汇率变动对我国商业银行的影响及应对策略

题目：汇率变动对我国商业银行的阻碍及应对策略院系经济学院

专业证券期货

班级 07940122

学生姓名熊俊

学号 0794012215

导师姓名刘宏

导师职称教授

2011年5月23日

诚信保证

本人通过自己的签名保证，我的论文是独立完成的，无他人代笔，所有从出版物中引用（包括图表等）均注明了出处；除了注明的文献之外，没有使用其他文献。

签名：

日期：2011年5月23日

【摘要】

随着中国经济不断地融入全球经济，我国与其它国家之间的经济交往不管从广度依旧深度都在不断地加深，汇率问题随之就变得越来越重要。商业银行作为重要的市场主体在那个过程中不可幸免的暴露在汇率风险之中。随着我国外汇体制改革的不断深入,人民币汇率浮动的不确定性日益凸显,我国商业银行在各种因素阻碍下,将面临专门多过去未曾遇到的新问题、新矛盾,将处于一个错综复杂,变幻莫测的经营环境中,其治理和抗风险能力存在着前所未有的压力和挑战。因此，商业银行当前必须提高对汇率风险的治理能力，才能保持其经营的稳定性并使其健康的进展。

本文通过实证研究和规范研究相结合的方法，在研究国内外汇率制度相关理论及我国汇率制度改革具体实践的基础上，首先分析了我国商业银行的外汇业务现状，然后分析了汇率变动给我国商业银行资本金、资产负债、银行业务、金融创新等其他方面带来的阻碍，接着从四个方面阐述了商业银行应对汇率风险的手

段，然后介绍了商业银行汇率风险的衡量方法并进行了实证分析，最后，有针对性地提出我国商业银行的应对措施，包括加强对汇率变动的预测、积极引进精通外汇业务和外汇风险治理领域的人才、正确操纵币种结构、期限结构、外汇资产负债结构、加强金融衍生产品的创新等十条建议。

关键词：汇率风险；商业银行；风险治理

【Abstract】

As China's economy continues to integrate into the global economy, China and other countries in terms of economic exchanges between the breadth and depth are constantly deepened along with the exchange rate becomes increasingly important. Commercial banks as an important market players in this process inevitably exposed to exchange rate risk. With the continuous deepening of China's foreign exchange system reform, the RMB exchange rate floating uncertainty has become increasingly prominent in China's commercial banks under the influence of various factors, will face many new issues not previously encountered, the new conflict, in a complex, changing unpredictable business environment, its management and the existence of anti-risk ability to unprecedented pressures and challenges. Therefore, commercial banks need to improve

on the current exchange rate risk management capabilities, in order to maintain the stability of their business and make it a healthy development.

This empirical research and normative research through a combination of methods, theories of foreign exchange rate system and the concrete practice of China's exchange rate system reform on the basis of the first commercial bank in China's foreign exchange business situation, and then analyzes the exchange rate changes to the Commercial Bank capital, assets and liabilities, banking, financial innovation and other aspects of the impact, and then from the four aspects of the commercial banks the means to respond to exchange rate risk, and then introduces the commercial bank exchange rate risk measure, and an empirical analysis Finally, puts forward the response of commercial banks, including the strengthening of the exchange rate forecasts, and actively introduce proficient in foreign exchange business and foreign exchange risk management personnel, proper control of the currency structure, the term structure, foreign exchange assets and liabilities structure Strengthen the innovation of financial derivatives ten recommendations.

Key words：Exchange rate risk；Commercial banks；Risk