KR100634336B1 - Foreign Exchange Risk Management System and the Method thereof - Google Patents

Abstract

The present invention relates to a currency risk management method. More specifically, it is a way to manage trading risk by establishing a pooling system by gathering trade association members. The present invention comprises the steps of signing the Internet foreign exchange transaction service agreement between the member company and the operator; Agreement information registration for using IRMS; Accessing the IRMS; Requesting a sale by a member company entering contents such as a transaction amount in order to make a transaction; A transaction information request step of automatically checking through a system DB whether the sale request information desired by the customer in the IRMS is consistent with the previously agreed contents; It includes a transaction information providing step that the system automatically receives the contents from the DB while waiting for the member company within the IRMS, and a transaction transaction step for trading if the transaction requested by the member is reasonable.

According to the present invention, it is possible to customize the exchange management, and interlock the market exchange rate to prevent the real-time currency risk automatic alarm and loss.

Currency risk, foreign exchange trading, hedge trading, internal exchange rate information, pooling system

Description

Foreign Exchange Risk Management System and the Method             

1 is a conventional currency risk analysis system,

2 is a flowchart of the analysis system of FIG.

3 is a system diagram showing the overall transaction flow of the present invention;

4 is a block diagram of an IRMS system of the present invention;

5 is a view showing a risk management method using the IRMS system of FIG.

6 shows a transaction flow by IRMS,

7 is an exemplary embodiment of an automatic position matching system according to the present invention;

8 is an exemplary configuration diagram of position leisure for each member company;
9 is a transaction table including exchange rate information.

<Explanation of Signs of Major Parts of Drawings>

1: Server for external institutions 2: Bank of Korea

3: server for foreign exchange risk analysis 4: server for customers

10: Trade Association 14: Membership Management Interface

16: pooling system 20: IRMS trading system

The present invention relates to a currency risk management method. More specifically, it is a currency risk management method that minimizes foreign exchange losses through internal exchange information provision system (hereinafter referred to as "IRMS") and hedge transactions by establishing a pooling system by gathering trade association members.

Looking at the current state of foreign exchange termination transactions of Korean companies, foreign transaction is shunned due to increased exchange exposure, currency risk, lack of appropriate termination means, and high cost structure of spot exchange, and weakened competitiveness. In particular, foreign currency risks are often opened after borrowings of low interest rates, and only the trading rate is used as a management index for foreign exchange transactions.

In addition, most foreign exchange risks are managed by division, and there is no specialized foreign exchange risk management department, and the authority and responsibility of the person in charge is unclear.

According to the Korean Patent No. 0337654 (Announcement Date: 2002.5.24, Patent Holder: Ji Hojun), which is related to foreign exchange risk analysis, according to the "Exchange Risk Analysis Method and Analysis System for It", the forecast information and the fluctuation range of the exchange rate are as follows. By analyzing the volatility and profitability by various hedging instruments and expected profits and losses and providing them to each company, the technology to select the hedge instruments by deriving the expected exchange profit and loss analysis by leasing management means in real time. 1 is a ring risk analysis system of the patent, and FIG. 2 is a flowchart of the analysis system of FIG.

As illustrated in FIG. 1, an external organization 1 connected online (0n-line) by driving a data management unit and an operation unit under the control of a control unit in the exchange risk analysis server 3 connected to the Bank of Korea server 2. Input information such as foreign currency funds deposit and expenditure from the import and export department (1), marketing department (1) and other departments (1) and send them to the foreign exchange dealer (4), the foreign exchange manager (4) and the chief management officer (4). Provide relevant information.

