KR20010000786A - Foreign exchange risk analysis method and its analysis system - Google Patents

Abstract

PURPOSE: An exchange risk analysis system and method is provided to offer companies estimated data on uncertain exchange rate variation, and profitability according to various hedge tool simulations so that it can easily extract a foreign exchange loss and profit analysis. CONSTITUTION: An exchange risk analysis system comprises an external organization server, a Korea Bank server, an exchange risk analysis server(30) and a customer server(40). The exchange risk analysis server(30) includes a data manager(31), a processor(32), a controller(33), an analyser(34) and an output module(35). The data manager(31) receives data on foreign currency from the external organization server, and data on foreign exchange rate from the Korea Bank server. The processor(32) adjusts a position based on the data stored in the data manager(31). The analyser(34) analyses a sensitivity, an openness, a forward, a swap, a future, an option, a cash flow or a VAR on a variation of the foreign exchange rate. The output module(35) converts the analysed result into a set type, and transmits the converted analysis data to the customer server(40). The controller(33) controls an overall operation of the analysis system.

Description

Foreign exchange risk analysis method and its analysis system

The present invention relates to an exchange risk analysis method and an analysis system therefor, and more particularly, by currency associated with a foreign exchange transaction of a company in connection with a company's sales, purchase, sales, and money management systems. Analyzes the sensitivity and net profitability of the net position, which is the difference between foreign currency deposits and foreign currency expenditures exposed in the event of future currency risks. This study relates to currency risk analysis method and analysis system that can support decision making to select hedge transaction and appropriate hedge means based on analysis, cash flow analysis and VAR analysis. .

As the world is formed into one economic zone, the full liberalization of the foreign exchange market is accelerating, increasing the uncertainty of the foreign exchange market. In addition, the proportion of foreign capital in the financial market is increasing to more than 30% and the dependence of foreign companies on imports of raw materials and components is increasing. There is a lack of support. In addition, due to the lack of management and control of the exchange risks of the chief executives who manage each company, they are not able to actively cope with them.

The present invention analyzes objective forecasting information on uncertain exchange rate fluctuations, volatility according to fluctuations in exchange rate fluctuations, and profitability due to expected profit and loss by various hedging instruments, and provides them to each company to easily derive expected exchange profit and loss analysis by risk management means in real time. The purpose is to provide a risk analysis method and an analysis system for selecting an optimal hedge means.

In addition, the present invention analyzes objectively forecast information on uncertain exchange rate fluctuations, volatility according to exchange rate fluctuations, and profitability due to expected profit and loss by various hedging instruments, and provides them to each company for systematic analysis of foreign currency risk on foreign currency assets and liabilities. The purpose of this study is to provide a foreign exchange risk analysis method and an analysis system for securing stable profits in the mid- to long-term business plan through the management.

In addition, the present invention analyzes the objective forecast information on the uncertainty of the exchange rate fluctuation, the volatility according to the fluctuation of the exchange rate, and the profitability by the expected profit or loss by various hedge means, and provides each company with the expected exchange rate and interest rate from the external specialized institution, that is, weekly It provides currency risk analysis method and analysis system that can be used for monthly and quarterly expected exchange rate and interest rate service, forecasting daily and weekly exchange rate and interest rate volatility, and forecasting weekly exchange rate and interest rate. There is a purpose.

Furthermore, the present invention analyzes objective forecast information on uncertainty of exchange rate fluctuation, volatility according to fluctuation of exchange rate, and profitability by expected profit and loss by various hedge means, and provides them to each company through real-time mutual confirmation process from executive to person in charge. The purpose of this study is to provide a method for analyzing foreign exchange risk and to provide an analysis system for the systematic management and control of foreign exchange gains and losses.

1 is a block diagram showing a system for foreign exchange risk analysis according to the present invention.

FIG. 2 is a diagram illustrating the exchange risk analysis server of FIG. 1 in more detail.

3 to 11 are flowcharts showing the operational state of the exchange risk analysis system according to the present invention.

※ Explanation of code about main part of drawing ※

10: server for external institutions 20: server for the Bank of Korea

30: Exchange risk analysis server 31: Data management unit

32: calculator 33: controller

34: analysis unit 35: output unit

40: Customer Server

The first embodiment of the foreign exchange risk analysis method according to the present invention for achieving the above object, the foreign currency exchange rate and expenditure history, etc. from the foreign currency fund-related departments, and the foreign currency exposure by date, monthly, quarterly Re-aggregate the data by dividing it into data that has no increase or decrease in foreign currency exposure, or data that increases or decreases by a certain percentage by default to export or import. Select the position scenario according to the data management stage, and monthly and quarterly rate of exchange rate change to derive foreign currency exposure amount, and select the time difference to the actual exchange rate of foreign currency exchange rate according to the increase and decrease of the current rate and / or exchange rate. Sensitivity for calculating the won-denominated exchange rate and the won-denominated exchange rate, respectively, and calculating the nominal won-denominated exchange rate and real won-denominated exchange rate. itivity) The information provided in the form of the analysis step and the sensitivity analysis of the foreign exchange risk to the server for the customer such as the foreign exchange dealer, the foreign exchange fund manager, the foreign exchange manager, the management chief executive officer, etc., so that the customer can make an optimal decision. Characterized in that it comprises a support step.

In the foreign currency risk analysis method according to the present invention, the sensitivity analysis step may further include calculating a cumulative amount of real won exchange rate gains by adding the real won exchange rate gains and losses.

The second embodiment of the foreign exchange risk analysis method according to the present invention takes information such as foreign currency fund deposits and expenditures from all foreign currency fund-related departments, and reclassifies them into daily, monthly and quarterly foreign currency exposure data, and net position scenarios. The data management step of re-aggregating the data by dividing the data without increase or decrease of foreign currency exchange rate or by exporting and importing the data by increasing and / or decreasing the percentage by default. Select the position scenario according to the simulation selection to derive the foreign currency exchange amount, select the time difference, and derive the expected exchange rate, the current exchange rate, the Korean interest rate, the premium and the dollar futures price from the basic information, and then the nominal won currency at the current exchange rate. Obtain the exposure amount and the real KRW currency exposure, and forward, swap, future, option, etc. based on the open A simulation analysis step for calculating the difference between nominal exchange rate gains and / or real won exchange rate gains according to the selection of the hedge means, and the simulation analysis result of the exchange risks so that customers can make optimal decisions. It is characterized in that it comprises an information support step of providing in a predetermined form to the customer server, such as fund manager, foreign exchange manager, management chief executive.

In the currency risk analysis method according to the present invention, when opening in the simulation analysis step, the expected exchange rate is multiplied by the foreign currency exchange exposure to obtain a nominal currency exchange exposure, or Multiply by to get the real won exchange rate exposure, and subtract the nominal / real won exchange rate at the current exchange rate from the nominal / real won exchange rate at the time of opening to obtain the nominal / real won exchange rate gains, respectively. It is preferable to add the real KRW foreign exchange gains and losses up to the previous period to obtain the real KRW foreign currency gains and losses.

