CN113159954A - International currency exchange rate risk management method based on time series - Google Patents
International currency exchange rate risk management method based on time series Download PDFInfo
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Abstract
The invention discloses a time-series-based international currency exchange rate risk management method, which specifically comprises the following steps: acquiring a transaction record with large historical exchange rate fluctuation and a transaction record with small historical exchange rate fluctuation; extracting characteristic factors based on the transaction records with large exchange rate fluctuation and the transaction records with small exchange rate fluctuation; carrying out regression analysis on the characteristic variables and searching the internal relation of each variable; establishing an exchange rate fluctuation risk management model by using the relation among the characteristic variables; and controlling transaction risk according to the exchange rate fluctuation risk management model. According to the method, the model can be used for judging whether the current-day exchange rate fluctuation is in the safety interval or not by acquiring the current-day offshore real-time exchange rate and the current-day onshore real-time exchange rate, and the problem that manual adjustment of the transaction basic exchange rate is inconvenient in value in the prior art is solved.
Description
Technical Field
The invention relates to the technical field of information, in particular to a time-series-based international currency exchange rate risk management method.
Background
In the foreign card receipt business mode, the settlement exchange rate of the transaction charged by foreign currency is different from the exchange rate used when the transaction occurs, so that each transaction is exposed to the risk caused by the change of the exchange rate. The transaction risk mainly comes from two factors, currency and time, different currency and time, and different direction and amplitude of exchange rate change. The traditional transaction risk control mode is to set currency floating exchange rate in a management system and manually carry out parametric management, and the traditional transaction risk control mode has the problems of untimely adjustment and inaccurate adjustment amplitude.
Disclosure of Invention
The invention aims to solve the technical problem that the international currency exchange rate risk management method based on the time sequence can judge whether the fluctuation of the exchange rate of the day is in a safety interval by using a model by acquiring the real-time exchange rate of off shore and on shore on the day, thereby solving the problem of inconvenient addition of the exchange rate of the transaction foundation manually in the prior art.
The invention is realized by the following technical scheme: a time-series-based international currency exchange rate risk management method specifically comprises the following steps:
s1, acquiring the transaction records with large historical exchange rate fluctuation and the transaction records with small historical exchange rate fluctuation;
s2, extracting characteristic factors based on the transaction record with large exchange rate fluctuation and the transaction record with small exchange rate fluctuation;
s3, carrying out regression analysis on the characteristic variables and searching the internal relation of each variable;
s4, establishing an exchange rate fluctuation risk management model by using the relation among the characteristic variables;
and S5, performing transaction risk control according to the exchange rate fluctuation risk management model.
As a preferred technical solution, in S1, the historical transaction record includes information: the system comprises an issuer, a transaction currency, a transaction basic exchange rate addition value, transaction time, transaction types, an onshore real-time exchange rate and an offshore real-time exchange rate.
Preferably, in S1, the definition range with large fluctuation is that the absolute value of the fluctuation of the exchange rate is greater than or equal to 0.6%, and the definition range with small fluctuation is that the absolute value of the fluctuation of the exchange rate is less than 0.6%.
As a preferred technical solution, in S2, the extracted feature factors include:
(1-1) respectively extracting fields in the transaction records with large historical exchange rate fluctuation and the transaction records with small historical exchange rate fluctuation;
(1-2) screening out a characteristic variable which can be used as a characteristic factor from fields common to both; setting one or more values in the characteristic variables as characteristic factors;
(1-3) the characteristic variables include: the system comprises an issuer, a transaction currency, a transaction basic exchange rate addition value, transaction time, an onshore exchange rate in the transaction time and an offshore exchange rate in the transaction time.
