本文選題：人民幣匯率　切入點(diǎn)：商業(yè)銀行　出處：《陜西師范大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：匯率風(fēng)險(xiǎn)管理是巴塞爾協(xié)議中關(guān)于商業(yè)銀行三大風(fēng)險(xiǎn)控制中的重要一條。自1994年人民幣匯改以來,人民幣匯率形成機(jī)制進(jìn)行了多次改革,2005年和2010年分別兩次重啟匯改。分析認(rèn)為未來人民幣匯改逐將會(huì)步擴(kuò)大市場(chǎng)匯率波動(dòng)空間,將會(huì)進(jìn)一步增強(qiáng)匯率彈性,完善中問價(jià)確定機(jī)制,提高中間價(jià)的靈活性。隨著匯率形成機(jī)制改革深化和資本賬戶管制放松,人民幣匯率波動(dòng)的幅度會(huì)越來越大,也就給商業(yè)銀行的匯率風(fēng)險(xiǎn)管理帶來挑戰(zhàn)性。 人民幣匯率形成機(jī)制改革的漸進(jìn)性以及可控性,為商業(yè)銀行適應(yīng)新的匯率體制創(chuàng)造充足的時(shí)間。本文分析認(rèn)為人民幣匯率形成機(jī)制改革的進(jìn)行給商業(yè)銀行帶來了以下機(jī)遇：外幣存貸款業(yè)務(wù)將會(huì)持續(xù)繁榮；我國銀行業(yè)部分中間業(yè)務(wù)將會(huì)迎來高速發(fā)展時(shí)期；我國人民幣匯率衍生品市場(chǎng)也將進(jìn)入飛速發(fā)展時(shí)期。當(dāng)然人民幣的匯改也會(huì)給商業(yè)銀行帶來很多風(fēng)險(xiǎn)：1進(jìn)出口業(yè)務(wù)：一方面是進(jìn)出口企業(yè)的匯兌損益；另一方面是對(duì)使用非美貨幣結(jié)算以及會(huì)對(duì)非美地區(qū)進(jìn)出口的企業(yè)帶來不利影響。商業(yè)銀行對(duì)企業(yè)的授信業(yè)務(wù)應(yīng)當(dāng)具有針對(duì)性。2商業(yè)銀行面臨的問題是：獲得外幣的成本,商業(yè)銀行應(yīng)當(dāng)具有防范國外利率回升的風(fēng)險(xiǎn)控制機(jī)制；外幣資產(chǎn)負(fù)債匹配問題,也就是商業(yè)銀行外匯存貸款期限結(jié)構(gòu)問題；就目前的情況來看,中美利差的空間在縮小,人民幣升值的趨勢(shì)逐漸減弱,波動(dòng)幅度增大,這就需要商業(yè)銀行及早進(jìn)行準(zhǔn)備,尋找合適的外幣資產(chǎn)投資渠道。3在人民幣單邊升值趨勢(shì)逐漸結(jié)束,人民幣波動(dòng)幅度增大的時(shí)候,盡量壓低商銀行內(nèi)部外幣頭寸無疑是最好的選擇。4商業(yè)銀行應(yīng)當(dāng)合理應(yīng)用遠(yuǎn)期合約、期權(quán)合約等金融衍生工具對(duì)相應(yīng)外幣資產(chǎn)進(jìn)行保值。5對(duì)于商業(yè)銀行來說繼續(xù)進(jìn)行海外擴(kuò)張,增加商業(yè)銀行外幣資產(chǎn)規(guī)模是應(yīng)對(duì)其資金折算風(fēng)險(xiǎn)的一個(gè)很好選擇。6商業(yè)銀行盡早熟悉國外融資渠道,提高相應(yīng)的業(yè)務(wù)水平以及進(jìn)行相應(yīng)風(fēng)險(xiǎn)控制建設(shè)。 在對(duì)國外商業(yè)銀行匯率風(fēng)險(xiǎn)管理的系統(tǒng)以及技術(shù)進(jìn)行總結(jié)分析之后,對(duì)中國商業(yè)銀行應(yīng)對(duì)匯率風(fēng)險(xiǎn)提出許多可行性建議：實(shí)現(xiàn)全方位、全過程的風(fēng)險(xiǎn)管理,盡快形成濃厚的風(fēng)險(xiǎn)管理文化,引導(dǎo)全行員工樹立對(duì)匯率風(fēng)險(xiǎn)的認(rèn)同,通過更新文化理念把匯率風(fēng)險(xiǎn)管理貫穿于銀行業(yè)務(wù)的整個(gè)流程。提高董事會(huì)和高層領(lǐng)導(dǎo)對(duì)匯率風(fēng)險(xiǎn)的管理能力商業(yè)銀行的董事會(huì)和高級(jí)領(lǐng)導(dǎo)層要盡快對(duì)銀行面臨的匯率風(fēng)險(xiǎn)有所認(rèn)識(shí)。建立起完善的匯率風(fēng)險(xiǎn)管理體系,完善的風(fēng)險(xiǎn)管理組織應(yīng)當(dāng)包括董事會(huì)和高級(jí)經(jīng)理的有效領(lǐng)導(dǎo)和控制。建立分工明確的外匯風(fēng)險(xiǎn)管理權(quán)限結(jié)構(gòu)和責(zé)任機(jī)制。 在日常匯率風(fēng)險(xiǎn)管理過程中,采用VAR、RAROC、壓力測(cè)試等先進(jìn)的風(fēng)險(xiǎn)計(jì)量工具和方法。努力開發(fā)出符合自身要求的更有效工具或模型。控制好應(yīng)對(duì)結(jié)售匯業(yè)務(wù)所需的各種貨幣頭寸,及時(shí)把握匯率和利率的走勢(shì),逐日調(diào)整銀行內(nèi)部各種外幣資金規(guī)模。加大新產(chǎn)品開發(fā)的力度,大力鼓勵(lì)和獎(jiǎng)勵(lì)創(chuàng)新業(yè)務(wù)。選擇中南亞國家、南美洲國家、非洲國家以及歐盟作為跨境人民幣貿(mào)易結(jié)算業(yè)務(wù)的重點(diǎn)拓展區(qū)域。在有效控制匯率風(fēng)險(xiǎn)的基礎(chǔ)上,抓住機(jī)會(huì)擴(kuò)張商業(yè)銀行的海外機(jī)構(gòu)。提供特色金融服務(wù),企業(yè)在海外擴(kuò)張的時(shí)候,商業(yè)銀行不僅僅需要提供融資支持,更加需要的是提供特色金融服務(wù)。
[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.