In the currency risk analysis method according to the present invention, if a forward hedge means is selected in the simulation analysis step, it is determined whether there is a forward exchange rate, and when there is no future exchange rate, a short maturity future exchange rate (F1) and a long maturity from basic information. The futures exchange rate (F2) and the corresponding exchange rate maturities (d1) and (d2) are derived to derive the futures exchange rate (Fx) to be known and compare the expected and futures exchange rates to the nominal currency exchange gains and losses on the purchase and / or sale of the futures exchange rate. Calculate the real currency exchange gains from 1st to nth by calculating the real currency exchange gains, and then subtract the nominal / real currency exchange gains at the time of opening from the nominal / real currency exchange gains at forward to find the difference between nominal and real currency exchange gains and losses. It is preferable.

In the currency risk analysis method according to the present invention, when a swap hedge means is selected in the simulation analysis step, the nominal currency exchange exposure value is obtained by reading the contract exchange rate (current exchange rate) from the basic information and multiplying the foreign currency exchange exposure value. In the nominal foreign currency exchange exposure Multiply by to obtain the real won exchange rate exposure, and then obtain the real and foreign currency exchange gains and losses of the won in accordance with the classification of the swap to obtain the real currency exchange gains from 1 to n, and from the nominal / real currency exchange gains at the time of swap It is desirable to obtain the nominal / real won exchange rate gains after subtracting the nominal / real won exchange rate gains at the time of opening.

In the currency risk analysis method according to the present invention, if a future hedge means is selected in the simulation analysis step, the presence or absence of a dollar futures price is determined. Deriving the dollar futures price (Fx) by pulling the price (F1), the long-term dollar futures price (F2), and the corresponding exchange rate maturity (d1) (d2), and comparing the expected exchange rate and the dollar futures price And / or obtain the cumulative gains on real currency exchange gains from periods 1 through n after obtaining nominal won and foreign currency gains and losses on real currency gains from the sale, and then subtract the nominal foreign currency gains and losses at the time of opening from the nominal and real currency gains and losses on Future. It is desirable to find the difference between the exchange rate of the real won.

In the foreign exchange risk analysis method according to the present invention, the futures price (Fx) to be known, It is preferable to calculate by.

In the foreign exchange risk analysis method according to the present invention, when the option hedge means is selected in the simulation analysis step, the purchase of the call option or the put option is determined in preparation for the expected exchange rate and the exercise price (current exchange rate), and the option purchase is performed. Obtain the cumulative gains from real currency exchange gains from 1st to nth, respectively, by calculating the nominal exchange gains and losses on real currency exchanges and subtracting the nominal / real currency exchange gains at the time of opening from the nominal / real currency exchange gains at the option. It is desirable to find the exchange gains and losses.

In the currency risk analysis method according to the present invention, in the simulation analysis step, it is preferable to select one or more hedging means from a plurality of hedging means to obtain a difference in nominal currency exchange gains and / or real currency exchange differences.

The third embodiment of the foreign exchange risk analysis method according to the present invention takes information such as foreign currency deposits and expenditures from all foreign currency fund-related departments, and reclassifies them into daily, monthly and quarterly foreign currency exposure data, and then net position scenarios. A data management step of re-aggregating the data by dividing the data without increase or decrease of foreign currency exchange amount or data that increases or decreases a certain percentage by default to export or import; Select the position scenario according to the monthly and quarterly cash flow selection to derive the foreign currency exposure amount, and after selecting the time difference, pull the expected exchange rate, current exchange rate, Korean interest rate, premium and dollar futures price from basic information. Nominal Won Cash Flow and / or Seal based on the choice of hedging means such as forward, swap, future, option, etc. The cash flow analysis step of obtaining the won cash flow and the cash flow analysis result of the foreign exchange risk are prescribed in the server for customers such as the foreign exchange dealer, the foreign exchange fund manager, the foreign exchange manager, and the chief executive officer in order to allow the customer to make an optimal decision. Characterized in that it comprises an information support step of providing in the form of.

In the foreign exchange risk analysis method according to the present invention, when the cash flow analysis step is opened, a nominal won cash flow is obtained by multiplying an expected exchange rate by a foreign currency exchange exposure value, and the nominal won cash flow. or It is preferable to multiply by to obtain the real original cash flow.

In the exchange risk analysis method according to the present invention, if a forward hedge means is selected in the cash flow analysis step, the presence or absence of a forward exchange rate is determined. By pulling the maturity futures exchange rate (F2), the corresponding exchange rate maturities (d1), and d2) to derive the futures exchange rate (Fx) to be known, and compare the expected and futures exchange rates, the nominal won cash according to the purchase and / or sale of the futures exchange After obtaining the flow and the real original cash flow, it is preferable to compare the nominal original cash flow and the real original cash flow at the open time with the nominal original cash flow and the real original cash flow at the forward, respectively.

In the currency risk analysis method according to the present invention, if a swap hedging means is selected in the cash flow analysis step, the contract exchange rate (current exchange rate) from the basic information is read and multiplied by the foreign currency exchange rate to exchange currency and interest rate swaps. Obtain the nominal currency cash flow, and obtain the nominal foreign currency cash flow. After multiplying to obtain the real won cash flow for the currency and interest rate swap, it is preferable to compare the nominal won cash flow and the real won cash flow at the open time with the nominal won cash flow at the swap and the real won cash flow.

In the foreign exchange risk analysis method according to the present invention, if a future hedging means is selected in the cash flow analysis step, it is determined whether there is a dollar futures price, and when there is no dollar futures price, a short maturity dollar futures price (F1). ), The long-term dollar futures price (F2), the corresponding exchange rate maturity (d1) (d2), to derive the dollar futures price (Fx) that you want to know, and compare the expected exchange rate to the dollar futures price to buy and / or After obtaining the nominal original cash flow and the real original cash flow according to the selling, it is preferable to compare the nominal original cash flow and the real original cash flow at the time of opening and the nominal original cash flow and the real original cash flow at the future.

In the foreign exchange risk analysis method according to the present invention, the futures price (Fx) to be known, It is preferable to calculate by.

In the foreign exchange risk analysis method according to the present invention, when the option hedge means is selected in the cash flow analysis step, the purchase of the call option or the put option is determined by comparing the expected exchange rate and the exercise price (the current exchange rate), and the option purchase. After obtaining the nominal original cash flow and the real original cash flow according to the present invention, it is preferable to compare the nominal original cash flow and the real original cash flow at the open time and the nominal original cash flow at the option and the real original cash flow.

In the currency risk analysis method according to the present invention, it is preferable to obtain a nominal won cash flow and / or a real won cash flow by selecting one or more hedge means among a plurality of hedge means in the cash flow analysis step.

The fourth embodiment of the foreign exchange risk analysis method according to the present invention takes information such as foreign currency fund deposits and expenditures from all foreign currency fund-related departments, and reclassifies them into daily, monthly and quarterly foreign currency exposure data, and displays net position scenarios. A data management step of re-aggregating data by dividing the data without increase or decrease in foreign currency exchange amount or by exporting and importing data by increasing and / or decreasing a percentage by default; Optionally, foreign currency exchange rate and standard deviation by date are derived from basic information, and exchange rate volatility is derived by monthly or quarterly from basic information, time difference is selected, and confidence intervals are selected to obtain nominal won VAR and real won VAR. A VAR analysis step of obtaining a real native VAR cumulative sum of the real original VARs from stage 1 to stage n and the It includes an information support step of providing a VAR analysis result of currency risk to a server for a customer such as a forex dealer, a forex fund manager, a forex manager, and a chief executive officer so that a customer can make an optimal decision. It features.