As a preferred technical solution, in S3, the step of analyzing includes:
(2-1) calculating the correlation between the transaction exchange rate and the daily transaction basic exchange rate, the bank exchange rate in the transaction time and the bank exchange rate in the transaction time, and calculating a correlation coefficient;
(2-2) calculating the correlation between the added value of the transaction exchange rate and the transaction basic exchange rate of the day before the transaction date, the bank exchange rate in the transaction time and the bank exchange rate in the transaction time, and calculating a correlation coefficient;
(2-3) calculating the correlation between the added value of the transaction exchange rate and the one-day transaction basic exchange rate after the transaction date, the shore exchange rate in the transaction time and the shore exchange rate in the transaction time, and calculating a correlation coefficient;
(2-4) comparing the calculation results of the three conditions, and judging the condition with the strongest error correlation through statistics such as R-squared, residual sum of squares, T value and P value and the like;
and (2-5) classifying the data according to different card issuers and different transaction currencies, and repeating the steps to establish the correlation between the transaction exchange rates of the different transaction currencies of the different card issuers and other characteristic variables.
As a preferred technical scheme, in S4, an exchange rate fluctuation risk model is established according to the correlation of characteristic variables, and after the date, the characteristic variable 1 and the characteristic variable 2 are determined, the model can output an expected exchange rate, and when the transaction basic exchange rate of a transaction is lower than the expected exchange rate/the transaction basic exchange rate added value, the transaction will face a greater exchange rate fluctuation risk;
the model formula is as follows: the expected rate is the correlation coefficient 1+ the characteristic variable 1+ the correlation coefficient 2+ C, where C is a constant.
As a preferred technical solution, in S5, the risk control process is as follows:
(3-1) after a transaction is generated, judging an exchange rate fluctuation risk management model applicable to the transaction according to a transaction card issuing mechanism and a transaction currency;
(3-2) judging whether the basic exchange rate to be used by the transaction is in a safety interval given by the model;
(3-3) if the system is in the safety interval, the system completes the transaction by using the basic exchange rate;
and (3-4) if the transaction rate is not in the safety interval, the system adjusts the transaction basic rate addition value for the transaction, so that the final transaction rate is in the safety interval given by the model, and the transaction is completed.
The invention has the beneficial effects that: according to the method, the model can be used for judging whether the current-day exchange rate fluctuation is in the safety interval or not by acquiring the current-day offshore real-time exchange rate and the current-day onshore real-time exchange rate, and the problem that manual adjustment of the transaction basic exchange rate is inconvenient in value in the prior art is solved.
Detailed Description
All of the features disclosed in this specification, or all of the steps in any method or process so disclosed, may be combined in any combination, except combinations of features and/or steps that are mutually exclusive.
The invention relates to a time-series-based international currency exchange rate risk management method, which specifically comprises the following steps: acquiring a transaction record with large historical exchange rate fluctuation and a transaction record with small historical exchange rate fluctuation; extracting characteristic factors based on the transaction records with large exchange rate fluctuation and the transaction records with small exchange rate fluctuation; carrying out regression analysis on the characteristic variables and searching the internal relation of each variable; establishing an exchange rate fluctuation risk management model by using the relation among the characteristic variables; and controlling transaction risk according to the exchange rate fluctuation risk management model.
The historical transaction record includes information such as: the system comprises an issuer, a transaction currency, a transaction basic exchange rate addition value, transaction time, transaction types, an onshore real-time exchange rate and an offshore real-time exchange rate.
The definition range with larger fluctuation is that the absolute value of the fluctuation of the exchange rate is more than or equal to 0.6 percent, and the definition range with smaller fluctuation is that the absolute value of the fluctuation of the exchange rate is less than 0.6 percent.
The extracted feature factors include: respectively extracting fields in the transaction records with large historical exchange rate fluctuation and the transaction records with small historical exchange rate fluctuation; screening out characteristic variables which can be used as characteristic factors from fields shared by the two; setting one or more values in the characteristic variables as characteristic factors; the characteristic variables include: the system comprises an issuer, a transaction currency, a transaction basic exchange rate addition value, transaction time, an onshore exchange rate in the transaction time and an offshore exchange rate in the transaction time.
