涉外企业的汇率风险度量

汇率风险日益成为影响涉外企业价值的重要因素,然而与对利率风险、信用风险的度量研究相比,汇率风险的度量研究相对滞后。本文通过尝试着把主要用来衡量利率风险的VaR方法运用于对涉外企业的汇率风险衡量,以期来推动理论界对汇率风险度量问题的关注。

Exchange Rate Exposure Measure of Foreign Related Enterprise

Exchange rate exposure is a main factor that influences the value of foreign related enterprises, meanwhile, compared with the development of the theoretical research of interest risk and credit risk measurement problem, the measure problem research of exchange rate exposure is lagged behind the stringent practical need. In this article, I want try to measure the exchange rate exposure with VaR approach, which is commonly used in measuring other financial risk, hoping to attract the attention to exchange rate exposure measure problem.