人民币汇率形成机制改革背景下的商业银行汇率风险管理研究

发布时间：2018-03-14 04:52

本文选题：人民币汇率　切入点：商业银行　出处：《陕西师范大学》2013年硕士论文　论文类型：学位论文

【摘要】：汇率风险管理是巴塞尔协议中关于商业银行三大风险控制中的重要一条。自1994年人民币汇改以来,人民币汇率形成机制进行了多次改革,2005年和2010年分别两次重启汇改。分析认为未来人民币汇改逐将会步扩大市场汇率波动空间,将会进一步增强汇率弹性,完善中问价确定机制,提高中间价的灵活性。随着汇率形成机制改革深化和资本账户管制放松,人民币汇率波动的幅度会越来越大,也就给商业银行的汇率风险管理带来挑战性。人民币汇率形成机制改革的渐进性以及可控性,为商业银行适应新的汇率体制创造充足的时间。本文分析认为人民币汇率形成机制改革的进行给商业银行带来了以下机遇：外币存贷款业务将会持续繁荣；我国银行业部分中间业务将会迎来高速发展时期；我国人民币汇率衍生品市场也将进入飞速发展时期。当然人民币的汇改也会给商业银行带来很多风险：1进出口业务：一方面是进出口企业的汇兑损益；另一方面是对使用非美货币结算以及会对非美地区进出口的企业带来不利影响。商业银行对企业的授信业务应当具有针对性。2商业银行面临的问题是：获得外币的成本,商业银行应当具有防范国外利率回升的风险控制机制；外币资产负债匹配问题,也就是商业银行外汇存贷款期限结构问题；就目前的情况来看,中美利差的空间在缩小,人民币升值的趋势逐渐减弱,波动幅度增大,这就需要商业银行及早进行准备,寻找合适的外币资产投资渠道。3在人民币单边升值趋势逐渐结束,人民币波动幅度增大的时候,尽量压低商银行内部外币头寸无疑是最好的选择。4商业银行应当合理应用远期合约、期权合约等金融衍生工具对相应外币资产进行保值。5对于商业银行来说继续进行海外扩张,增加商业银行外币资产规模是应对其资金折算风险的一个很好选择。6商业银行尽早熟悉国外融资渠道,提高相应的业务水平以及进行相应风险控制建设。在对国外商业银行汇率风险管理的系统以及技术进行总结分析之后,对中国商业银行应对汇率风险提出许多可行性建议：实现全方位、全过程的风险管理,尽快形成浓厚的风险管理文化,引导全行员工树立对汇率风险的认同,通过更新文化理念把汇率风险管理贯穿于银行业务的整个流程。提高董事会和高层领导对汇率风险的管理能力商业银行的董事会和高级领导层要尽快对银行面临的汇率风险有所认识。建立起完善的汇率风险管理体系,完善的风险管理组织应当包括董事会和高级经理的有效领导和控制。建立分工明确的外汇风险管理权限结构和责任机制。在日常汇率风险管理过程中,采用VAR、RAROC、压力测试等先进的风险计量工具和方法。努力开发出符合自身要求的更有效工具或模型。控制好应对结售汇业务所需的各种货币头寸,及时把握汇率和利率的走势,逐日调整银行内部各种外币资金规模。加大新产品开发的力度,大力鼓励和奖励创新业务。选择中南亚国家、南美洲国家、非洲国家以及欧盟作为跨境人民币贸易结算业务的重点拓展区域。在有效控制汇率风险的基础上,抓住机会扩张商业银行的海外机构。提供特色金融服务,企业在海外扩张的时候,商业银行不仅仅需要提供融资支持,更加需要的是提供特色金融服务。
[Abstract]:The exchange rate risk management in commercial banks is the Basel agreement on three major risk control is the important one. Since 1994, the RMB exchange rate reform, the RMB exchange rate formation mechanism reform for many times, two times in 2005 and 2010 respectively. The resumption of the reform of RMB exchange rate reform by analysis that the future will further expand the market volatility will be further enhanced. The exchange rate elasticity, ask the price determining mechanism perfect, enhance the flexibility of the middle price. With the exchange rate formation mechanism reform and the deepening of capital account deregulation, the RMB exchange rate fluctuations will be more and more, the exchange rate risk management for commercial banks will bring new challenges.
The RMB exchange rate formation mechanism reform and progressive controllability, the new exchange rate system for commercial banks to create sufficient time to adapt. The paper believes that the RMB exchange rate formation mechanism reform of commercial banks has the following opportunities: foreign currency deposit and loan business will continue the prosperity of China's banking industry; part of the middle business will usher in a period of rapid development China; RMB exchange rate derivatives market will enter a period of rapid development. Of course, the RMB exchange reform will also bring a lot of risk to the commercial bank: 1 import and export business: one is the import and export enterprise's exchange profit and loss; on the other hand is the use of non US currencies and will adversely affect the enterprises outside the United States the import and export of commercial banks. To the enterprise credit business should have to face the problem of the Commercial Bank of.2 is to obtain the foreign currency business cost. The bank shall have the risk control mechanism of foreign interest rates rise; matching liabilities in foreign currency assets, is a commercial bank foreign exchange deposit term structure of loans; in view of the current situation, Sino US spreads in a narrow space, the trend of RMB appreciation gradually weakened, the fluctuation amplitude increases, which requires commercial banks as soon as possible to prepare, to find suitable the foreign currency assets investment channels.3 in the unilateral RMB appreciation trend has ended, when the renminbi volatility increases, minimize the internal commercial bank foreign currency positions is undoubtedly the best choice of.4 commercial bank should be rational use of long-term contracts, option contracts and other financial derivatives to hedge.5 on corresponding foreign currency assets for commercial banks to expand overseas. The increase in foreign currency assets of commercial banks is to deal with the scale of capital accounting risk is a good choice for.6 The bank will be familiar with the foreign financing channels as soon as possible, improve the corresponding business level and carry out the corresponding risk control construction.
After analyzed in the system and the technology of the foreign exchange rate risk management of commercial banks, put forward many feasible suggestions to the commercial bank China deal with exchange rate risk: to achieve the full range, the risk management of the whole process, the formation of a strong culture of risk management as soon as possible, make all staff set up the exchange rate risk identification, by updating the cultural concept of the exchange rate risk management in banking business of the whole process. To improve the board of directors and the senior leadership of the exchange rate risk management ability of commercial bank's board of directors and the senior leadership as soon as possible to have a better understanding of the banks face exchange rate risk. Establish exchange rate risk management system to improve the leadership and control, should include the board of directors and senior managers effectively improve the risk management organization. The establishment of a clear division of foreign exchange risk management authority structure and responsibility mechanism.
In the daily exchange rate risk management process, using VAR, RAROC, pressure test and other advanced risk measurement tools and methods. To develop suitable more effective tools or models. To control settlement operations required for a variety of currency positions, to grasp the exchange rate and interest rate movements, various foreign currency funds scale daily the adjustment of the bank. To increase new product development efforts, vigorously encourage and reward innovation. Business choice in South Asian countries, South American countries, African countries and the European Union as the focus of cross-border RMB trade settlement business expansion area. Based on the effective control of the exchange rate risk, seize the opportunity to expand overseas commercial banks. To provide special financial services. When enterprises in overseas expansion, commercial banks not only need to provide financing support, more need is to provide special financial services.

【学位授予单位】：陕西师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6

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