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The Research on the Commercial Banks’ Foreign Exchange Rate Risk Management in China

Author: QianHuiJu
Tutor: JiangMingKang; YuFan
School: Shanghai Jiaotong University
Course: Business Administration
Keywords: commercial banks exchange rate risk foreignexchange exposure VaR
CLC: F832.33
Type: Master's thesis
Year: 2013
Downloads: 147
Quote: 0
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Abstract


Since the China’s exchange rate reform in2003, China’s foreignexchange market has developed rapidly. The foreign exchange tradingvolume and transaction frequency of the commercial banks haveincreased significantly. The trading range is also expanding. In April2012,the central bank decided that the volatility of RMB exchange rateexpanded from0.5%to1%. This shows that the volatility of China’sforeign exchange market in the future will further increase, which has putforward higher requirements for commercial banks in China in the termsof foreign exchange risk management.This paper studies the exchange rate risk that China’scommercialbanks face in the new situation. This paper is divided into sixparts.The first part introduces the research background and significance.And we summarize the studies of domestic and foreign scholars, and givethe research methods and innovations. In the second part, we make anoverview of the contentand type of market risk, and study the cause ofinterest rate risk and foreign exchange risk. In the third part,wesummarizethe measurement methods of theexchange rate risk, includingexposure to exchange rate risk management method and value-at-riskVaR. In the fourth section, we make an empirical analysis of China’scommercial banks exchange rate risk management. In the exposure toexchange rate risk management methods, we take advantage the information of China’s seven major listed companies from2006to2012.In the VAR model,the data of the middle exchange rate of RMB againstthe U.S. dollar from July21,2005to March15,2013, is used to analyzethe VaR of China’s commercial banks. In the fifth part, we analyze theprocess and principles of the exchange rate risk management in China’scommercial banks. Exchange rate risk management of commercial banksin China is surveyed in detail. In part VI, we compared the differencesbetweenthe commercial banks in China and international commercialbanks. Finally, thesolutions to the problems are given.By studying the exchange rate risk management of commercialbanks in China, the paper argues that, in the context of the RMBexchange rate flexibility being growing,it is very necessary forcommercial banks to further strengthen the management of exchange raterisk through modern tools and methods of quantitative analysis. Thus wecan establishforeign exchange risk management system that is in line withChina’s national conditions and the commercial banks, to ensure thatChina’s banking industry will develop healthily, stable and sustainably.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial organizations, banks > Commercial banks ( specialized banks )
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