The Risk Management in Currency Market: A Computational Application of CVaR Model

Abstract

外匯資產組合的主要風險通常來自於：貨幣風險、市場風險、信用風險、流動性風險以及操作風險。貨幣風險指的是因為匯率波動所造成的資本市場損失。VaR是最常被用來衡量此種風險的指標。然而，由於VaR的某些特性，使得它在用來衡量資產組合風險時有許多限制。\r\n CVaR則是一較佳的衡量指標。它的好處在於它符合數學的性質。在本文中，我們利用兩階段求解的概念，這使得我們可輕易的將CVaR的概念作更多的延伸。我們導入ICC的概念來計算CVaR，這讓CVaR更為直覺，也因此更易使用。因此，只要確認損失來源，並將隨機變數帶入損失方程式，即可知道該資產組合所需承擔的風險。\r\n 最後，我們利用這個模型，從央行的角度來討論台灣的外匯市場。我們利用CVaRMin來進行討論並歸納一些結論以供後續研究使用。

The main risk of a foreign asset portfolio usually comes from: currency risk, market risk, credit risk, liquidity risk, and operation risk. Currency risk is the risk of capital market losses as a consequence of fluctuations in exchange rate. VaR is the most frequently used concept for measuring market risk and recently is applied to currency risk. However VaR is somewhat restricted when it is used to measure the risk of a portfolio management.\r\n CVaR is an alternative. The superiority of CVaR lies in its accordance to mathematical properties. In this study, we apply the concept of two-stage recourse model intuition in management of risk and then easily extend the approach of CVaR. We introduce the ICC. This makes CVaR more straightforward. As long as one can identify the source of losses and substitute the random factors into shortage function, he can easily know the risk he will take.\r\n Finally we discuss Taiwan foreign exchange management from a view point of the Central Bank. We conduct this experiment by a solver called CVaRMin and summarize some points for further researches.