Research on Forex Risk Measurement for Enterprise in International Trade with Uncertain Payment Collection Time
The international trade is distinguishingly featured with uncertain payment collection time (in foreign currency), which is highlighted by the emerging globally economic and social events, such as the financial crisis, and consequently brings more risks to international trade.In order to guide the enterprise to better control its forex risks in the international trade, we convert in this article the enterprises international trade decision-making into rain-max assets portfolio optimization.WCVaR (the Worst Case Conditions for Value-at-Risk) is introduced for the enterprise to measure the risks in international trade, and the optimal model is established for enterprises international trade risk measurement and trade portfolio with uncertain payment collection time.The empirical analysis is made accordingly to verify the applicability of WCVaR method for the enterprise to make decision on international trade risk measurement and portfolio optimization.By comparison to CVaR method, its concluded that WCVaR method is better for risk control, especially the risk control in the worst scenario.Meanwhile, with uncertain payment collection time, WCVaR is more applicable for the enterprise to measure its international trade risk.
international trade uncertainty WCVaR risk measurement
Chen Xuemei Hu Dajiang Xie Fei
College of Business Administration, Chongqing University of Technology Accounting and Trade Department, Chongqing City Management College
国际会议
The 4th Conference on Chinas Economic Operation Risk Management(2010·Shanghai)(第四届中国立信风险管理论坛)
上海
英文
16-22
2010-10-14（万方平台首次上网日期，不代表论文的发表时间）