In addition, the foreign exchange risk analysis system according to the present invention, the 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 And the bank for the Bank of Korea, which provides information on the current exchange rate, expected exchange rate, interest rate, phase conversion rate, currency base rate, news, and the like, and receives various information provided from the server for the external institution and the server for the Bank of Korea. Profitability of each hedging instrument such as sensitivity, open, forward, swap, future, option, etc. And volatility, profitability, and exchange rate risk from the server for currency risk analysis, which analyzes cash flow, liquidity (VAR) through the estimation of the maximum possible loss, and the currency risk analysis server. Foreign exchange dealer, foreign exchange fund manager, and chief management officer, who are provided with information on qualitative and liquidity to analyze foreign exchange risk policy, foreign exchange transactions and settlement, foreign exchange transactions such as spot and forward exchanges, trading exchange gains and losses, daily transactions, and market information. It characterized in that it comprises a customer server, such as.

In the foreign exchange risk analysis system according to the present invention, the foreign exchange risk analysis server includes information on foreign currency funds such as export / import amount, foreign currency borrowings, foreign currency loans, currency type, settlement date, contract exchange rate, etc. The data management unit constructs a database of information on the current exchange rate, an expected exchange rate, an interest rate, a phase conversion rate, a base currency exchange rate, and news from a bank server, and a position based on various kinds of information established in the data management unit. The operation unit to adjust and the variability, open, forward, swap, and future according to exchange rate fluctuations of foreign currency exchange exposure to foreign currency risk from various information built up in the data management unit. ) Analyzing profitability and cash flow by hedge means such as options, options, and VAR by estimating the maximum loss possible As an output unit for converting the results calculated and analyzed by the calculation unit and the analysis unit into a predetermined form and provided to the customer server, and a control unit for controlling the overall operation of the data management unit and the operation unit, analysis unit and output unit, etc. It is preferred to be configured.

Hereinafter, a preferred embodiment of the present invention will be described in more detail with an exemplary drawing.

1 is a configuration diagram showing a system for foreign exchange risk analysis according to the present invention, Figure 2 is a configuration diagram showing the exchange risk analysis server in Figure 1 in more detail, Figures 3 to 11 according to the present invention A flow chart showing the operational status of the exchange risk analysis system.

Referring to FIG. 1, the foreign exchange risk analysis system according to the present invention includes a server for an external institution 10, a server for the Bank of Korea 20, a server for foreign currency analysis 30, a customer server 40, and the like. . Of course, the server 10 for external institutions, the server for the Bank of Korea 20, the server for risk analysis 30, the customer server 40 and the like to enable the transmission and reception of various information such as LAN, Internet, dedicated network, It is connected by various communication networks, such as a high speed communication network.

More specifically, the server 30 for foreign currency risk analysis provides information on foreign currency funds such as import and export amount, foreign currency borrowings, foreign currency loans, currency type, settlement date, and exchange rate through a network such as a LAN or a dedicated line. (10) is located in the import and export department, marketing department, and other departments. The Bank of Korea Bank 20, which provides information on the current exchange rate, expected exchange rates, interest rates, phase conversion rates, currency base rates, news, etc., is also provided to the exchange risk analysis server 30 via a LAN or leased line. Connected.

The exchange risk analysis server 30 which receives various information from the server for the external institution 10 and the server for the Bank of Korea 20 analyzes the various information, thereby analyzing the volatility according to the exchange rate fluctuation of the foreign currency exchange exposure to the currency risk. Liquidity through estimation of profitability, cash flow and maximum possible loss by hedging instruments such as sensitivity, open, forward, swap, future, option, etc. (VAR) or the like.

The server 30 for foreign exchange risk analysis is connected to a customer server 40 such as a foreign exchange dealer, a foreign exchange fund manager, or a chief executive officer via a LAN or a dedicated line. Customers, such as those in charge, receive information on currency risk volatility, profitability, stability, and liquidity from the server 30 for foreign exchange risk analysis, and establish currency risk policies, foreign exchange transactions and settlements such as spot and forward exchanges, You can analyze foreign exchange gains and losses, daily transactions, and market information.

In particular, the server 30 for foreign exchange risk analysis, as shown in FIG. 2, is used for foreign currency funds such as import / export amount, foreign currency borrowing, foreign currency loan, currency type, settlement date, contract exchange rate, etc. A data management unit 31 for constructing a database of information and information on the current exchange rate, expected exchange rate, interest rate, phase conversion exchange rate, currency base exchange rate, and news from the server for the Bank of Korea (20); Sensitivity according to exchange rate fluctuation of foreign currency exchange exposure to foreign currency risk from arithmetic unit 32 that adjusts position based on various kinds of information constructed in (31) and various kinds of information constructed in data management unit 31 above. Liquidity by estimating the profitability and stability of the hedging instruments such as open, forward, swap, future, options, options, and cash flows An analysis unit 34 for analyzing VAR) and the like, The output unit 35 for converting the results calculated and analyzed by the above calculation unit 32 and analysis unit 34 into a predetermined form and providing the server 40 for the customer, and the above data management unit 31 and the calculation unit ( 32), a control unit 33 for controlling the overall operation of the analysis unit 34 and the output unit 35 and the like.

The overall operation of the exchange risk analysis system according to the present invention configured as described above will be described with reference to FIG. 3.

First, in order to start the operation of the exchange risk analysis server 30, the control unit 33 enters the company ID and password (Password) to check whether it is correct, and then enter the personal ID and password to access who uses this system You will be identified. At this time, the control unit 33 allows the accuracy of ID and password input up to three times. Otherwise, it is regarded as illegal intrusion.

Then, the control unit 33 can analyze the basic information to be used in each analysis method, such as the current exchange rate, expected exchange rate, Korean interest rate (corporate bonds), option premium, standard deviation, etc. to be provided and utilized by an external institution. Provide a basic foundation.

When the basic information is established, the control unit 33 deposits foreign currency funds related to all currencies from the foreign currency fund-related department in order to aggregate all of the foreign currency exchange exposure (the amount of the foreign currency minus the foreign currency expenditure, which is equivalent to the net position). And expenditure information is linked to an interface. Based on the foreign currency funds, the control unit 33 may reclassify the data into the data management unit 31 as daily, monthly and quarterly foreign currency exposure data, and may consider the case where the amount increases or decreases due to the increase or decrease of exports or imports. Make sure Detailed description of such data management will be given below.

Position scenario by the data management unit 31 (It means that the foreign currency exchange exposure in the data management portion constitutes various exchange exposures resulting from the increase or decrease of the exchange exposure due to changes in export or import strategy.) Is prepared, the various information of the data management unit 31 is used to carry out volatility, profitability, stability, liquidity analysis, etc. on currency risk in the analysis unit 33 according to an analysis method controlled by the control unit 33. The result of each analysis is supported by the customer server 40 as information for optimal decision making of the customer.

4 illustrates data management in the data manager 31, which may be referred to as preparing basic information for performing all analysis.

First, the foreign currency funds and expenditure history information is obtained from the server for external institutions 1 which are all foreign currency funds related departments. Based on this information, it is re-aggregated by currency and period. And since the basic data of all analysis is data by period, it is divided into daily, monthly and quarterly foreign currency exposure.