In addition, the currency risk analysis method shown in FIG. 2 first inputs an ID and password of a company or an individual, reclassifies the daily, monthly and quarterly foreign currency exposure data and selects a net position scenario. A data management step of classifying data without increase or decrease in amount or export or import into data that has been increased and / or decreased by a certain percentage by default, and storing the data in the data management unit. Sensitivity analysis step; Driving the algorithm to perform monthly and quarterly simulation according to an external input; Select the position scenario based on the data of the data management unit to derive the foreign currency exposure amount, and select the time difference to the real currency exchange amount and nominal to the foreign currency exposure amount according to the increase and decrease of the current exchange rate and / or exchange rate A cash flow analysis step of obtaining the won-denominated exchange amount and calculating the nominal won-denominated exchange gains and losses, and the real won-denominated exchange loss; The real currency exchange loss amount is added to calculate the cumulative amount of real currency exchange loss gains, the sensitivity analysis step of storing the result in the data management unit under the control of the control unit and the data under the control of the control unit according to the customer's request It is composed of an information support step of reading the sensitivity analysis result of the exchange risk stored in the management unit and providing information to the monitor or printer and the customer server connected online with the output unit.

However, the above patent does not cover any position of foreign currency assets and liabilities in the position held by the firm other than foreign exchange and hedging transactions, that is, the purchase of dollar for settlement and the sale of dollar for export. Risk analysis using aggregate position measurement and measurement, VaR (Value at Risk), sensitivity analysis, and profit and loss assessment for each company. Decision support system to perform the necessary hedge strategy.

Therefore, the above patent is a front risk concept, which is useful as a risk analysis method that can be used as a sufficient condition that a company can identify an individual position, that is, an exposure, and a hedging strategy and a risk amount. . In other words, the patent does not provide a more effective method of managing foreign exchange risks, but the individual company calculates the information necessary to manage foreign exchange risks applicable to that company, and is necessary for making decisions on specific foreign exchange risk management such as hedge trading. It is a system that supports information.

As a result, even large companies cannot overcome the limitations of individual companies. Moreover, in the case of small and medium-sized companies that are particularly poor at managing foreign exchange risk, their utility is difficult to access in terms of their expertise and the current foreign exchange system. In addition, there are limitations in that it does not give the company a solution to the specific and practical currency risk management method, but merely provides information on the status of foreign exchange risks of individual companies.

The present invention has been made to solve the problems of the prior art, the object of the present invention is to increase the risk of exchange rate fluctuations of all economic subjects in consideration of the need of a foreign exchange risk management system to manage the foreign exchange risk of member companies using the existing infrastructure To provide a system.

Another object of the present invention is to establish a professional company dedicated to foreign exchange risk management in order to minimize foreign exchange losses of member trade associations to build a pooling system of members and operating IRMS to generate profits for the operator, the member company (company) It is intended to provide a way to reduce transaction fees and secure opportunities and instruments for foreign exchange risk management.

In particular, the present invention aims to provide a solution for member companies to manage their risks more conveniently and efficiently.

