青岛地区商业银行汇率风险管理研究

【作者】 张健；

【导师】 刘喜华；

【作者基本信息】 青岛大学 ， 金融学， 2015， 硕士

【摘要】 随着我国对外开放水平的不断提高以及人民币国际化进程的加快,我国与其他国家在外汇交流方面不断深入,我国商业银行的外汇业务量也在不断增加。与此同时,我国在2010年启动了人民币汇率机制改革,采取了盯住一篮子主要货币的浮动汇率管理机制,人民币对以美元为主的主要货币的汇率波动幅度也越来越大。青岛作为我国东部重要的沿海开放城市和对外开放窗口,与日韩两国在经济往来上也有着密切的联系,也是我国与日韩经济交流的主要窗口,因此,青岛地区的商业银行也将会开展更多涉及到与日韩两国经济往来的相关外汇业务。我国商业银行对于汇率风险的研究与管理较西方发达国家还有很大差距,特别是对于汇率风险的度量方面,尚需进行进一步的深入研究。商业银行汇率风险管理的核心就是风险度量,一般情况下,金融资产收益分布会呈现“尖峰厚尾”特征,传统的多元正态分布及线性相关假设都可能会对实证分析的结果产生偏差,而copula函数不限制边缘分布的选择,这一优势不仅可以简化建模问题,同时还有效的弥补了传统多元统计与相关性假设的不足。本文首先对汇率风险的基本理论进行了阐述,包括汇率风险的成因、种类以及我国商业银行对于汇率风险的管理现状等等,进而详细介绍了copula理论与在险价值VaR,通过将copula理论与VaR相结合的方法,更加准确的测算了商业银行外汇资产的在险价值。在实证部分,本文选取了美元和日元两种外汇汇率的历史数据,在引入copula函数的基础上,对商业银行持有的外汇金融资产组合进行了VaR度量,认为美元在资产组合中的比例越高则整个资产组合的抗风险能力越强,最后,基于理论分析与实证研究结论,为青岛地区的商业银行更好的规避汇率风险提出了相应的对策建议。更多还原

【Abstract】 With the raising of our opening level and the internationalization of RMB, more and more foreign currency exchange business happens between China and other countries. As a result, commercial banks in China have more business which is related to foreign currency.At the same time, China began to start a new exchange rate system since 2010, and the floating exchange rate become more and more unpredictable. This may create exchange rate risk to commercial banks. Qingdao, an important coastal port city in China which is next to Korea and Japan, there are many economic communications between Qingdao and these foreign countries. By that time, the exchange rate risks may be encountered in commercial banks in Qingdao.The core part of exchange rate risk management of commercial banks is the risk measure, in general, the distribution of financial assets has emerged as “high peak and fat tail” characteristics, and the traditional multiVaRiate normal distribution and linear correlation assumptions may make bias. As we know, the copula function does not limit the choice of the distributions. While using copula theory to construct models, the marginal distribution and correlation structures among random VaRiables can be studied separately, in which their correlation structure can be described by a copula function, which not only simplifies the modeling problem, but also make up the lack of the assumptions of traditional multiVaRiate statistical and correlation effectively, and can better measure the portfolio VaR.In this paper, we studied the exchange rate risks theory at first, including the reason and different of exchange rate risks. Then in the fourth part, we find the historical US and Japanese yen exchange rate and use the VaR and copula method to measure the risks of a financial assert. At the end of this paper, we give some recommendations which may help commercial banks to lower the exchange rate risks.更多还原