本文選題：外匯儲(chǔ)備 + 主權(quán)信用風(fēng)險(xiǎn)��； 參考：《華中科技大學(xué)》2012年碩士論文

【摘要】：隨著我國經(jīng)濟(jì)的飛速發(fā)展和對(duì)外開放程度的不斷提高，我國外匯儲(chǔ)備以相當(dāng)快的速度增長。1996年我國外匯儲(chǔ)備突破千億美元，到了2006年突破萬億美元，躍居全球第一，再到2011年突破3萬億美元。外匯儲(chǔ)備的提高有許多好處，也象征著我國經(jīng)濟(jì)實(shí)體的提升和綜合國力的增強(qiáng)。但是，外匯儲(chǔ)備的過快增長也伴隨著相應(yīng)機(jī)會(huì)成本的增加。同時(shí)，更多的外匯儲(chǔ)備也意味著更高的風(fēng)險(xiǎn)，一般而言，主要包括：匯率風(fēng)險(xiǎn)、利率風(fēng)險(xiǎn)、流動(dòng)性風(fēng)險(xiǎn)、政治風(fēng)險(xiǎn)、信用風(fēng)險(xiǎn)、操作風(fēng)險(xiǎn)等。本文通過分析國內(nèi)外對(duì)外匯儲(chǔ)備及其各種風(fēng)險(xiǎn)的研究成果，對(duì)我國外匯儲(chǔ)備的主權(quán)信用風(fēng)險(xiǎn)進(jìn)行了測度研究，，在一定程度上深化和拓展了對(duì)信用風(fēng)險(xiǎn)測度和我國外匯儲(chǔ)備的風(fēng)險(xiǎn)管理的研究。 本文首先介紹了我國外匯儲(chǔ)備的發(fā)展現(xiàn)狀，包括其功能、適度規(guī)模、幣種結(jié)構(gòu)、增長原因以及風(fēng)險(xiǎn)類別。然后，著重介紹了外匯儲(chǔ)備的信用風(fēng)險(xiǎn)，并闡述了主權(quán)信用風(fēng)險(xiǎn)的概念，分析了美國主權(quán)信用風(fēng)險(xiǎn)的發(fā)展趨勢(shì)和原因，以及對(duì)我國的影響。接著，在比較了幾種傳統(tǒng)的信用風(fēng)險(xiǎn)的測度方法的基礎(chǔ)上，提出了一個(gè)基于非預(yù)期損失和預(yù)期損失的主權(quán)信用風(fēng)險(xiǎn)的測度方法，并以美元為例，用這種方法對(duì)我國外匯儲(chǔ)備的主權(quán)信用風(fēng)險(xiǎn)進(jìn)行了測算研究。根據(jù)測算結(jié)果可知，在2011年8月份之前，我國外匯儲(chǔ)備的主權(quán)信用風(fēng)險(xiǎn)及其波動(dòng)性都不大。但是在2011年8月份，由于美國主權(quán)信用評(píng)級(jí)的下降使得我國外匯儲(chǔ)備的主權(quán)信用風(fēng)險(xiǎn)及其波動(dòng)性都有較為明顯的提高。最后，提出了一個(gè)管理信用風(fēng)險(xiǎn)的理論方法并給出了一些相關(guān)的政策建議。
[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.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.6

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本文編號(hào)：1995840