Exchange Rate Risk Estimates of the Foreign Contracted Projects based on the Model of VaR

被引：0

作者：

Zhao, Lizhu ^{[1
]}

Bai, Ruiqiang ^{[1
]}

Shao, Yupeng ^{[1
]}

机构：

[1] Inner Mongolia Univ, Dept Transportat, Hohhot 010070, Peoples R China

来源：

Progress in Industrial and Civil Engineering III, Pt 1 | 2014年 / 638-640卷

关键词：

Foreign contracted projects; exchange rate risk; the model of VaR;

D O I：

10.4028/www.scientific.net/AMM.638-640.2327

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

China implements a floating exchange rate system after reforming the exchange rate mechanism in 2005. So far, nearly eight years, the RMB against the U. S. dollar increased from 8.2: 1 to 6.1: 1. Exchange rate risk of China's foreign contracted engineering industry has become a serious problem in the rapid development of the industry situation, this paper established exchange rate forecasting model base on the model of VaR through analysis the daily average exchange rate from July 22, 2005 to September 30, 2013, and estimate the rate of return by using the variance covariance, historical simulation method, providing a theoretical basis for avoiding the exchange rate risk of China's foreign contracted projects.

引用

页码：2327 / 2331

页数：5