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| 文章编号：1672-3104(2006)06-0715-05 |
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我国商业银行外汇资产的汇率风险测量与最优组合选择 |
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张静,周超 |
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（中国农业银行湖南省分行） |
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| 摘 要： 利用模型和结构函数改进VaR模型,对外汇资产的汇率风险进行了测量并进行了实证研究。研究结论显示,在所选样本期间,美元和日元的最优组合为:投资总额的33%是日元币种,67%是美元币种,这说明该预测模型能够对我国商业银行汇率风险进行较为精确的测量。 |
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| 关键词： 分布函数;汇率风险;风险管理;VaR |
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Exchange rate risk measure of foreign assets and optimal
portfolio selection in China's commercial banks |
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ZHANG Jing, ZHOU Chao |
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（Hunan University, Changsha 410005, China） |
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| Abstract: This paper modifies VaR model with t-EGARCH model and Copula function. Then we conduct empirical analysis on the measure of foreign assets' exchange-rate risk in commercial banks. The research demonstrates that, 33 percent of total investment is one Japanese Yen and 67 percent is US dollar, which is the optimal foreign currency portfolio in the sample period. It explains that this forecast model can accurately measure the foreign exchange rate risk of the commercial banks in our country . |
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Key words: distribution function; exchange rate risk; risk management; VaR |
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