Explore the Application of Financial Engineering in the Management of Exchange Rate Risk

Transcription

1 SHS Web o Conerence 17, (015) DOI: / hcon/ C Owned by he auhor, publihed by EDP Science, 015 Explore he Applicaion o Financial Engineering in he Managemen o Exchange Rae Rik Liu Yang School o Economic SCUEC, Wuhan, , Hubei, China Abrac. In he background where he domeic enerprie commonly have a weak proecion concioune again he exchange rae rik, hi aricle make a deep analyi baed on he deiniion o exchange rae rik and i caue. By comparion o he radiional managemen mehod o exchange rae rik wih anoher one baed on inancial engineering ool, i alo deeply analyze he mehod o ue he inancial engineering echnology in he managemen o exchange rae rik, and conclude he primary purpoe o exchange rae rik managemen i or hedging. Thi aricle propoe an opimal analyi mehod in wo apec, namely he minimum rik and maximum eiciency, or he orward-baed opimal hedging, and propoe an opimal analyi mehod o dynamic hedging or he opimal hedging o opion-baed ool. Baed on he decripion o he applicaion o inancial ool in oreign exchange uure, orward conrac, currency exchange and oreign exchange opion, i make an empirical analyi on he managemen o oreign exchange rik by aking an aumed T company a he carrier and baed on he rading ool o orward oreign exchange and currency opion, which decribe he operaion procedure o inancial ool in a more direc way and prove he eiciency o he opimal analyi mehod o hi aricle. Keyword. inancial ool; exchange rae rik; uure-baed ool; opion-baed ool; hedging 1 Inroducion In April 013, here a rong urbulence in he global exchange rae marke due o he releae o double eaing policy announced by Japan, which wa happening in he background where Chinee currency upply exceeded 10 billion or he ir ime. Thi hock had a cerain eec on Chinee expor ju aring o improve [1]. The lucuaion o exchange rae o RMB i aeced mainly by he marke, o he exchange rae rik our Chinee oreign rade enerprie ace will gradually reveal. Thereore, i i very neceary o explore he managemen o exchange rae rik. Xie Fei, e al. (011) aid he curren exchange rae rik our Chinee inancial iniuion ace i conirmed, and he exchange rae rik ha become he main conen o modern rik managemen in he heoreical ield []. In he early age, a oreign cholar named Michael Adler (1983) hough he exchange rae rik i a eniivene o he acual domeic currency value o ae liabiliy or buine income o he unanicipaed change o exchange rae [3] ; Then a ypical oreign cholar named Michel Crouhy, e al. (001) hough he exchange rae rik i induced by he non- Aricle available a hp:// or hp://dx.doi.org/ /hcon/

