外贸企业基于VaR模型的汇率风险评估

Evaluation for Exchange-rate Risk based on VaR Model in Foreign Trade Enterprise

VaR模型基于一定的概率水平下,量化资产组合在未来特定一端时间内的最大可能损失。分析了该模型在外贸企业的应用,企业通过建立汇率风险评估模型,评估汇率波动给企业带来的潜在损失,并以此为依据结合其风险指标,采取措施,及时规避潜在损失风险。

VaR is the model to qualify the future possible loss of assets allocation on the basis of certain probability, on which foreign trade enterprise establishes the evaluation model of exchange-rate risk based, evaluates the potential risk resulting from exchange-rate fluctuation, on the basis of which foreign trade enterprise takes some measures to avoid the risk according to enterprise＇s risk index.