【作者】 艾之涛；

【导师】 杨招军；

【作者基本信息】 湖南大学 ， 西方经济学， 2010， 硕士

【摘要】 近年来我国的外汇储备规模以惊人的速度增长,现在已经超过了2万亿美元,如此大的规模使得外汇储备的保值增值要求日益突出,因此如何对其进行风险管理成为一个重要的研究课题。自布雷顿森林体系瓦解后,汇率波动成为外汇储备风险的一个主要来源,而为了避免这种由于汇率波动所造成的损失,各国都采取了外汇储备币种多元化的措施,力图通过不同外汇币种的选择来降低外汇储备总体的风险。本文把我国的外汇储备看作是一个由美元和欧元两种外汇资产组成的资产组合,使用目前国际上流行的VaR方法来测算不同币种结构下的外汇储备总体的风险,同时为提高VaR值计算的准确性,在计算过程中使用了连接函数Copula这种在金融风险分析领域有广泛应用的数学方法。本文从美元和欧元两种外汇兑人民币的汇率数据出发建立模型,首先选择出了最适合外汇储备资产组合VaR值测算的一个Archimedean Copula类并估计了其参数,然后通过蒙特卡罗模拟,利用Matlab编程得出了美元和欧元两币种比例相对变化时外汇储备总体的VaR值。结果表明随着外汇储备中美元资产比例的逐步增大,相应地欧元资产的比例逐步减小,外汇储备总体的VaR值越来越小,因此从控制风险的角度考虑我们应该增加外汇储备中美元的比例而降低欧元的比例。由于我国目前实行人民币主要钉住美元而非完全市场化的汇率制度,美元兑人民币的汇率波动性明显小于其它币种,因而必然造成资产组合中美元越多则风险越小,这一现实正好验证了本文中模型及其计算结果的正确性。同时需要指出的是,外汇储备币种结构的确定还受收益、全球经济环境、一国国际贸易状况甚至是政治外交等多种因素的影响,因此想要确定一个最优的外汇储备币种结构,单由Copula-VaR方法从风险管理角度考虑是不全面的,还要综合其他因素做更深入的研究。更多还原

【Abstract】 In recent years,China’s foreign exchange reserve scale increased at a remarkable rate,which is more than 2 trillion U.S.dollars now. Such a huge scale makes foreign exchange reserve’s value increasing and risk avoiding of a great significance,so the risk management of foreign exchange reserve becomes an important research project. After the collapse of the Bretton Woods System,exchange rate fluctuation became the main source of the risks in foreign exchange reserve.In order to avoid such kind of risks,lots of countries have taken measures to diversify their foreign exchange reserve composition,which means they choose different currency structure to reduce the overall risk.This paper considers our foreign exchange reserve as a portfolio composed of two foreign exchange assets—U.S.dollar and Euro and then estimates the overall portfolio risks when the relative proportion of the two currencies changed. In this process,we measures portfolio risks by calculating it’s VaR value and at the same time,we use Copula function to improve the accuracy of VaR calculation,which is a mathematical method and widely used in the field of financial risk analysis.Starting with U.S. dollar and Euro’s exchange rate data to RMB,this paper first selected an Archimedean Copula which is the most suitable one to calculate the VaR value of a portfolio composed of two foreign exchange assets,and then we estimated it’s parametre.After that, by using Monte Carlo Simulation, we calculated the portfolio’s VaR value when the relative proportion of the two currencies changed with the help of Matlab programming. At last we conclude that our foreign exchange reserve’s VaR value reduced when the proportion of U.S.dollar increased,whereas the proportion of Euro decreased.So based on the view of risk management, China’s foreign exchange reserve should reduce the proportion of Euro and accordingly, increase the proportion of U.S.dollor.Since China’s current exchange system is pegging RMB to U.S.dollar rather than full market-oriented, the exchange rate volatility of U.S.dollar to RMB is obviously less than the other currencies, which equals the larger U.S.dollar’s proportion,the smaller the portfolio’s risks.So this reality has proved the correctness of the front calculation methods and conclutions.In addition,the determination of one country’s foreign exchange reserve composition is also affected by factors such as income,global economic environment,a country’s trade condition and even some political and diplomatic factors.So it is imcomplete to determine a specific foreign exchange reserve compsition just by the use of Copula-VaR method,we should do some deeper research with a comprehensive consideration of the other factors.更多还原