This divided data will reorganize the data that users want and use it for analysis. In order to do this, the position management data of the pure companies that have not increased the foreign currency exposure at all in position management, the data that increased or decreased the foreign currency exposure by 10% by default, the user increased up to 20%, or It is possible to select a position scenario by dividing the data into reduced data. This process aggregates the data available for each analysis.

The overall steps of sensitivity analysis divided into monthly sensitivity analysis and quarterly sensitivity analysis are the same as in FIGS. 5 to 8. However, there are some differences in the formulas of some steps. Therefore, here, the description will be described based on monthly sensitivity analysis, but in the formula of the step where the difference occurs, separate the monthly sensitivity analysis and the quarterly sensitivity analysis to attach the formula.

First, if the monthly sensitivity analysis is selected, the position scenario should be selected, which is to select one or more of position scenarios 1, 2, and 3 made by the data manager 31. This will allow us to derive foreign currency exposure from position scenarios.

In the sensitivity analysis, the current exchange rate should be linked from the basic information, and the user selects the time difference when and when the foreign currency exchange rate and the current exchange rate are obtained. At this time, the time difference is provided by default from 1st to 6th stage, and allows the user to select a period from 1st to nth stages, such as 1st to 7th and 1st to 8th.

When the basic information for the analysis is prepared, it goes through eight steps that appear as actual analysis results. From this stage, there is a slight difference in the mathematical expression between monthly sensitivity analysis and quarterly sensitivity analysis.

First, the nominal currency exposure is calculated for monthly and quarterly sensitivity analysis using the current exchange rate according to Equation 1 below.

Second, real won exchange rate exposure for monthly and quarterly sensitivity analysis using the current exchange rate is calculated by Equation 2,3.

Where r is the Korean interest rate (corporate bond) and n is the time difference.

The third step is to select the exchange rate scenario, where the exchange rate provided by default in monthly sensitivity analysis and quarterly sensitivity analysis is slightly different. This is different from the rate of exchange rate fluctuations that can be changed by 3%, 5%, 10% rise and fall on a monthly basis, and the rate of change in exchange rate fluctuations that can be changed by 5%, 10%, 15% rise and fall quarterly. Because.

Fourth, the nominal won exchange rate exposure when the exchange rate rises or falls is calculated by Equation 4,5.

Where p is the rate of change of the exchange rate (%).

Fifth, when the exchange rate rises or falls, real won exchange rate exposure for sensitivity analysis is calculated by Equations 6 to 9 below.

Sixth, nominal exchange rate gains and losses are calculated by subtracting nominal won exposure from the real exchange rate when the exchange rate rises or falls.

The seventh is to calculate the exchange rate of real won exchange rate, which is the real won exchange rate when the exchange rate rises or falls, minus the real won exchange rate when the current rate is applied.

The values in the sixth and seventh stages can be divided into four categories to determine whether they are profit or loss. First of all, when deriving foreign currency exposures, foreign currency exposures minus expenditures from foreign currency funds are divided into (+) and (-) cases, and the expected exchange rate minus the current exchange rate is (+). And (-) to distinguish them (see Table 1).

Foreign currency exposure: (+), expected exchange rate-Current exchange rate: (+) => Profit Foreign currency exposure: (-), expected exchange rate-Current exchange rate: (+) => Loss Foreign currency exposure: (+), expected exchange rate-Current exchange rate: (-) => Loss Foreign currency exposure: (-), expected exchange rate-Current exchange rate: (-) => Profit

The final step is to calculate the cumulative gains and losses on the exchange rate between KRW 1 and n. For example, the cumulative real exchange gains and losses for up to three periods are the sum of the real and foreign exchange gains for the first and second periods. Through this, it is possible to know how much foreign exchange gains and losses will occur until each period.

The overall steps of the two simulation analysis in the analysis unit 34 divided into monthly simulation analysis and quarterly simulation analysis are the same as in FIG. 9. However, there are some differences in the equations of some steps. Therefore, here, the description will be described based on monthly simulation analysis, but in the equations in which the difference occurs, separate the monthly simulation analysis and the quarterly simulation analysis to attach the equations.

First, when the monthly simulation analysis is selected, the analysis unit 34 should select the position scenario under the control of the control unit 33, which selects one or more of the position scenarios 1, 2, and 3 made by the data management unit 31. will be. This will allow us to derive foreign currency exposure from position scenarios.

Then, the parallax is selected, and the parallax is basically provided from 1 to 6 units, and when the user wants to select the parallax, the user can select the desired parallax from 1 to n units (n: 1 to 12).

Expected exchange rates and current exchange rates are drawn from the basic information, and Korean interest rates (corporate bonds), premiums, and dollar futures prices are automatically drawn from the basic information when each hedging instrument is selected.

When the basic analysis is ready to be carried out, the nominal currency exchange exposure when the current exchange rate is applied is calculated by Equation 10 below.

Then, when the current exchange rate is applied, the real won exchange rate is calculated, which is slightly different depending on whether it is a monthly simulation analysis or a quarterly simulation analysis as shown in Equations 11 and 12 below.

n is the time difference, and r is the Korean interest rate (corporate bond).

Once the monthly and quarterly nominal currency exposures and real currency exposures have been calculated, it is then decided which hedging measures to choose. By default, open with no change in exchange rate changes is provided by default, and one or more of the following options can be selected simultaneously: forward, swap, future, and option. Can be used (see FIG. 9A, B above). Here are four ways to get started.

First, as shown in FIG. 9C, the open can be divided into five types. First, the nominal currency exposure is calculated by Equation 13 below.

Second, monthly and quarterly real won exchange rate exposures are calculated according to Equations 14 and 15 below.

Third, nominal won exchange rate gains are calculated by subtracting nominal won exchange rate exposures from the nominal won exchange rate open.

Subsequently, real currency exchange gains and losses = real won exchange rate gains are calculated by subtracting real currency exchange rate exposures from the current exchange rate.

Finally, the cumulative gains and losses in real won are calculated, which is the sum of real won and foreign exchange gains from 1st to nth.

When the nominal won-denominated exchange income and real won-denominated exchange gains and losses are calculated, this data can be compared with each hedging instrument to see how much exchange gains and losses have occurred.

Next, forward analysis will be described by dividing the case with and without the future exchange rate according to FIG. 9d and e.

Since the futures exchange rate is already available in the market in January, March, June and December, in this case, the expected exchange rate and futures exchange rate can be directly calculated by calculating the nominal exchange rate gain and the real won exchange rate. However, in other cases where there is no future exchange rate, it is calculated and the nominal exchange rate gains and losses in real won exchange rate are calculated by comparing the calculated future rate rate with the expected exchange rate. In other words, if there is no future exchange rate, a step of calculating the future exchange rate is further included in comparison with the case where there is a future exchange rate.

First, when the forward exchange rate is not selected by selecting a forward analysis, the steps of calculating the forward exchange rate are as follows.

First, F1 (short maturity futures exchange rate) and F2 (long maturity futures exchange rate) are drawn from the basic information of the data management unit 31. And d1 and d2 (expiration of the corresponding exchange rate) are automatically drawn from the futures exchange rate maturity of the basic information. The user then directly enters the maturity of the exchange rate he / she wants to know. After this step, the future exchange rate to be known can be calculated by Equation 16 below.