【學(xué)位授予單位】：陜西師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.6

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 潘鵬宇;;新的人民幣匯率形成機(jī)制下商業(yè)銀行匯率風(fēng)險(xiǎn)研究[J];北方經(jīng)濟(jì);2006年19期

2 謝非;陳利軍;秦建成;;人民幣匯率變動(dòng)視角下我國商業(yè)銀行的匯率風(fēng)險(xiǎn)管理[J];重慶理工大學(xué)學(xué)報(bào)(社會(huì)科學(xué));2010年03期

3 李小娟;;人民幣匯制改革對(duì)我國商業(yè)銀行風(fēng)險(xiǎn)管理的挑戰(zhàn)[J];金融論壇;2006年11期

4 李曉;馮永琦;;中日兩國在東亞區(qū)域內(nèi)貿(mào)易中地位的變化及其影響[J];當(dāng)代亞太;2009年06期

5 朱孟楠;嚴(yán)佳佳;;人民幣匯率波動(dòng):測(cè)算及國際比較[J];國際金融研究;2007年10期

6 徐原;梁琦;;中國與六大貿(mào)易伙伴的匯率研究[J];國際金融研究;2009年08期

7 丁志杰;;回顧與展望——完善人民幣匯率形成機(jī)制改革之路[J];國際貿(mào)易;2006年04期

8 溫彬;當(dāng)前外匯市場(chǎng)的風(fēng)險(xiǎn)及其對(duì)策[J];國際經(jīng)濟(jì)評(píng)論;2005年04期

9 李鵬;;匯率制度改革下商業(yè)銀行外匯風(fēng)險(xiǎn)管理對(duì)策分析[J];商業(yè)經(jīng)濟(jì);2008年19期

10 魏巍賢;;人民幣升值的宏觀經(jīng)濟(jì)影響評(píng)價(jià)[J];經(jīng)濟(jì)研究;2006年04期

，

本文編號(hào)：1609696