Double Factor Returns Model About Foreign Exchange Risks Exposures and Interest-Rate Risks Exposures

摘要：

The Exchange Risk and the Interest-Rate Risk have been the important parts in the researches of financial risks measurements. Based on the generalization for financial measurement methods and in financial institutions, the author establishes and discusses a double factors model for foreign exchange risk and the interest-rate risk existing in the stock returns of the financial institutions by the foreign exchange risk’s measurement method and a sensitive gap analysis. In the case of suffering double exposures, the returns of the commercial banks and funds, which hold foreign currencies in global capital markets, are decided by fluctuation of anticipated exchange rate and interest sensitivity gap in short term.

关键词： Foreign-Exchange Risk Interest-Rate Risk Double-factor Model Sensitivity Gap

作者: HUO Ying ZUO Saisai

作者单位: School of Economy,Shandong Institute of Business and Technology,264005

会议类型: 国际会议

会议名称: 2010 International Conference on Technology Innovation and Industry Development(2010年技术创新与产业发展国际研讨会)

会议地点: 烟台

会议语种:英文

页码: 821-824

在线出版日期: 2010-09-17（万方平台首次上网日期，不代表论文的发表时间）