The step of analyzing comprises: calculating the correlation between the transaction exchange rate and the daily transaction basic exchange rate addition value of the transaction date, the bank exchange rate in the transaction time and the bank exchange rate in the transaction time, and calculating a correlation coefficient; calculating the correlation between the added value of the transaction exchange rate and the transaction basic exchange rate of the day before the transaction date, the bank exchange rate in the transaction time and the bank exchange rate in the transaction time, and calculating a correlation coefficient; calculating the correlation between the transaction exchange rate and the sum of the one-day transaction basic exchange rate after the transaction date, the shore exchange rate in the transaction time and the shore exchange rate in the transaction time, and calculating a correlation coefficient; comparing the calculation results of the three conditions, and judging the condition with the strongest minimum error correlation through statistics such as R-squared, residual sum of squares, T value and P value and the like; and (4) classifying the data according to different card issuing institutions and different transaction currencies, and repeating the steps to establish the correlation between the transaction exchange rates of the different transaction currencies of the different card issuing institutions and other characteristic variables.
Establishing an exchange rate fluctuation risk model according to the correlation of the characteristic variables, wherein after the date, the characteristic variable 1 and the characteristic variable 2 are determined, the model can output an expected exchange rate, and when the transaction basic exchange rate of a transaction is lower than the sum of the expected exchange rate and the transaction basic exchange rate, the transaction is subjected to a larger exchange rate fluctuation risk; the model formula is as follows: the expected rate is the correlation coefficient 1+ the characteristic variable 1+ the correlation coefficient 2+ C, where C is a constant.
The risk control process is as follows: after a transaction is generated, judging an exchange rate fluctuation risk management model applicable to the transaction according to a transaction card issuing mechanism and a transaction currency; judging whether the basic exchange rate to be used by the transaction is in a safety interval given by the model or not; if the transaction is in the safe interval, the system uses the basic exchange rate to complete the transaction; if the transaction rate is not in the safety interval, the system adjusts the transaction basic exchange rate for the transaction and adds the value to the transaction basic exchange rate, so that the final transaction exchange rate is in the safety interval given by the model, and the transaction is completed.
The specific embodiment of the invention is as follows:
(1) after a transaction is generated, judging an exchange rate fluctuation risk management model applicable to the transaction according to a transaction card issuing mechanism and a transaction currency;
(2) judging whether the basic exchange rate to be used by the transaction is in a safety interval given by the model or not;
(3) if the transaction is in the safe interval, the system uses the basic exchange rate to complete the transaction;
(4) if the transaction rate is not in the safety interval, the system adjusts the transaction basic exchange rate to the transaction and adds the value, so that the final transaction exchange rate is in the safety interval given by the model, and the transaction is finished.
The invention has the beneficial effects that: according to the invention, by acquiring the current offshore real-time exchange rate and the current case real-time exchange rate, whether the current day exchange rate fluctuation is in a safe interval can be judged by using the model, and the problem that the value added by manually adjusting the transaction basic exchange rate is inconvenient in the prior art is solved.
The above description is only an embodiment of the present invention, but the scope of the present invention is not limited thereto, and any changes or substitutions that are not thought of through the inventive work should be included in the scope of the present invention. Therefore, the protection scope of the present invention shall be subject to the protection scope defined by the claims.
Claims (7)
1. A time-series-based international currency exchange rate risk management method is characterized by specifically comprising the following steps:
s1, acquiring the transaction records with large historical exchange rate fluctuation and the transaction records with small historical exchange rate fluctuation;
s2, extracting characteristic factors based on the transaction record with large exchange rate fluctuation and the transaction record with small exchange rate fluctuation;
s3, carrying out regression analysis on the characteristic variables and searching the internal relation of each variable;
s4, establishing an exchange rate fluctuation risk management model by using the relation among the characteristic variables;
and S5, performing transaction risk control according to the exchange rate fluctuation risk management model.