When the forward exchange rate is calculated, the future exchange rate is compared to determine whether to sell or buy the forward exchange. From this stage, the future exchange rate goes through the same process.

First, let us examine the case where the expected exchange rate is larger than the futures exchange rate and the case where the expected exchange rate is smaller than the futures exchange rate.

If the expected exchange rate is greater than the futures exchange rate, the futures exchange rate is purchased. In this case, the nominal won exchange rate is calculated by Equation 17 below.

Next, monthly and quarterly real currency exchange rate gains and losses are calculated using Equations 18 and 19 below.

Subsequently, when the expected exchange rate is smaller than the futures exchange rate, the forward exchange is sold. In this case, the nominal won exchange rate is calculated using Equation 20 below.

Next, monthly and quarterly real currency exchange rate gains and losses are calculated using Equations 21 and 22 below.

The cumulative real and foreign exchange gains and losses are calculated on the basis of the calculation of nominal and foreign currency gains and losses on real currency exchanges. This is the sum of the exchange rate gains from real KRW from 1st to nth.

Overall, the user goes through a comparison with open to see how much the exchange gains and losses are actually from the forward.

First, the difference in nominal foreign currency exchange gains and losses is calculated by subtracting the open nominal foreign currency exchange gains from the forward nominal won and foreign exchange gains and losses according to Equation 23 below.

Then, the difference between the real and foreign exchange gains and losses is calculated by subtracting the real and real foreign exchange gains and losses of the forward from the real and real currency exchange gains of the forward by Equation 24.

Next, forward analysis will be described by dividing the case with and without the future exchange rate according to FIG. 9F, G.

The swap analysis, which is divided into currency swaps and interest rate swaps, can use both cases simultaneously.

First, look at the case of currency swap of the two swap analysis, the nominal currency exposure is calculated by the following equation (25).

In this case, the contract exchange rate generally uses a lot of the current exchange rate, so the current exchange rate is automatically drawn from the basic information. However, if the user has the desired exchange rate, enter it manually.

Next, monthly and quarterly real won exchange rate exposures are calculated using Equations 26 and 27 below.

Subsequently, nominal won exchange rate gains and losses are calculated from Equation 28 below from the nominal won exchange rate exposure at the time of swap and the nominal won exchange rate exposure at the current exchange rate.

Next, the real currency exchange profit and loss is calculated by Equation 29 below.

When the nominal won and foreign currency exchange gains and losses in real won is calculated by Equations 28 and 29 above, the cumulative real and foreign exchange gains and losses are calculated. This is the sum of the exchange rate gains from real KRW from 1st to nth.

Overall, the user goes through the steps of comparing with open to see how much exchange gains and losses are due to actual swaps.

First, the difference between nominal won and foreign exchange gains and losses is calculated by subtracting open nominal won and foreign exchange gains and losses from swap's nominal won and foreign currency gains and losses.

Then, the difference between the real and foreign exchange gains and losses is calculated by subtracting the real and foreign exchange gains and losses of the open from the real and foreign exchange gains and losses of the swap as shown in Equation 31.

Next, in the case of interest rate swap, the nominal currency exposure is calculated by Equation 32.

In this case, the contract exchange rate generally uses a lot of the current exchange rate, so the current exchange rate is automatically drawn from the basic information. However, if the user has the desired exchange rate, enter it manually.

Next, monthly and quarterly real won exchange rate exposures are calculated using Equations 33 and 34 below.

Subsequently, the nominal won exchange rate gain and loss is calculated from the nominal won exchange rate exposure at the time of swap and the nominal won exchange rate exposure at the current exchange rate by Equation 35 below.

Next, the real won exchange rate gain and loss is calculated by Equation 36 below.

Once the nominal won-denominated exchange gains and losses on real won-denominated exchanges are calculated, the real won-denominated exchange gains and losses are calculated. This is the sum of the exchange rate gains from real KRW from 1st to nth.

Overall, users are compared to open to see how much exchange gains and losses resulted from actual interest rate swaps.

First, the difference in nominal foreign currency exchange gains and losses is calculated by subtracting the nominal foreign exchange gains and losses from the nominal currency exchange gains and losses of interest rate swaps as shown in Equation 37.

Then, the difference in real currency exchange gains and losses is calculated by subtracting real exchange rate gains from open from the real currency exchange gains and losses of interest rate swap.

Next, the future analysis will be described by dividing the case with the dollar futures price and the case where there is no dollar futures price according to FIGS. 9h and i.

Since dollar futures prices are already available in the market for three consecutive months including the current month and March, June, September, and December futures, in this case, the expected exchange rate and the dollar futures price can be directly calculated by calculating the nominal exchange rate gains and losses in real currency exchange rates, etc. do. However, in other cases where there is no dollar futures price, this is calculated, and the calculated won futures exchange rate and real won exchange rate gains are calculated by comparing the calculated dollar futures price with the expected exchange rate. In other words, if there is no dollar futures price, a step of calculating the dollar futures price is compared with the case of the dollar futures price.

First, if a future future price is not selected by selecting a future analysis, the dollar future price is calculated as follows.

First, F1 (short maturity dollar futures price) and F2 (long maturity dollar futures price) are drawn from the basic information of the data management unit 31. And d1 and d2 (expiration of the dollar futures price) are automatically drawn from the futures price expiration of the underlying information. The user then directly enters the expiration of the dollar futures price that he or she wishes to know. After this step, the dollar futures price (Fx) to be known can be calculated by Equation 39.

When the dollar futures price is calculated, it compares the expected exchange rate with the dollar futures price to decide whether to buy or sell futures. From this stage, you will go through the same process as if you had already known the dollar futures price.

First, let us examine the case where the expected exchange rate is larger than the dollar futures price and the expected exchange rate is smaller than the dollar futures price.

If the expected exchange rate is greater than the dollar futures price, futures are purchased. In this case, the nominal exchange rate is calculated using Equation 40 below.

Next, monthly and quarterly real currency exchange rate gains and losses are calculated using Equations 41 and 42 below.

Next, if the expected exchange rate is less than the dollar futures price, the future sale is made. In this case, the nominal exchange rate is calculated using Equation 43 below.

Next, monthly and quarterly real currency exchange rate gains and losses are calculated using Equations 44 and 45 below.

Thus, when the nominal exchange rate gains and losses on real currency exchange rates are calculated by comparing the dollar futures price with the expected exchange rate, the real currency exchange rate gains and losses are calculated. This is the sum of the exchange rate gains from real KRW from 1st to nth.

Overall, users are compared to open to see how much their exchange gains and losses come from real future analysis.

First, the difference in nominal foreign exchange gains and losses is the amount of Future's nominal foreign currency exchange gains minus open nominal foreign currency gains and losses (see Equation 46).

The difference between the real and foreign exchange gains and losses is the amount of future real and foreign currency gains and losses minus open real and foreign currency gains and losses (see Equation 47).

Finally, the option analysis will be described with reference to FIGS. 9J and k.

