我国上市商业银行的外汇风险分析.pdfVIP

THE FOREIGN EXCHANGE RISK OF LISTED CHINESE BANKS ——THE EMPIRICAL STUDY ON BOTH DIRECT AND INDIRECT EXPOSURES ABSTRACT Foreign exchange risk is one of the major risks of banking companies. After Mechanism reform of RMB exchange rate started in 2005, banking institutions in China are now facing increasing exchange risk. This empirical study on the foreign exchange exposures of listed Chinese banks is aim to provide analysis on the issue via capital market data and the RMB exchange rate. Past studies mainly focused on the area of direct foreign exchange exposures like accounting risk of a bank. However, indirect foreign exchange exposures arising from deteriorating environments for its customers since RMB appreciation also means higher risk. This paper establishes the multi-factor models by using available data due to more listed banks and more flexible RMB exchange rate movements in recent years. It finds that negative foreign exchange exposure is prevalent for Chinese banks, reflecting that the appreciation of the RMB tends to reduce their equity values. Besides, foreign exchange exposure is positive with bank sizes, which may suggest that there are larger trading positions and operations of larger Chinese banks, and more significant impacts from their customers influenced by the RMB appreciation. Key words: Listed Chinese banks, foreign exchange exposure, multi-factor model 目 录 第一章 绪论 1 1.1 研究背景和课题意义 1 1.2 国内外研究现状综述 2 1.2.1 国外研究 2 1.2.2 国内研究…………………………………………………………………………...3 1.3 研究方法和结构 4 第二章 外汇风险的概念和基本类型 6 2.1 外汇风险的概念和基本类型 6 2.1.1 外汇风险的概念…………………………………………………………………...6 2.1.2 外汇风险的类型………………………………………………………