中国外汇储备主权信用风险的测度研究

发布时间：2018-06-08 12:46

本文选题：外汇储备 + 主权信用风险　；参考：《华中科技大学》2012年硕士论文

【摘要】：随着我国经济的飞速发展和对外开放程度的不断提高，我国外汇储备以相当快的速度增长。1996年我国外汇储备突破千亿美元，到了2006年突破万亿美元，跃居全球第一，再到2011年突破3万亿美元。外汇储备的提高有许多好处，也象征着我国经济实体的提升和综合国力的增强。但是，外汇储备的过快增长也伴随着相应机会成本的增加。同时，更多的外汇储备也意味着更高的风险，一般而言，主要包括：汇率风险、利率风险、流动性风险、政治风险、信用风险、操作风险等。本文通过分析国内外对外汇储备及其各种风险的研究成果，对我国外汇储备的主权信用风险进行了测度研究，，在一定程度上深化和拓展了对信用风险测度和我国外汇储备的风险管理的研究。本文首先介绍了我国外汇储备的发展现状，包括其功能、适度规模、币种结构、增长原因以及风险类别。然后，着重介绍了外汇储备的信用风险，并阐述了主权信用风险的概念，分析了美国主权信用风险的发展趋势和原因，以及对我国的影响。接着，在比较了几种传统的信用风险的测度方法的基础上，提出了一个基于非预期损失和预期损失的主权信用风险的测度方法，并以美元为例，用这种方法对我国外汇储备的主权信用风险进行了测算研究。根据测算结果可知，在2011年8月份之前，我国外汇储备的主权信用风险及其波动性都不大。但是在2011年8月份，由于美国主权信用评级的下降使得我国外汇储备的主权信用风险及其波动性都有较为明显的提高。最后，提出了一个管理信用风险的理论方法并给出了一些相关的政策建议。
[Abstract]:With the rapid development of China's economy and the continuous improvement of the degree of opening to the outside world, China's foreign exchange reserves have grown at a fairly fast speed. In 1996, China's foreign exchange reserves exceeded 100 billion US dollars, and in 2006, they exceeded trillion US dollars, ranking first in the world. Another $3 trillion in 2011. The increase of foreign exchange reserve has many advantages, and it also symbolizes the improvement of economic entity and the enhancement of comprehensive national strength. However, the excessive growth of foreign exchange reserves is accompanied by the corresponding increase in opportunity costs. At the same time, more foreign exchange reserves also mean higher risk, generally, including: exchange rate risk, interest rate risk, liquidity risk, political risk, credit risk, operational risk and so on. By analyzing the research results of foreign exchange reserve and its various risks at home and abroad, this paper measures and studies the sovereign credit risk of China's foreign exchange reserve. To a certain extent, it deepens and expands the research on credit risk measurement and risk management of China's foreign exchange reserve. Firstly, this paper introduces the present situation of China's foreign exchange reserve development, including its function, appropriate scale, currency structure, etc. Growth reasons and risk categories. Then, the credit risk of foreign exchange reserve is introduced emphatically, the concept of sovereign credit risk is expounded, the development trend and reason of American sovereign credit risk are analyzed, and the influence on our country is also analyzed. Then, on the basis of comparing several traditional methods of measuring credit risk, this paper puts forward a measure method of sovereign credit risk based on unexpected loss and expected loss, and takes US dollar as an example. Using this method, the sovereign credit risk of China's foreign exchange reserve is calculated and studied. According to the calculation results, before August 2011, the sovereign credit risk and volatility of China's foreign exchange reserves are not significant. However, in August 2011, the sovereign credit risk and volatility of China's foreign exchange reserves increased significantly due to the decline of the U.S. sovereign credit rating. Finally, a theoretical method of managing credit risk is put forward and some relevant policy suggestions are given.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.6

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