The option analysis compares the expected exchange rate with the exercise price and analyzes only the two cases in which the call option is purchased when the expected exchange rate is greater than the exercise price, and the put option is purchased when the expected exchange rate is less than the exercise price. do. At this time, only one of the two methods is selected and executed, and the exercise price is generally identified as the current exchange rate, so that the data is automatically linked and drawn from the basic information of the management unit 31. Of course, if the user desires, the strike price can be directly entered.

First, if the expected exchange rate is greater than the exercise price, the call option is purchased. In this case, the nominal exchange rate is calculated using Equation 48 below.

Nominal won foreign exchange gain and loss = [(estimated exchange rate-exercise price) × foreign currency exposure-foreign currency exchange amount × (premium × commission rate per 1 contract)] × foreign currency exchange amount

Next, monthly and quarterly real currency exchange rate gains and losses are calculated using Equation 49,50 below.

Next, if the expected exchange rate is less than the dollar futures price, the put option is purchased. In this case, the nominal exchange rate is calculated using Equation 51 below.

Nominal Korean Won Foreign Exchange Rate = [(Execution Price-Expected Exchange Rate) × Foreign Currency Exchange Rate × (Premium × Commission Rate per Contract)] × Foreign Currency Exposure

Next, monthly and quarterly real currency exchange rate gains and losses are calculated using Equations 52 and 53 below.

When the nominal exchange rate gains and real currency gains and losses are calculated by comparing the expected exchange rate and the exercise price, the real currency exchange gains and losses are calculated. This is the sum of the exchange rate gains from real KRW from 1st to nth.

Overall, users are compared to open to see how much exchange gains and losses resulted from actual option analysis.

First, the difference between the nominal won and foreign exchange gains and losses is the amount of the option nominal won and foreign exchange gains and losses of the option as shown in Equation 54 below.

Then, the difference in real currency exchange gains and losses is calculated by subtracting open real currency exchange gains and losses from the option's real currency exchange gains and losses, as shown in Equation 55 below.

10 is a flowchart for explaining a cash flow analysis using various types of information provided from the data manager 31.

The above cash flow analysis is divided into monthly cash flow analysis and quarterly cash flow analysis. Here, the steps will be described based on the monthly cache flow analysis, and a separate equation will be attached to the portion where the difference with the quarterly cache flow occurs.

First, we select monthly cash flow analysis and select a position scenario from data management. The position scenario described above is divided into three categories, and one of them is selected. This will calculate the foreign currency exposure that will be analyzed.

Then, the time difference is selected, which is provided by default from the first to sixth stages, but the user can select the first to nth stages if desired. Then, the expected exchange rate and the current exchange rate are drawn from the basic information of the data management unit 31, and the Korean interest rate, option premium, dollar futures price, etc., which are required when selecting the respective hedging means, are drawn from the basic information (Fig. 10a, b).

When basic information for cache flow analysis is prepared, hedging means should be selected. In this case, open is provided by default, and four other hedging means, such as forward, swap, future, and option, select one or more hedging means desired by the user. You can select more than that.

First, what the user can look at in the open is to perform a nominal won cash flow analysis, which is the expected rate of n times the foreign currency exposure. That is, the following equation (56).

Then, monthly and quarterly real won cash flows are calculated as shown in Equation 57,58.

The nominal won cash flow and the real won cash flow thus calculated are the basic data for comparison with other hedge means.

Figure 10c, d shows the forward analysis in the cash flow, and as in the simulation analysis is divided into the case of the future exchange rate and the case of no future exchange rate. In this case, if there is no future exchange rate, the step of obtaining future exchange rate is further performed. The futures exchange rate does not need to be calculated at this time, since January, March, June and December have already been determined in the market, but should be calculated at other times.

First, if there is no future exchange rate, F1 (short maturity futures exchange rate) F2 (long maturity futures exchange rate) is drawn from the basic information of the data management unit 31 to obtain it. In addition, d1 and d2 (expiration of the corresponding exchange rate) are drawn from the basic information of the data management unit 31.

And when the user directly inputs the expiration of the corresponding future exchange rate (Fx) to be known can be derived by the equation (59).

Once the futures exchange rate is calculated, the expected and futures exchange rates must be compared. At this time, if the expected exchange rate is greater than the forward exchange rate, a cash flow to buy a forward exchange occurs. If the expected exchange rate is less than the forward exchange rate, a cash flow to sell the forward exchange occurs.

For example, when the expected exchange rate is greater than the futures exchange rate, the nominal won cash flow, that is, the cash flow, is calculated by Equation 60.

Then, monthly and quarterly real won cash flows are calculated using Equations 61 and 62, which are as follows.

In addition, when the expected exchange rate is smaller than the futures exchange rate, the nominal won cash flow, that is, the cash flow, should be calculated by Equation 63 below.

Next, monthly and quarterly real won cash flows must be calculated using Equations 64 and 65, which are as follows.

Through this process, the futures cash flow can be compared with the open to find out how much the cash flow is.

Figure 10e, f shows the swap in the cache flow, the swap is divided into currency swap and interest rate swap, let's first look at the case of currency swap.

The currency swap calculates the nominal won cash flow as shown in Equation 66 below.

At this time, the contract exchange rate generally uses the current exchange rate and the current exchange rate derives the current exchange rate from the basic information.

Then, monthly and quarterly real won cash flows are calculated using Equations 67 and 68, which are as follows.

When the nominal won cash flow and the real won cash flow is calculated, the nominal won cash flow and the real won cash flow at the time of opening are compared and analyzed to determine how much the cash flow is.

In addition, interest rate swaps go through the same process as currency swaps. First, the nominal won cash flow is calculated.

In this case, the contract exchange rate generally uses the current exchange rate and the current exchange rate draws the current exchange rate from the basic information of the data management unit 31.

Next, monthly and quarterly real won cash flows are calculated using Equations 70 and 71, which are as follows.

When the nominal won cash flow and the real won cash flow are calculated, the nominal won cash flow and the real won cash flow at the time of opening are compared and analyzed to determine how much the cash flow is.

Figure 10g, h shows the future in the cash flow, and will be described by dividing the case with the dollar futures price and no dollar futures price.

Since dollar futures prices are already available in the market for three consecutive months including the current month and March, June, September, and December futures, in this case, the expected exchange rate and the dollar futures price can be directly calculated by calculating the nominal exchange rate gains and losses in real currency exchange rates, etc. do. However, in other cases where there is no dollar futures price, this is calculated, and the calculated won futures exchange rate and real won exchange rate gains are calculated by comparing the calculated dollar futures price with the expected exchange rate. In other words, if there is no dollar futures price, a step of calculating the dollar futures price is compared with the case of the dollar futures price.

First, choose Future Analysis to calculate the dollar futures price if there is no dollar futures price.

First, F1 (short maturity dollar futures price) and F2 (long maturity dollar futures price) are drawn from the basic information (10). And d1 and d2 (expiration of the dollar futures price) are automatically drawn from the futures price expiration of the underlying information. The user then directly enters the expiration of the dollar futures price that he or she wishes to know. This step allows us to calculate the dollar futures price (Fx) we want to know (see Equation 72).

When the dollar futures price is calculated, it compares the expected exchange rate with the dollar futures price to decide whether to buy or sell futures. From this stage, you will go through the same process as if you had already known the dollar futures price.