2 SHS Web o Conerence ynchrony beween he change o exchange rae and he lucuaion o inernaional inere rae, and he oreign exchange rik coni in an open or incomplee hedging open [4]. Thee oreign cholar mainly made he reearch on he relaion o exchange rae change and inere rae lucuaion. A domeic cholar named Ling Tian (004) deined he exchange rae rik a a poibiliy ha he commercial bank uer a lo due o he change o exchange rae and i expeced proi i hard o be achieved [5]. The deiniion o exchange rae rik given by Ling Tian indicae he commercial bank may uer a lo due o holding an advere change o curren exchange rae when i hold an open poiion o a cerain ype o oreign exchange in he orm o po exchange, orward or boh, o hi deiniion abou he exchange rae rik given by he cholar i recognized by oher domeic cholar. The value meauremen and conrol o exchange rae rik i baed on he analyi on he caue o exchange rae rik. Shelagh Heeman (1996) poined ha he mimach o currency and erm i a baic eaure or banking buine. The bank will ace exchange rae rik i he change o exchange rae doen comply wih he expeced rend [6]. And he urher noed ha in a oreign exchange marke, he value o oreign currency will be varied wih he inere rae o oreign currency, inere rae o domeic currency and po inere rae. Huali Huang (00) aid he acor aecing he change o exchange rae mainly include inernaional balance, inere rae change, inlaion, exchange rae policy, marke expecaion and hock [7]. Mo o he domeic cholar agree wih he opinion o Huali Huang. The common mehod or quaniaive reearch on he managemen o exchange rae rik include analyi mehod or he open o exchange rae rik [8], VaR [9], CVaR [10] and exreme value heory [11]. There are ew reearch on he open o oreign exchange, bu he ne open o oreign exchange calculaed by hi mehod i cloer o he acual open o oreign exchange. A or he calculaion o VaR, many cholar have made reearche: Yanjun Yang (005) inroduced GARCH model ino VaR mehod o meaure he marke rik and meaured he copper and aluminum conrac in Shanghai uure exchange [1] ; Yi Zhang (007) made an empirical reearch on he Dela normal diribuion mehod and hiorical imulaion mehod in VaR model [13] ; Bo Zhong and Qingong Wang (007) olved he Baye eimaion o he parameer by a aiical calculaion mehod named MCMC algorihm and go he inancial rik value VaR, which migh help he inveor o adju he VaR model by he oberved daa and he experience inormaion hey ge o make he deciion more eicien [14]. Xiaoxing Liu and Guihua Qiu (010) ued he Copula, a uncion wih dependency rucure, and he exreme value heory (EVT) o conruc an La-Copula-EVT rik value model o adju he liquidiy o Chinee ock marke, and made an empirical analyi on he high-requency daa o CSI income erie, hen poined ha he ail o income erie in Chinee CSI ock marke had a high correlaion [15]. A or he economic yem o a huge oreign exchange rik, uing he inancial engineering o manage he oreign exchange rik i o judge he inancial iuaion, conirm he inancial goal we expec o achieve, and elec a proper inancial ool o realize he conirmed inancial goal. Baed on previou reearche, hi aricle decribe he advanage o uing he inancial engineering mehod o manage he exchange rae rik, dicue he mehod o apply he inancial ool in uure, orward, exchange and opion, and analyze he eiciency o opimal analyi o uurebaed and opion-baed ool in mechanim and heory, expecing o provide a heoreical bai or he managemen o Chinee exchange rae rik. Deiniion o inancial engineering and i advanage in he managemen o exchange rae rik The inancial engineering incorporae he baic principle o economic, cience o inance and cience o invemen, and alo inroduce he heory and mehod o muliple dicipline uch a operaional reearch, phyic and geneic, a hown in Figure 1, he chemaic diagram o inancial engineering iner-dicipline p.

3 ICMETM 015 Figure 1. Schemaic diagram o inancial engineering iner-dicipline There are wo concep or inancial engineering, repecively in broad and narrow ene, and he ormer mean o ue advanced mahemaical and communicaion ool o conduc dieren orm o combinaion and diviion baed on variou exiing baic inancial produc in order o deign a new inancial produc ha mee he demand o clien and ha a cerain P/L propery; The laer mean o ue all he engineering-oriened mehod o deal wih he echnical developmen o inancial problem. There are many opinion abou he deiniion o inancial engineering. An American inancier John innery hough he inancial engineering i a dicipline ha include he deign, developmen, implemenaion o innovaive inancial ool and inancial mehod, a well a olving he inancial problem and uing variou inancial ool o olve variou inancial and buine problem in an innovaive way [16]. Thi aricle irmly agree wih he deiniion given by John innery. The key o inancial engineering i o develop and deign a new inancial produc or buine, and i main purpoe i o improve he eiciency. When he inancial engineering ace oreign exchange rik, here are wo goal or he managemen, including replacing he rik wih cerainy, and replacing he unavorable rik wih avorable rik. To achieve he above goal, he orward oreign exchange rading and currency opion rading are he main ool or reoluion o he problem. Thi aricle divide he inancial ool ino wo ype, namely uure-baed ool and opionbaed ool. The uure-baed ool include radiional marke ool (complee orward, orward opion and exchange), comprehenive conrac o orward oreign exchange, oreign exchange uure, ec., and he baic principle o uing hee ool o manage he exchange rae rik i o conirm he level o a rik by a ixed price in order o realize he goal o rik marke, which may avoid he rik due o he advere change o exchange rae, bu meanwhile give up he proi due o he poiive change o exchange rae; he opion-baed ool reer o he oreign exchange opion and he produc derived rom baic opion. The baic principle o uing non-ymmerical ool o manage he exchange rae rik i o lexibly deermine wheher o implemen he opion according o he deailed condiion o he lucuaion o oreign exchange marke. There no poin in prevening he exchange rae rik aer he even, and i he elecion i improper, he non-hedging and orward mehod may alo produce he wor reul. So he opion deiniely will no bring he wor reul hough i canno induce he be reul or he cuomer. The radiional mehod o manage he exchange rae rik mainly include ae liabiliy managemen, inurance and porolio invemen [17]. The diadvanage o uing ae liabiliy managemen o manage he exchange rae rik include huge ae conumpion, high ranacion co, credibiliy rik and ime lag in adjumen; The diadvanage o uing inurance o manage he exchange rae rik include he moral rik and advere elecion conanly exiing in he eicien operaion o inurance marke. Furhermore, he inurable rik ha a rigor elecing condiion; The diadvanage o uing porolio invemen o manage he exchange rae rik include he deec in he model iel and he ac ha a ingle porolio invemen heory canno avoid he yemaic rik bu o eicienly reduce he non-yemaic rik. Ying Cao alo indicaed he inancial engineering include company inance, inancial ranacion, invemen and oher p.3