2. The time-series based international currency exchange rate risk management method of claim 1, wherein: in S1, the historical transaction record includes information of: the system comprises an issuer, a transaction currency, a transaction basic exchange rate addition value, transaction time, transaction types, an onshore real-time exchange rate and an offshore real-time exchange rate.
3. The time-series based international currency exchange rate risk management method of claim 1, wherein: in S1, the definition range in which the fluctuation is large is that the absolute value of the fluctuation of the exchange rate is 0.6% or more, and the definition range in which the fluctuation is small is that the absolute value of the fluctuation of the exchange rate is less than 0.6%.
4. The time-series based international currency exchange rate risk management method of claim 1, wherein: in S2, the extracted feature factors include:
(1-1) respectively extracting fields in the transaction records with large historical exchange rate fluctuation and the transaction records with small historical exchange rate fluctuation;
(1-2) screening out a characteristic variable which can be used as a characteristic factor from fields common to both; setting one or more values in the characteristic variables as characteristic factors;
(1-3) the characteristic variables include: the system comprises an issuer, a transaction currency, a transaction basic exchange rate addition value, transaction time, an onshore exchange rate in the transaction time and an offshore exchange rate in the transaction time.
5. The time-series based international currency exchange rate risk management method of claim 1, wherein: in S3, the step of analyzing includes:
(2-1) calculating the correlation between the transaction exchange rate and the daily transaction basic exchange rate, the bank exchange rate in the transaction time and the bank exchange rate in the transaction time, and calculating a correlation coefficient;
(2-2) calculating the correlation between the added value of the transaction exchange rate and the transaction basic exchange rate of the day before the transaction date, the bank exchange rate in the transaction time and the bank exchange rate in the transaction time, and calculating a correlation coefficient;
(2-3) calculating the correlation between the added value of the transaction exchange rate and the one-day transaction basic exchange rate after the transaction date, the shore exchange rate in the transaction time and the shore exchange rate in the transaction time, and calculating a correlation coefficient;
(2-4) comparing the calculation results of the three conditions, and judging the condition with the strongest error correlation through statistics such as R-squared, residual sum of squares, T value and P value and the like;
and (2-5) classifying the data according to different card issuers and different transaction currencies, and repeating the steps to establish the correlation between the transaction exchange rates of the different transaction currencies of the different card issuers and other characteristic variables.
6. The time-series based international currency exchange rate risk management method of claim 1, wherein: in S4, establishing a rate fluctuation risk model according to the correlation of the characteristic variables, wherein after the date, the characteristic variable 1 and the characteristic variable 2 are determined, the model can output an expected rate, and when the transaction basic rate of a transaction is lower than the expected rate/the transaction basic rate added value, the transaction is subjected to a larger rate fluctuation risk;
the model formula is as follows: the expected rate is the correlation coefficient 1+ the characteristic variable 1+ the correlation coefficient 2+ C, where C is a constant.
7. The time-series based international currency exchange rate risk management method of claim 1, wherein: in S5, the risk control process is as follows:
(3-1) after a transaction is generated, judging an exchange rate fluctuation risk management model applicable to the transaction according to a transaction card issuing mechanism and a transaction currency;
(3-2) judging whether the basic exchange rate to be used by the transaction is in a safety interval given by the model;
(3-3) if the system is in the safety interval, the system completes the transaction by using the basic exchange rate;
and (3-4) if the transaction rate is not in the safety interval, the system adjusts the transaction basic rate addition value for the transaction, so that the final transaction rate is in the safety interval given by the model, and the transaction is completed.
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| CN114266572A (en) * | 2021-12-23 | 2022-04-01 | 百果园技术(新加坡)有限公司 | Collection method, collection device, collection equipment and collection equipment of exchange rate data |
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| CN114266572A (en) * | 2021-12-23 | 2022-04-01 | 百果园技术(新加坡)有限公司 | Collection method, collection device, collection equipment and collection equipment of exchange rate data |
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Application publication date: 20210723 |