tactics of enterprises to avoid foreign exchange risk, and combining with examples to obtain specific policy effect, put forward feasible suggestions on how to avoid foreign exchange risk.

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CLC: > Economic > Economic planning and management > Enterprise economy > Enterprise planning and management decision - making > Operating decisions
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