汇率风险的测量和管理：在企业的问题和方法

汇率风险的测量和管理：在企业的问题和方法内容摘要：

flow operations of a firm’s parent pany and foreign subsidiaries. Identification of the various types of currency risk, along with their measurement, is essential to develop a strategy for managing currency risk. III. MEASUREMENT OF EXCHANGE RATE RISK After defining the types of exchange rate risk that a firm is exposed to, a crucial aspect in a firm’s exchange rate risk management decisions is the measurement of these risks. Measuring currency risk may prove difficult, at least with regards to translation and economic risk (Van Deventer, Imai, and Mesler, 2020。 Holton, 2020). At present, a widely used method is the valueatrisk (VaR) model. Broadly, value at risk is defined as the maximum loss for a given exposure over a given time horizon with z% confidence. The VaR methodology can be used to measure a variety of types of risk, helping firms in their risk management. However, the VaR does not define what happens to the exposure for the (100 – z) % point of confidence, ., the worst case scenario. Since the VaR model does not define the maximum loss with 100 percent confidence, firms often set operational limits, such as nominal amounts or stop loss orders, in addition to VaR limits, to reach the highest possible coverage (Papaioannou and Gatzonas, 2020). ValueatRisk calculation The VaR measure of exchange rate risk is used by firms to estimate the riskiness of a foreign exchange position resulting from a firm’s activities, including the foreign exchange position of its treasury, over a certain time period under normal conditions (Holton, 2020). The VaR calculation depends on 3 parameters: * The holding period, ., the length of time over which the foreign exchange position is planned to be held. The typical holding period is 1 day. * The confidence level at which the estimate is planned to be made. The usual confidence levels are 99 percent and 95 percent. * The unit of currency to be used for the denomination of the VaR. Assuming a holding period of x days and a confidence level of y%, the VaR measures what will be the maximum loss (., the decrease in the market value of a foreign exchange position) over x days, if the xdays period is not one of the (100y)% xdays periods that are the worst under normal conditions. Thus, if the foreign exchange position has a 1day VaR of $10 million at the 99 percent confidence level, the firm should expect that, with a probability of 99 percent, the value of this position will decrease by no more than $10 million during 1 day, provided that usual conditions will prevail over that 1 day. In other words, the firm should expect that the value of its foreign exchange rate position will decrease by no more than $10 million on 99 out of 100 usual trading days, or by more than $10 million on 1 out of every 100 usual trading days. To calculate the VaR, there exists a variety of models. Among them, the more widelyused are: (1) the historical simulation, which assumes that currency returns on a firm’s foreign exchange position will have the same distribution as they had in the past。 (2) the variancecovariance model, which assumes that currency returns on a firm’s total foreign exchange position are always (jointly) normally distributed and that the change in the value of the foreign exchange position is linearly dependent on all currency returns。 and (3) Monte Carlo simulation, which assumes that future currency returns will be randomly distributed. The historical simulation is the simplest method of calculat。