Modern Economy
Volume 5, Issue 5 (May 2014)
ISSN Print: 2152-7245 ISSN Online: 2152-7261
Google-based Impact Factor: 0.96 Citations
The Researches on Exchange Rate Risk of Chinese Commercial Banks Based on Copula-Garch Model ()
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ABSTRACT
After the exchange rate reforms in 2005, China has transformed the fixed exchange rate system into a floating exchange rate system dominated by market supply and demand. Commercial banks will face with greater exchange rate risk. Therefore, how to estimate exchange rate risk and keep the optimal portfolio of foreign exchange is an important research subject. This article chooses the date of the RMB exchange rate against the dollar and the yen from the January 1, 2008 to May 21, 2012 as samples, describes the joint distribution of the two assets using Copula-Garch model, thus eventually works out the optimal holding ratio of the two foreign currency assets under minimal risk situations.
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