4 SHS Web o Conerence advanced managemen and rik managemen, among which he rik managemen i conidered a he mo imporan conen in he inancial engineering [17]. The inancial engineering heory i developed around he rik managemen, and i ha an obviou advanage compared o he radiional mehod o manage he exchange rae rik, including he accuracy, imeline, (rik avoidance by derivaive ool), co (lever propery o derivaive ranacion) and lexibiliy (poiion o derivaive ranacion). The main reaon or hoe advanage lie in he problem ha can be olved by he heoreical yem o inancial engineering heory. The arbirage heory ucceully ue he principle arbirage balance wihou rik o decribe he inner mechanim o balance he ecuriie price baed on he heory o price eimaion, porolio and ae pricing. And he opion pricing heory ucceully realize he pricing or derivaive produc, which deepen he analyi on he relaion beween he rik and proi. 3 Opimal analyi on he managemen o exchange rae rik baed on inancial engineering In he perpecive o rik minimizaion, he ranacion beween he cah and uure marke may be conidered a a porolio, and he be hedging raio can be conirmed under he condiion o rik minimizaion. Auming here a hedger elling i hedging a i hold a oreign exchange poiion, he yield R h in hi hedging period may be calculaed wih Formula (1). Rh P P1 Q F F1 Q (1) In Formula (1), P,P 1 reer o repecively he cah price a he beginning and he end o he period; F,F 1 reer o repecively he uure price a he beginning and he end o he period; Q, Q reer o he rading volume o he hedger repecively in po and uure marke. Depie he ranacion co, he P, F 1 1 and Q, Q a he beginning o he period have been conirmed, and P i a random variable, which make R h an anoher random variable. The expeced,f yield i repreened by mahemaical expecaion E R h, he rik by he variance VAR R h. From (1), we may ge he expreion o VAR R h hown in Formula (). VARR Q VARP Q VARF Q Q covp, F () h To minimize he rik, he ir-order derivaive o VAR o Q mu be 0, and hen, a hedging number in minimum variance will be go, a hown in Formula (3). covp F Q, Q VAR F (3) By Formula (3), we may ue he currenly held poiion R h Q o deermine he number Q o hedging poiion wih he minimum rik. Conidering he maximum eiciency, he uiliy uncion may be ued o repreen he peronal preerence o inveor or he invemen reul. Provided a producive operaor holding he ae o W in momen hedge wih he uure conrac, and he hedging rae i h, and we may ue Formula (4) o repreen he ae W 1 in 1 momen aer he hedging. W 1 W 1 R h R (4) p.4