Exchange risk management system of the present invention for realizing the object of the present invention is an internal exchange rate information system IRMS that performs the exchange risk management system services to manage the exchange risk of the trade association member, marketing to members of the trade association, KITA.NET, a database that provides promotional and prospect information, KTNET, a database that provides trade, customs logistics, and financial information to operators, a membership management interface that connects KITA.NET and KTNET with trade associations, and between banks. It is characterized in that it comprises a payment relay interface for performing the account transfer, electronic authentication service, payment relay.
Terms used to help the understanding of the present invention are defined as follows.
(Iii) Trade association: A national organization that manages the export and import of member companies (corporate). It manages the operation of the exchange management system and manages the entire exchange trading system by connecting the database of related organizations to the network. Say the agency.
(Ii) Operator: FXRM Management Company (FXRM, hereinafter referred to as "Operator") is a dedicated agency that conducts foreign exchange risk management system services of trade association members. Operator computer system includes member management system pooling system, IRMS trading system, member exchange management service and risk management system. The operator operates an internal exchange rate information system (hereinafter referred to as "IRMS") in order to minimize foreign exchange losses of member companies.
(Ⅲ) KTNET
The database of the trade information and communication companies, which are subsidiaries of the trade associations, is called "KTNET". This exchange risk management system has the characteristics to interface trade related information of trade association members.
(Current) KITA.NET
KITA.NET is a trade association information database that provides marketing, promotion, and prospect information to trade association members.
(Iii) Pooling System
As a qualitative element of the present invention, the position is not only for small companies with small import and export scale, but also for medium-sized enterprises with large import and export scales for trade association member companies. It is a member management system that can reduce transaction costs by collecting a certain amount of foreign currency sales for export negotiation).
By using tool called "Vertex Map", you can reduce transaction cost and efficiency by automatically matching various maturity regulations, currency and transaction amount by each company during pooling. In the data flow, exports are recognized as plus (+) concepts and imports as negative (-) concepts based on import and export transactions, and the standard expiration date is traded on a weekly or 10-day basis, on a 15-day basis, or on a monthly basis. Can be set according to the frequency.
Therefore, companies participating in pooling enter each transaction's position into the menu (transaction currency / amount / expiration date / transaction type) in the pooling system, and the entered data is automatically stored in the system and displayed on Vertex Map.
The greater the number of trading companies and the different positions, the greater the effectiveness of the system.
(Iii) Exchange risk management system
Separated from the pooling system, the exchange risk analysis simulation of the exposed positions for trade association members is carried out to analyze the risk of the exchange risk prior to executing the actual termination transaction through the IRMS trading system such as calculating the amount of risk and the appropriate termination ratio caused by exchange rate fluctuations. Say the system.
This is a system that is built in KITA.NET in the form of ASP so that the company's position data can be directly uploaded / downloaded in the form of Excel and used conveniently.
(Iii) IRMS trading system
For each transaction registered through the pooling system, the book keeping position is determined through the position ledger of each member in the IRMS system, the exchange rate is selected in the system. It is a system that enables spot exchange transactions that occur in the second business day from the transaction date as well as forward exchanges in the future thereafter by allowing the designated banks to exchange each other through the account payment system.
In the exchange transaction flow, when a member registers a transaction through the operator pooling system, the position status appears in the position ledger by IRMS customer.
For example, Company A's trading day March 15 Export (+) USD 1,000,000 Due Date April 15, Member's company does not know but internally matches the matching company via Vertex Map (eg) Company B: Business day 3 May 15 Income (-) USD 1,000,000 Expected maturity The process of committing to carry out a futures exchange transaction after one month, which is due on April 15, is due.
(Iii) risk management system
It is a system that monitors the pooled positions as a whole by interfacing with IRMS trading system.The risk management system recognizes the net position (net exposure position-matched remaining position) caused by the trade imbalance between trading companies, and immediately the operator itself. It means a system that enables risk cancellation.
For example, net exposures that cannot be matched with each other due to different amounts of money or due dates are different, and the counterparty is terminated through FX swap or forward exchange, or the operator enters into a trading partner. Role.

On the other hand, the method of managing currency risk using the currency risk management system includes the steps of signing the Internet foreign exchange transaction service agreement between the member company and the operator; The operator registering agreement information on the use of the IRMS with the exchange; The member company accesses the IRMS; Requesting a sale by a member company entering contents such as a transaction amount in order to make a transaction; A transaction information request step of automatically checking through the system DB whether the sales request information desired by the member in the IRMS is consistent with the previously agreed contents; A transaction information providing step of receiving the contents automatically from the database (DB) while the member company waits in the IRMS and recognized by the system; And a trading transaction step in which the transaction is actually performed when the transaction requested by the member is worthy of the agreement.

Hereinafter, embodiments of the present invention will be described in detail with reference to the drawings. 3 is a view for explaining the system of the present invention, Figure 4 is a block diagram of the IRMS trading system of the present invention. 5 is a view for explaining the operation of the system related to the IRMS operation.

As shown in FIG. 3, operators 13 who are in charge of foreign exchange risks for member companies (customers, trading companies) of the trade association 10 (CTW: Cyber Trade World) are KITA.NET 11 and KTNET 12. IRMS 20 is operated by utilizing information on trade, customs clearance, logistics, and finance.

In particular, the operator 13 is in charge of foreign exchange risk management outsourcing of trade associations, and manages customers through customer support and promotion. By establishing a customer-specific database (DB), we receive information on notification / hedge orders, including position generation, spot cash transactions, and provide exchange rate and hedge exchange rate information to customers.

The operator 13 performs a payment relay in connection with a bank, a gift company 5 and a foreign exchange bank 6. The operator connects KTNET 12 for efficient system operation and receives information on trade, customs, logistics, and finance from time to time.