First, let us examine the case where the expected exchange rate is larger than the dollar futures price and the expected exchange rate is smaller than the dollar futures price.

If the expected exchange rate is greater than the dollar futures price, there will be a cash flow to buy futures. If the expected exchange rate is less than the dollar futures price, there will be a cash flow to sell the futures.

Here, the nominal won cash flow is calculated when the expected exchange rate is a large dollar futures price.

Next, monthly and quarterly real won cash flows are calculated using the following Equations 74 and 75. The equations are as follows.

In addition, when the expected exchange rate is a small dollar futures price, the nominal won cash flow is first calculated. Equation 76 is as follows.

Then, monthly and quarterly real won cash flows are calculated. The equations 77 and 78 are as follows.

When the cash flow is calculated, whether it is a futures purchase cash flow or a futures cash flow, it is possible to know how much cash flow is generated through a comparative analysis process with the nominal won cash flow and the real won cash flow.

10i illustrates options in the cash flow. In the case of options, a cash flow is generated whether to purchase a call option or a put option by comparing an expected exchange rate with an exercise price.

As an example, when the expected exchange rate is greater than the exercise price, the nominal won cash flow is calculated first, where Equation 79 is as follows.

Then, the real won cash flow is calculated. Equations 80 and 81 are as follows.

As another example, when the expected exchange rate is less than the exercise price, the nominal won cash flow is first calculated. Equation 82 is as follows.

Then, monthly and quarterly real won cash flows are calculated using Equations 83 and 84. The equations at this time are as follows.

When it is decided whether to buy a call option or a put option, this cash flow and the cash flow at the time of opening are compared and analyzed. This will give you an idea of how much cash your options have.

11A and 11B illustrate a VAR analysis, and when starting a VAR analysis, a position scenario must be selected from the data manager 31. At this time, the position scenario basically selects one of three types.

First, the data of foreign currency exposure itself minus expenditure from deposit of foreign currency funds; second, data that increased or decreased foreign currency exposure amount by 10%, -10%, and third,-foreign currency exposure amount was -20%. Within the range of up to + 20%, the user selects one of three types: data that is increased or decreased by itself.

Doing so will result in foreign currency exposures that will be subject to VAR.

Then, the standard deviation of each day is taken from the basic information. After that, it is divided into daily VAR, monthly VAR analysis and quarterly VAR analysis. In this case, monthly VAR analysis is performed.

And the time difference is selected by default from 1st to 6th stage, but if you want, you can choose from 1st to nth (n: 1-12) time difference.

Next, we select the confidence interval, which is chosen between 99% and 95%. Although the steps of both 95% and 99% confidence intervals are the same, there is a slight difference in the equation used, so it is explained as 95%. If there is a difference in the equation, 99% is attached.

First, the nominal won VAR is calculated. Equations 85,86 are as follows.

(95% per month) VAR = Foreign currency exchange rate × (1-trust interval) × monthly exchange rate volatility

× × expected exchange rate

(99% per month) VAR = foreign currency exchange rate × (1-trust interval) × monthly exchange rate volatility

× × expected exchange rate

Then, monthly and quarterly real won VARs are calculated using Equations 87 to 90. This equation is as follows.

Through this process, the cumulative real won VAR is calculated, which is the sum of real won VARs from stage 1 to stage n. Through this process, it is possible to know the actual maximum loss possible amount.

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.

In addition, the present invention analyzes objective forecast information on uncertain exchange rate fluctuations, volatility according to exchange rate fluctuations, and profitability due to expected profit and loss by various hedging instruments, and provides them to each company to systematically manage foreign exchange risk on foreign currency assets and liabilities. Through analysis and management, revenue can be secured within the predictable range of mid- to long-term business plans.

In addition, according to the present invention, what is the most stable cash flow for each hedging means caused by exchange rate fluctuations, and the amount of liquidity risk by estimating the maximum loss possible, etc. It can support optimal decision making.

Furthermore, the present invention analyzes objective forecast information on uncertainty of exchange rate fluctuation, volatility according to fluctuation of exchange rate, and profitability, safety, liquidity risk due to expected profit and loss by various hedging instruments, etc. The real-time mutual confirmation process allows systematic management and control of exchange gains and losses.

Although the present invention has been described in detail above with respect to the described embodiments, it will be apparent to those skilled in the art that various changes and modifications can be made within the spirit of the present invention, and such modifications and modifications belong to the appended claims.

Claims (20)

