浮动汇率制下的企业外汇风险度量及控制

Measuring and Controlling Foreign Exchange Risks of Enterprises under Floating Exchange Rate

中国实行浮动汇率制后,企业面临着对外汇风险的度量和控制。文章采用风险管理研究中的一致性风险度量方法,引入条件风险价值理论(CVaR)对中国企业在浮动汇率制下的外汇风险进行度量和控制研究;从而建立了多币种外汇风险度量和控制模型,并用6种外汇的历史数据进行了实证分析。同时,结合所得到的研究结果,给出了控制外汇风险的相关策略。

Under floating exchange rate, Chinese enterprises are in an urgent need to measure and control foreign exchange risks. This paper adopts the coherent risk measures of the risk management research, introduces CVaR to measure and control the foreign exchange risks of Chinese enterprises under floating exchange rate, sets up the mold of measuring and controlling foreign exchange risks of several foreign currencies and makes an empirical analysis of the historic data of the six foreign currencies. At the same time, based on the research result, related strategies are put forward to control foreign exchange risks.