中央银行汇率风险的测量与防范

自20世纪70年代以来,国际外部环境日趋复杂,固定汇率制度逐渐瓦解,国际金融危机日益频繁,传统的货币危机模型普遍缺乏定量测量和实时评估的功能,而将VaR方法应用于汇率风险评估具有更强的现实性,它可以对央行的汇率风险进行科学的定量分析,使管理层的监管更加有效。

Measurement and Prevention of Central Bank Exchange Rate Risk

Since 1970’s,the external international environment has become increasingly complicated,fixed exchange rate system began to collapse and global financial crisis happened more and more frequently.The traditional monetary crisis model generally lack function of quantitative analysis of the monetary system and real-time evaluation.Thus,applying VaR method to exchange rate risk assessment is more realistic,when it can make scientific quantitative analysis of the exchange rate risk,therefore make the central bank’s supervision more effective.