FIG. 4 is a block diagram illustrating the IRMS operating system of FIG. 3. Exchange risk management between member companies and trade associations 10 is connected to the operator 13 through the member management interface 14, and the operator 13 operates the IRMS 20 by establishing a pooling system 16 for member management. To manage currency risk. IRMS 20 is composed of risk management (17, Risk Management), member exchange management service 18, IRMS trading system (19). In this system, it additionally promotes and educate its member companies, and conducts interbank transfers, electronic authentication services, and payment relay through the payment relay interface 15.

FIG. 5 illustrates a process in which an operator 13 operates an IRMS 20 for explaining a method of managing currency risk using the IRMS system of FIG. 4.

The first stage is the conclusion of the Internet foreign exchange transaction service agreement. As a process of signing a trade agreement between an operator and a member company (trading company), it mainly deals with the transaction period, margin, commission rate, dealing amount and limit, and provision of liability.

The second step is the agreement information registration step. The operator registers contract information with the exchange. In this stage, the contents agreed in the contract are computerized to the IRMS system to automatically manage the database. Linked with the exchange, KTNET is an Internet data center. It acts as a repository.

In the third step, the member company logs in to the IRMS. This is a procedure for registering a username and password when a member wishing to trade accesses FXRM's IRMS using the Internet.

The fourth step is a step of requesting a sale, and a member company actually makes a transaction and inputs a transaction amount and the like.

The fifth step is the transaction information request step, which automatically checks through the system DB whether the trading request information desired by the member in the IRMS is consistent with the previously agreed contents.

The sixth step is the transaction information provision step, where the system automatically recognizes the contents from the DB while the customer waits in the IRMS.

The seventh step is a trading step in which a transaction is actually performed when a transaction requested by a member is worthy of the agreement. If the agreement is different, the transaction is automatically canceled.

6 is a diagram illustrating an IRMS transaction flow.

In order for a member to adjust his or her foreign currency position through a forward exchange transaction, the customer may make adjustments to his or her future position, either deterministic or potentially occurring, at this point in time. Members request the operator to inform position generation, hedge orders and spot cash transactions, and the operator provides the member company with exchange rate information and hedge exchange rate information. This simplifies the process and creates an approach solution for futures trading that minimizes cost burden.

An operator makes a cover transaction with a bank or a futures company, where a cover transaction is a hedge against a risk in the event of exposure (net exposure to foreign currency positions). Settlement settlement with foreign exchange bank As KTNET is connected between member companies and operators, it provides smooth and effective support for this project by providing marketing bases such as trade information and status of member companies.

The operator first establishes a pooling system of member companies to identify each position, inputs each member's position to member company's position leisure through IRMS, and the sum of position leisure for each member company is concentrated on the general manager's position leisure. In the real transaction, the total exchange position of each member company, which is aggregated in the total position in the form of long position and short position, automatically meets the requirements such as currency and expiration date required for each member company. According to the exchange rate information, foreign exchange transactions are made from the member banks to the foreign exchange settlement system.

In this way, it is possible to meet the optimal customer demand of one-to-one service while simultaneously optimizing productivity by accumulating the bulk of the transaction.

7 is a diagram illustrating an exemplary embodiment of a position automatic matching system.

When pooling each member's position, due date, due date, payment date, currency, and amount are not properly distributed, and a tool that can solve these problems when they are driven in one direction or different from each other is a position automatic matching system ("Vertex"). Map ").

Here, we look at the pooling technology of member companies. First of all, they are exposed to future currency risks in terms of their effects, and form a pool of customers who are exposed to the currency exchange costs of spot exchanges. It is a technology that eliminates the source of funds, which in itself offsets the supply factor (dollar sale) and demand factor (dollar purchase).

In this way, the difference between the sell / buy quotes arising from the spot exchange transaction due to the maturity mismatch, or "spread," is the "exchange cost-exchange fee" Can reduce social costs, return them to member companies, and eliminate uncertainty in management profits through currency risk hedging to ensure member companies' profits and create social benefits.

