基于GARCH族模型商业银行外汇风险管理的VaR方法研究

面对日趋加大的汇率波动性,商业银行外汇资产面临的风险也越来越大,风险的计量与预测在管理外汇风险中的作用也越来越重要.引入参数法下的GARCH模型对外汇市场存在的风险进行计量分析,并以此为基础运用VaR方法进一步计算外汇资产的风险补偿金,以达到预测和控制外汇风险目的.

VaR Method of the Foreign Exchange Risk Management of Commercial Banks Based on GARCH Model

The face of increasingly increased exchange rate volatility and risks facing commercial bank foreign currency assets also growing,risk measurement and prediction of more and more important role in the management of foreign exchange risk.This article introduced parameter method under GARCH model in the Foreign Exchange Market Risk Measurement analysis,and on this basis the application of VaR method to calculate foreign currency assets risk compensation.