5 ICMETM 015 The R, R in Formula (4) repreen he yield produced by uing he uni ae o hold he po and long uure repecively in ~ 1 period, and hey are boh random variable. So, or a hedger holding a uiliy uncion wih U W, he opimal hedging rae i he maximum expecaion uiliy aer hedging, a hown in Formula (5). max E U W 1 max U W 1 R h R dp (5) hu hu The Formula (6) may be go due o he deiniion o covariance and he ac ha i ir-order derivaive i 0 and he hypohei R, R complie wih he normal diribuion. cov1 R h R, R E U u ER R 0 W E U (6) The hedging raio h u wih maximum expecaion uiliy hown in Formula (7) may be go hrough Formula (6). h u R cov, R var R E var R E U R W EU The be hedging rae analyzed in he perpecive o minimum rik and maximum uiliy are all applicable or he uure-baed conrac law, while he opion-baed conrac law wih nonlinear yield i no applicable. And he mehod o compenae or he aic hedging i o implemen he dynamic hedging. Thi aricle ue dela o repreen he raio o price change o opion o he change o i arge ae price. And he accurae value o dela i generally calculaed by Black-Schole ormula hown in Formula (8). rt d Xe Nd qt C0 S0e N 1 ln S0 ln x r R T (8) d 1 T d d1 T In Formula (8), he C 0 repreen he call opion co, S 0 he curren ock price, (7) N d he probabiliy o d in he andard normal diribuion, X acual purchae price, r inere rae wihou rik, T due ime o opion, andard deviaion o annual yield rae due o coninuou compounding o ock, R inere rae o oreign currency wihou rik, and q he dividend rae. Then, he value dela o European-yle call and pu opion or dividend paymen i a hown in Formula (9). d1 N d qt dela up e N qt (9) dela down e 1 1 In he hedging o he opion dela, people will eablih i poiion o hedging according o he dela o he opion, and adju he par o hedging wih he change o dela. The abolue value o dela may be ued o conirm he hedging raio in order o deermine he bai on which he number o opion conrac i required or hedging. The principle o deerminaion i ha he hedging raio hall be equal o he muliplicaive invere o abolue value dela o hi opion o a o realize he complee hedging. In he acual applicaion, he hedger hall calculae he dela or muliple ime, which may be a calculaed by compuer, and manage he currenly expoed poiion o oreign exchange rik p.5

6 SHS Web o Conerence according o he acually calculaed reul o ha he hedging purpoe will be well realized. The horer ime inerval or each ime o change or he opion poiion, he beer eec o hedging will be. Generally conidering he ranacion co, we may have a good eec o hedging imply by keeping he change requency o dela hedging in a cerain degree. 4 Mehod o manage he exchange rae rik baed on inancial engineering and he empirical analyi 4.1 Mehod o manage he exchange rae rik baed on inancial engineering The inancial engineering echnology i mainly applie in hedging, peculaion, arbirage and porolio [18], while he inancial engineering ool or he managemen o exchange rae rik are mainly ued in uure, orward, exchange and opion. Thi chaper ocue on he above 4 ool o analyze he mehod o manage he exchange rae rik baed on inancial engineering. The oreign exchange uure i a common ool or hedging, which can be divided ino baic raegy o direc hedging and cro hedging. The baic raegy o direc hedging can be divided ino long and hor hedging, and hey are operaion revere o each oher. The long hedging i applicable o a cae where you purchae a oreign exchange in he uure bu are araid o uering lo due o he rie o oreign exchange rae. However, when people need o ue he oreign exchange uure o manage he oreign exchange rik hey are aced wih, and here no proper or available uure conrac or hedging in he oreign exchange uure marke, he people hall avoid he oreign exchange rik by he more complex cro hedging. In he cro hedging o oreign exchange uure, he hedger will ue he domeic and oreign currency which are calculaed by a hird ype o currency and ued in he ranacion o uure conrac. People may purchae he domeic currency uure and ell he oreign currency uure, or purchae he oreign currency uure and ell he domeic currency uure, o realize he cro hedging o avoid he rik o depreciaion and appreciaion o oreign currency. A a hedging ool, he orward conrac i an eicien complemen or he oreign exchange uure. I' no andardized, and he cuomer may inally cuomize he orward conrac o mee heir pecial requiremen. In all he orward marke, he orward currency i he mo developed. Currency exchange generally reer o he exchange o ae or liabiliie wih he ame inere-bearing mehod bu dieren currency. I i mainly produced o olve he diiculy in he limiaion o marke cale, cloe he poiion o variou currencie, make ull ue o he relaive advanage and avoid he exchange rae rik. The baic procedure o indirec currency exchange include he exchange o early-age principal, period inere and ending principal. The Figure how he baic procedure o indirec currency exchange or he currency exchange yem compoed o European dollar Marke (EDM), A Company (AC), Inermediary bank (IB), B Company (BC) and European mark Marke (EMM). In hi igure, MI reer o Mark Inere, and DI reer o Dollar Inere. A hown in Figure, A and B Company, a well a he inermediary bank, have obained he exchange benei. For he inermediary bank, i ha obained 0 baic poin o pread income, bu or A and B Company, hey have go he double benei ha reduce heir inancing co and avoid he exchange rae rik. The oreign exchange opion i a new hedging ool produced and developed o mee he requiremen o inancial rik managemen. The hedging o oreign exchange opion i no o ix he price omeime in he uure o a cerain level, bu o conrol he price change direcion o wha i good o u. In he pracical hedging aciviy, he hedging can be divided ino direc and cro hedging according o he dieren relaion o hedging ool and hedging objecive. According o he dieren opion par eablihed by he inveor, he hedging o oreign exchange opion can be divided ino our baic raegie, namely purchaing he call opion, elling he call opion, purchaing he pu opion and elling he pu opion. In he pracical hedging aciviy, when an p.6