Vertex Map is a position automatic matching system, which analyzes the position of each case as shown in the figure on the right as shown in FIG. 8 and collects them on any specific day as shown in the figure on the left to reduce the amount of hedging through source matching, which is an efficient hedge trading technique. .

In other words, after calculating the expected date of payment (nego) according to the import and export at the present time, the position is aggregated by week, month or specific date, and then netting the long / short positions automatically. It is an automatic matching system that allows only exposure (exchange risk-hedge volume / risk amount) to be derived and used along with the hedge cost.

The system can accurately calculate the position by reflecting the exact interest rate difference for each data case when aggregating mismatch parts according to various currencies, various maturity structures, and amounts based on a specific date. This is useful when you have a lot of data per call and case.

8 is a diagram illustrating a configuration example of the position leisure for each member company.

An example of a position ledger by member companies is AAA trading (customer) accounting for USD 27, April 27, 2004.

First, we provide a position ledger (Position Ledger: a system that allows customers to enter a company's position) to enter a trading position for each member company on-line to simultaneously change the market price in real time. In this way, customers can choose their own exchange rate.

According to FIG. 8, the internal exchange rate is quoted based on the weighted average of all the customers' daily positions, and is quoted according to a spread defined as buying and selling. Spread is the exchange fee that is the source of the operator's revenue. The spread is narrower than the transaction threshold of banks, etc., but is appropriately managed for stable operation of the internal exchange rate. If the market exchange rate fluctuates and crosses the stated profit and loss stability line, the internal exchange rate is reconsidered. At this time, the net position (net exposure-risk exposure) is covered (hedged) and a new internal exchange rate is disclosed according to the profit and loss stabilization standard, which is called 1 squaring unit.

As mentioned above, the internal exchange rate is automatically quoted in conjunction with the market exchange rate, and it manages its own risk through inventory, etc. according to a certain profit and loss stability standard.
9 is a transaction table showing exchange rate information, and it is easy to understand exchange rates, internal exchange rates, and market exchange rates by long and short term.

According to the present invention, one-to-one customized management for each member company is possible, and real-time currency risk automatic alarm and loss can be prevented by interlocking market exchange rates through an internal exchange rate notification.

In addition, the position of member companies can eliminate external costs due to the offsetting effect, the spot transaction (hedge transaction) at maturity can reduce the exchange and transaction costs by pooling the member companies.

The present invention can propose a new foreign exchange risk management model, and establish a system for intensively managing foreign exchange risk and identifying mid- to long-term foreign currency exposure.

Claims (6)

In the exchange risk management system, IRMS (20), an internal exchange rate information providing system, which performs exchange risk management system services to manage the exchange risk of member companies, and marketing, promotion, and prospective customer information to members of the trade association (10). KITA.NET (11), a database that provides business information, and KTNET (12), a database that provides trade, customs logistics, and financial information to operators, the Trade Association (10), KITA.NET (11), and KTNET (12). Exchange risk management system, characterized in that it comprises a member management interface (14) for connecting, and a payment relay interface (15) for performing interbank transfers, electronic authentication services, and payment relay. 2. The exchange risk management system according to claim 1, wherein the IRMS (20) comprises risk management (17), member exchange management service (18) and IRMS trading system (19). A method of managing currency risk using the currency risk management system of claim 1, comprising the steps of: entering into an Internet foreign exchange transaction service agreement between a member company and an operator; The operator registering agreement information on the use of the IRMS; A member company accessing the IRMS; Requesting a sale by a member company entering contents such as a transaction amount in order to make a transaction; A transaction information request step of automatically confirming through the system DB whether the sale request information desired by the member in the IRMS matches the previously agreed contents; It is characterized in that it comprises the transaction information providing step that the system automatically receives the contents from the DB while waiting for the member company within the IRMS and the transaction transaction step that the transaction is actually performed if the transaction requested by the member is worthy of the agreement. Risk Management Method. The method of claim 3, wherein the member company uses a pooling system for managing members in the step of accessing the IRMS. The method of claim 3, wherein the trading transaction step uses a vertex map, which is a position automatic matching system. delete

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