Foreign exchange risk analysis method and its analysis system

摘要

The present invention is a server for external institutions such as import and export department, marketing department, other departments that provide information on foreign currency funds such as import and export amount, foreign currency borrowings, foreign currency loans, currency type, settlement date, contract exchange rate, current exchange rate, expected exchange rate, The server for the Bank of Korea, which provides information on interest rates, phase conversion rates, currency base rates, news, etc., and the foreign currency exposure to foreign currency risks by receiving various information provided from the servers for the external institutions and the servers for the Bank of Korea. Maximum hedging and cash flow by hedging instruments such as sensitivity, open, forward, swap, future, and option Exchange risk analysis server that analyzes liquidity (VAR), etc. through estimation of possible losses and provides information such as volatility, profitability, stability and liquidity of currency risk from server for risk analysis It consists of server for clients such as foreign exchange dealer, foreign exchange fund manager, and chief management officer who analyze foreign exchange risk policy, foreign exchange transaction and settlement, foreign exchange transactions such as spot and futures exchange, trading exchange profit and loss, daily transaction, and market information. have.;According to the present invention, it is possible to analyze the expected exchange rate gains and losses by means of risk management means by analyzing objective forecasting information on uncertainty of exchange rate fluctuations, volatility according to fluctuation of exchange rate, and profitability by expected profit and loss by various hedging means. It is easy to derive and select the best hedge means.