7 ICMETM 015 inveor hedge a inancial ool and here' no oreign exchange opion ha ake hi currency a he arge in he marke, or here an opion conrac ha canno be ued by he inveor a a hedging ool, hey will carry ou he hedging or hi currency hrough anoher currency opion conrac. Thi i called he cro hedging o currency opion. The inancial ool able o provide he above managemen mehod include orward oreign exchange ranacion and currency opion ranacion. Figure. Baic procedure o indirec currency exchange 4. Empirical analyi To make a direc analyi on he operaion mehod or wo inancial ool, he orward oreign exchange ranacion and currency opion ranacion, hi aricle ake he aumed T company cae a a carrier o make an empirical analyi, a hown in Table 1. Table 1. Schedule o daa abou he cae o oreign exchange rik in T Company Projec number Conen Daa 1 Dae o purchaing he good Company' aving o USD in China Bank in ,000 USD 3 Company' aving o AUD in China Bank in ,000 AUD 4 Company' aving o RMB in China Bank in ,000 yuan 5 Cloing price o exchange rae o USD o AUD in US $ =1.0550AU$ 6 3-monh orward exchange rae o AUD in US$=1.0574AU$ 7 Dae o lump-um paymen peciied by he conrac 9/6/013 8 Amoun o lump-um paymen peciied by he conrac US $ 100,000 9 Toal amoun o he company' payable rom o ,000 ; US $ 100, Toal amoun o he company' receivable during ~ ,000 I uing he orward oreign exchange ool o manage he exchange rae rik or hi company, he acual operaion will be a ollow: STEP1. Predic he exchange rae rend or he relevan currency: I he predicion i he exchange rae o dollar will be declined in 3 monh, he company i no neceary o ake meaure. Bu i he exchange rae i prediced o rie, and he nex ep hall be aken p.7

8 SHS Web o Conerence STEP. The company hall ign an agreemen wih local China Bank according o he orward exchange rae in he projec number 7, purchae 100,000 USD, and pay AUD. Through he above ep, he company ixe he exchange rae o USD o AUD in a cerain level, 1US$ = AU$, by orward oreign exchange ranacion. 3 monh laer, i he exchange rae o USD o AUD exceed ha value, he company will uer a lo in he paymen, bu make proi in he orward oreign exchange conrac, and avoid he rik o ome exen. Bu i he exchange rae o USD o AUD i le han ha value in , hi company will loe he opporuniy o make proi. I uing he currency opion ool o manage he exchange rae rik or hi company, and he opion daa o USD o AUD in , a well a he cah oulow rom purchaing he pu opion, i a hown in Table, he acual opion will be a ollow: Table. Opion daa and he cah oulow rom purchaing he pu opion Delivery price Abrac o opion daa Cah oulow rom purchaing he pu opion Call opion Pu opion Opion ee Cah oulow (AUD) STEP1. The company elec o purchae he call opion o dollar, and i ha a righ o purchae a cerain amoun o dollar according o a peciic price. The Table how he opion wih implemenaion price AUD/USD provide he be proecion, and ha he highe he opion ee. STEP. I he company elec he call opion wih he lea cah oulow or ranacion, he opion wih implemenaion price AUD / USD will be a good choice. The comparion o relevan daa or hoe wo inancial ool i a hown in Table 3: Table 3. Schedule o comparion o relevan daa due o he managemen o wo inancial ool Type Cah oulow in 3 monh Proecion cope Co Forward ool Forward oreign exchange ranacion 105,740 (AUD) / Opion ool Purchae he call opion 108,830 (AUD) From he reul o uing above wo inancial ool o manage he exchange rae rik or T Company, i can be ound ha uing he orward oreign exchange ranacion co lile wihou paying depoi, bu i ha no cope o ecuriy. While here a cerain cope o ecuriy when uing he mehod o purchaing call opion, bu he opion ee hall be paid, and he co are high. The core o hoe wo inancial ool ha deal wih he oreign exchange rik i hedging, and i i key or he oreign rade enerprie and ome economic eniie o eicienly ue he inancial engineering concep o reaonably elec one or more inancial ool when acing a pecial and ineviable rik, which direcly deermine wheher a deciion maker i able o avoid he ixed rik or he enerprie. 5 Concluion Thi aricle provide a brie decripion abou he deiniion o inancial engineering, heoreically analyze he opion analyi mehod or he inancial ool o uure-baed conrac law and opion-baed conrac law baed on he advanage o inancial engineering in he managemen o exchange rae rik, and prove he reaonablene and eiciency o ha heoreical analyi in an empirical perpecive. Thi aricle draw he ollowing concluion in he reearch proce: p.8

