| 浮动汇率制下的企业外汇风险度量及控制 |
| |
| 引用本文： | 谢非,刘星. 浮动汇率制下的企业外汇风险度量及控制[J]. 重庆大学学报(社会科学版), 2008, 14(4): 20-23 |
| |
| 作者姓名： | 谢非 刘星 |
| |
| 作者单位： | 1. 重庆大学经济与工商管理学院,重庆,400044;重庆工学院,重庆,400050
2. 重庆大学经济与工商管理学院,重庆,400044 |
| |
| 摘 要： | 中国实行浮动汇率制后,企业面临着对外汇风险的度量和控制.文章采用风险管理研究中的一致性风险度量方法,引入条件风险价值理论(CVaR)对中国企业在浮动汇率制下的外汇风险进行度量和控制研究;从而建立了多币种外汇风险度量和控制模型,并用6种外汇的历史数据进行了实证分析.同时,结合所得到的研究结果,给出了控制外汇风险的相关策略.
|
| 关 键 词： | 浮动汇率 风险度量及控制 有效前沿曲线 控制策略选择 |
Measuring and Controlling Foreign Exchange Risks of Enterprises under Floating Exchange Rate |
| |
| XIE Fei,LIU Xing. Measuring and Controlling Foreign Exchange Risks of Enterprises under Floating Exchange Rate[J]. Journal of Chongqing University(Social Sciences Edition), 2008, 14(4): 20-23 |
| |
| Authors: | XIE Fei LIU Xing |
| |
| Affiliation: | XIE Fei1 2,LIU Xing1(1.College of Economics , Business Administration,Chongqing University,Chongqing 400044,China,2.Chongqing Institute of Technology,Chongqing 400050,China) |
| |
| Abstract: | Under floating exchange rate,Chinese enterprises are in an urgent need to measure and control foreign exchange risks.This paper adopts the coherent risk measures of the risk management research,introduces CVaR to measure and control the foreign exchange risks of Chinese enterprises under floating exchange rate,sets up the mold of measuring and controlling foreign exchange risks of several foreign currencies and makes an empirical analysis of the historic data of the six foreign currencies.At the same time,b... |
| |
| Keywords: | CVaR |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《重庆大学学报(社会科学版)》浏览原始摘要信息 |
|
点击此处可从《重庆大学学报(社会科学版)》下载全文 |
|
