汇率市场化背景下商业银行外汇交易风险管理研究

Research on the Risk Management of Foreign Exchange Transactions of Commercial Banks Due to Marketisation of Exchange Rates

摘要: 自2015年8月11日以来，我国开始采用“收盘汇率 + 一篮子货币汇率变化”的方式来确定人民币兑美元汇率的中间价形成机制，这一改革措施显著提高了汇率机制的灵活性、规范性、透明度和市场化水平。汇率市场化一方面充分发挥外汇市场的定价功能，另一方面也加大了人民币汇率的波动范围，现如今商业银行竞争加剧，外汇交易规模庞大，汇率波动加剧对商业银行有着重要的影响，这对长期缺乏外汇风险管理的商业银行来说面临着巨大挑战。本文以汇率的角度对商业银行外汇交易风险管理进行分析，并且提出了几点浅见。

Abstract: China began to adopt the “closing rate + change in basket of currency rates” method for determining the median price formation mechanism for the RMB-dollar exchange rate, which has significantly improved the flexibility, regularity, transparency and marketability of the exchange rate mechanism from 11 August 2015. Exchange rate marketisation gives full play to the pricing function of the foreign exchange market on the one hand, and increases the volatility of the RMB exchange rate on the other hand. Nowadays, the competition among commercial banks has intensified, the scale of foreign exchange transactions is huge, and the increase in exchange rate volatility has an important impact on commercial banks, which is a huge challenge for commercial banks that have long lacked foreign exchange risk management. This paper analyses the risk management of foreign exchange transactions of commercial banks from the perspective of exchange rates and provides several insights.