9 ICMETM 015 (1) The inancial ool can be divided ino uure-baed ool and opion-baed ool. The guideline o applying he uure-baed ool i o avoid he rik and improve he uiliy. The guideline o applying he opion-baed ool i o lexibly deermine wheher o implemen he opion according o he dynamic proce. () The opimal analyi on he applicaion o uure-baed ool in he managemen o exchange rae rik hall be made in rik-minimum and uiliy-maximum perpecive. The key or he ormer analyi i o deermine he number o hedging poiion wih minimum rik, and he laer i o calculae he hedging raio o maximum expecaion uiliy. (3) The opimal analyi on he applicaion o uure-baed ool in he managemen o exchange rae rik i undamenally a dynamic opimizaion proce, and i purpoe i o deermine he call opion and pu opion in he hore ime and purchae a reaonable call opion baed on qualiaive analyi in order o ake he be rik avoidance meaure. (4) The empirical analyi on he managemen o exchange rae rik or he aumed T Company may provide a clear image o uing inancial ool o manage he exchange rae rik or he enerprie, and alo oer a heoreical guidance or he deciion maker in he enerprie o inalize deciion. Reerence 1. Tian, Y. Decripion o How he Financial Engineering Manage and Avoid he Rik o Foreign Exchange Analyi on Two Ueul Tool or Financial Engineering o Manage he Foreign Exchange Rik [J]. Journal o Jilin Teacher Iniue o Engineering and Technology.. Xie, F., Zhang, J., Song, L., Summary o Exchange Rae Rik Managemen [J]. Journal o Chongqing Univeriy o Technology 011, 5(9): Michael Adler, Bernard Duma. Expoure o Currency Rik: Deiniion and Meauremen [J]. Financial Managemen. 1983, 5(3): Michel Crouhy, Dan Galai, Rober Mark. Rik Managemen [M]. [S.1]: McGraw-Hall Companie Tian, L. Reearch on Rik Managemen in German Commercial Bank [M]. Beijing: Science Pre Shelagh Heeman. Modern Banking in Theory and Pracice [J]. New York: John Wile & Son. 1996: Huang, H.L. Managemen o he Rik o Inere Rae and Exchange Rae in Commercial Bank [M]. Shanghai: Tongji Univeriy Pre Levonian, Soller J. Small loan, mall buine [J]. Mimeo. Federal Reerve Bank o San Francico. 1994(1): Jorion, P. Value a rik [M]. New York: McGraw-Hill Rockaellar R, Tyrrell S. Operaional O Condiional Value-a-Rik [J]. Journal o Rik. 000(3): Lingin. The aympoic diribuion o exreme ock marke reurn [J]. Journal o Buine. 1996(69)3: Yang, Y.J., Wang. Y.F. Deign o Trading Guaranee in Fuure Marke [J]. Saiic and Deciion. 005(1): Zhang, Y. Reearch on he Applicaion o VaR in he Aemen o Exchange Rae Rik in he Commercial Bank [D]. Shanghai: Tongji Univeriy, Zhong, B, Wang, Q.S. Value o Financial Rik Baed on Baye Eimaion VaR Calculaion [J]. Mahemaical Saiic and Managemen. 007(5): Liu, X.X., Qiu, G.H. Reearch on VaR and ES in he Adjumen o Chinee Sock Marke Liquidiy Baed on Copula-EVT Model [J]. Mahemaical Saiic and Managemen. 010(1): p.9

10 SHS Web o Conerence 16. Xu. Y. Reearch on he Correlaion o Financial Engineering and Financial Eiciency [J]. Conemporary Economy. 01.1(9): Cao, Y., On he Financial Engineering and Managemen o Exchange Rae Rik [J]. Modern Indury o Commerce and Trade (5): Li, X. Reearch on he Applicaion o Financial Engineering in he Managemen o Exchange Rae Rik [D] Hunan: Hunan Normal Univeriy p.10