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Since the exchange rate reform, commercial banks began to implement a market-based, with reference to a basket of currencies, a managed floating exchange rate system. This policy enables the business of commercial banks gradually towards internationalization, in a profit at the same time, will face a huge exchange rate risk. With the substantial progress of China's exchange rate market, the exchange rate showed a greater variability and uncertainty. How to effectively strengthen the exchange rate risk management has become a great challenge of China's commercial banks in order to ensure a robust commercial banks, health operators. Thus, the operation and management of the exchange rate risk of commercial banks increasingly important influence. International pandemic risk measurement tool is measured in terms of VaR (Value at Risk) model, the model has developed into banks, non-bank financial institutions and other types of organizations risk measurement standard method, and is widely used in commercial bank management. This paper first introduces the theory of exchange rate risk management, and lists some of the ways of the exchange rate risk management, and a brief comparison, and then focuses on the application of VaR model in the exchange rate risk measurement. January 5, 2009 to 2010, and June 30, a total of 363 trading days, dollar, euro and pound against the RMB exchange rate as the sample data, the value of China's commercial banks exchange rate risk of the empirical research. The paper is divided into six parts: The first part introduces the research background of China's commercial banks exchange rate risk management, status, and a brief thesis; outlined in the second part of the exchange rate risk of commercial banks, mainly from the exchange rate risk definition, classification and management methods were introduced; The third part discusses the application of VaR models in China's commercial banks exchange rate risk measurement, from an overview of the VaR model, the VaR model calculation principle VaR model commonly used the three methods, and the three calculation methods to do a brief exposition of the conclusion that VaR model is feasible to exchange rate risk management in commercial banks; fourth part of a U.S. dollar, euro and sterling exchange rate of RMB as the sample data and empirical analysis using the VAR model; fifth on the basis of the full text of the study, combined with the actual situation of China's commercial banks, put forward feasible suggestions for the management of the exchange rate risk of commercial banks; sixth part, the full text summarized and need to be further improved.
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