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The Research on the Application of the VaR Model in the Commercial Bank Exchange Rate Risk Management

Author: WangBo
Tutor: GuanShanYan
School: Dongbei University of Finance
Course: Finance
Keywords: Commercial bank Exchange rate risk Exchange rate risk management VaR
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 139
Quote: 0
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Abstract


Both in theory and practice, commercial bank’s risk management has always been a very important object of study, especially after the Bretton Woods System’s collapse, as well as several serious outbreak of the financial crisis affecting the banking industry severely. July 21,2005, China began to implement a managed floating exchange rate system. This system is not only market-based, but also with reference to a basket of currencies. With China’s exchange rate system being more and more marketed, on one hand it gives more opportunities for the China’s banking industry, on the other hand severe fluctuated exchange rate also brings challenges to the commercial bank in the management respect which grows up in the fixed exchange rate system. Exchange rate risk management has become a very important part of the commercial bank’s risk management. Therefore, it has important theoretical and practical significance to study the exchange rate risk of China’s commercial banks.This paper is divided into a total of six parts:the first part describes the background and the significance of the paper. And then it introduces some international research literature. At last, it briefly describes the purpose and framework of the research; the second part describes the calculating principle and method of VaR model; the third part describes the commercial bank’s exchange rate risk, and analyses the necessity and feasibility of using VaR approach to manage exchange rate risk; the fourth part empirically studies a foreign asset position’s exchange rate risk by using Delta-normal method, on the base of a total of 601 trading days of the dollar and the euro against the RMB exchange rate as the sample data from 2008 to 2010;the fifth part analyses the application value and the limitations of the VaR model when it uses in China’s commercial banks’risk management; the sixth part summarizes the whole article and suggest some problems which needs further research.

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