Get information on foreign currency deposits and expenditures from all foreign currency related departments, reclassify them into date, monthly and quarterly foreign currency exposure data and select net position scenarios. A data management step of re-aggregating the data by dividing the export or import into data that has increased and / or decreased a certain percentage by default; Select the position scenario according to monthly and quarterly exchange rate fluctuations to derive foreign currency exposures, and select the time difference to the real KRW currency exposures and nominal foreign currency exposures to the current exchange rate and / or exchange rate fluctuations. A sensitivity analysis step of calculating the won-exchange exposures and calculating the nominal won-denominated exchange gains and losses on real won-denominated exchange gains, and calculating the cumulative amount of real won-denominated exchange gains and losses by adding the real won-denominated exchange gains and losses; And An information supporting step of providing a sensitivity analysis result of the foreign exchange risk to a server for a customer such as a forex dealer, a forex fund manager, a forex manager, and a chief management officer in a predetermined form so that a customer can make an optimal decision; Currency risk analysis method comprising the. Get information on foreign currency deposits and expenditures from all foreign currency related departments, reclassify them into date, monthly and quarterly foreign currency exposure data and select net position scenarios. A data management step of re-aggregating the data by dividing the export or import into data that has increased and / or decreased a certain percentage by default; Select the position scenario according to the monthly and quarterly simulation selection to derive the foreign currency exchange amount, and after selecting the time difference, draw the expected exchange rate, current exchange rate, Korean interest rate, premium and dollar futures price from basic information, Nominal KRW currency exposure and real KRW currency exposure value, nominal currency exchange loss due to hedge means selection such as forward, swap, future, option, etc. A simulation analysis step of determining profit differences and / or real won exchange rate differences; And An information support step of providing a simulation analysis result of the foreign exchange risk to a server for a customer such as a forex dealer, a forex fund manager, a forex manager, and a manager in charge so that a customer can make an optimal decision; Currency risk analysis method comprising the. The method of claim 2, When opening in the simulation analysis step, the expected exchange rate is multiplied by the foreign currency exchange exposure to obtain a nominal currency exchange exposure, and the nominal currency exposure or Multiply by to get the real won exchange rate exposure, and subtract the nominal / real won exchange rate at the current exchange rate from the nominal / real won exchange rate at the time of opening to obtain the nominal / real won exchange rate gains, respectively. And a cumulative amount of real currency exchange gains and losses, by adding the real currency exchange gains and losses up to the term. The method of claim 2, When the forward hedging means is selected in the simulation analysis step, it is determined whether there is a forward exchange rate, and if there is no future exchange rate, the short-term future exchange rate (F1), the long-term future exchange rate (F2), and the corresponding exchange rate expiration (d1) from the basic information. (d2) to derive the future exchange rate (Fx) to be known and compare the expected exchange rate with the expected exchange rate to obtain nominal and foreign exchange gains and losses on real currency gains from the purchase and / or sale of the futures exchanges. And calculating the difference between nominal and real currency exchange gains and losses at the time of opening and subtracting the nominal and real currency exchange gains and losses at the time of forwarding. The method of claim 2, When the swap hedging means is selected in the simulation analysis step, the contract exchange rate (current exchange rate) from the basic information is read and multiplied by the foreign currency exchange rate to obtain a nominal currency exchange exposure value, and the nominal foreign currency exposure value is calculated. Multiply by to obtain the real won exchange rate exposure, and then obtain the real and foreign currency exchange gains and losses of the won in accordance with the classification of the swap to obtain the real currency exchange gains from 1 to n, and from the nominal / real currency exchange gains at the time of swap And obtaining the nominal / real currency exchange gains and losses obtained by subtracting the nominal / real currency exchange gains and losses at the time of opening. The method of claim 2, If the future hedging means is selected in the simulation analysis step, it is determined whether there is a dollar futures price, and if there is no dollar futures price, the short-term dollar futures price (F1), the long-term dollar futures price (F2), and the corresponding exchange rate from the basic information. Deriving the dollar futures price (Fx) by pulling the maturity (d1) (d2), comparing the expected exchange rate with the dollar futures price, and obtaining the nominal and foreign currency gains and losses on real currency gains from the purchase and / or sale of futures. The foreign currency exchange gains from periods to n, and then subtract the nominal and real currency exchange gains at the time of opening from the nominal and real currency exchange gains at Future to determine the difference between the nominal and real currency exchange gains and losses. Way. The method according to claim 4 or 6, The futures price Fx The risk exchange analysis method, characterized in that calculated by. The method of claim 2, When the option hedging means is selected in the simulation analysis step, the purchase of a call option or a put option is determined against the expected exchange rate and the exercise price (the current exchange rate), and the nominal won and foreign currency exchange gains and losses according to the corresponding option purchase are respectively obtained. The method of analyzing the foreign exchange risk, characterized by obtaining the cumulative amount of real currency exchange gains from periods to n and subtracting the nominal / real currency exchange gains at the time of opening from the nominal / real currency exchange gains at the option. . The method of claim 2, And in the simulation analysis step, selecting one or more hedge means from a plurality of hedging means to obtain a difference in nominal currency exchange profit and loss and / or a difference in real currency exchange rate. Get information on foreign currency deposits and expenditures from all foreign currency related departments, reclassify them into date, monthly and quarterly foreign currency exposure data and select net position scenarios. A data management step of re-aggregating the data by dividing the export or import into data that has increased and / or decreased a certain percentage by default; Select the position scenario according to the monthly and quarterly cash flow selection to derive the foreign currency exposure amount, and after selecting the time difference, open the expected exchange rate, current exchange rate, Korean interest rate, premium and dollar futures price from basic information. A cash flow analysis step of obtaining a nominal won cash flow and / or a real won cash flow according to a hedging means selection such as forward, swap, future, option, etc .; And An information support step of providing a cash flow analysis result of the foreign exchange risk to a server for a customer such as a foreign exchange dealer, a foreign exchange fund manager, a foreign exchange manager, a management chief executive, etc. in a predetermined form so that a customer can make an optimal decision; Currency risk analysis method comprising the. The method of claim 10, When opening in the cash flow analysis step, a nominal won cash flow is obtained by multiplying an expected exchange rate by a foreign currency exchange amount, and the nominal won cash flow or The exchange risk analysis method, characterized in that to obtain a real won cash flow by multiplying. The method of claim 10, When the forward hedging means is selected in the cash flow analysis step, it is determined whether there is a forward exchange rate, and when there is no future exchange rate, the short-term future exchange rate (F1), the long-term future exchange rate (F2), and the corresponding exchange rate expiration (d1) from the basic information. (d2) to derive the future exchange rate (Fx) to be known, compare the expected exchange rate with the expected exchange rate, and obtain the nominal won cash flow and real won cash flow according to the purchase and / or sell of the forward exchange. And comparing the nominal won cash flow and the real won cash flow with the nominal won cash flow and the real won cash flow at forward, respectively. The method of claim 10, When the swap hedge means is selected in the cash flow analysis step, the contract exchange rate (current exchange rate) from the basic information is read and multiplied by the foreign currency exchange rate to obtain a nominal won cash flow for currency and interest rate swaps, and the nominal foreign currency cash flow. on Calculating the real currency cash flow for the currency and interest rate swap by multiplying and comparing the nominal currency cash flow and the real currency cash flow at the open time with the nominal currency cash flow at the swap and the real currency cash flow respectively. . The method of claim 10, If the future hedging means is selected in the cash flow analysis step, it is determined whether there is a dollar futures price, and if there is no dollar futures price, the short-term dollar futures price (F1), the long-term dollar futures price (F2) Get the dollar futures price (Fx) by pulling the exchange rate maturity (d1) (d2) and comparing the expected exchange rate with the dollar futures price to compare the nominal and cash flows for the futures purchase and / or sale. And comparing the nominal won cash flow and the real won cash flow at the time of opening with the nominal won cash flow and the real won cash flow at the time of opening, respectively. The method according to claim 12 or 14, The futures price Fx The risk exchange analysis method, characterized in that calculated by. The method of claim 10, When the option hedge means is selected in the cash flow analysis step, the purchase of a call option or a put option is determined in preparation for an expected exchange rate and an exercise price (current exchange rate), and the nominal won cash flow and the real won cash flow according to the corresponding option purchase And comparing the nominal won cash flow and the real won cash flow at the time of opening and the nominal won cash flow at the option and the real won cash flow at the time of opening. The method of claim 10, And at least one hedge means of the plurality of hedge means in the cash flow analysis step to obtain a nominal won cash flow and / or a real won cash flow. Get information on foreign currency deposits and expenditures from all foreign currency related departments, reclassify them into date, monthly and quarterly foreign currency exposure data and select net position scenarios. A data management step of re-aggregating the data by dividing the export or import into data that has increased and / or decreased a certain percentage by default; According to the selection of the position scenario, the foreign currency exchange rate and the standard deviation of each day are derived from the basic information, the exchange rate volatility is derived from the basic information by monthly or quarterly, the time difference is selected, and the confidence interval is selected by selecting the confidence interval. A VAR analysis step of obtaining a real won VAR accumulation amount obtained by adding the won won VAR from the first to n periods after obtaining the won VAR; And An information support step of providing a VAR analysis result of the foreign exchange risk to a server for a customer such as a foreign exchange dealer, a foreign exchange fund manager, a foreign exchange manager, a management chief executive, etc. in a predetermined form so that a customer can make an optimal decision; Currency risk analysis method comprising the. Servers for external organizations such as import and export departments, marketing departments, and other departments that provide information on foreign currency funds such as import and export amounts, foreign currency borrowings, foreign currency loans, currency types, settlement dates, and contract rates; Bank of Korea server that provides information on current exchange rates, expected exchange rates, interest rates, phase conversion rates, currency base rates, news, etc .; By receiving various information provided from the server for the external institution and the server for the Bank of Korea, volatility, open, forward, swap, A currency risk analysis server for analyzing the profitability and cash flow for each hedging means such as future, option, and liquidity (VAR) through estimation of the maximum loss amount; And The exchange risk analysis server receives information such as the volatility, profitability, stability and liquidity of the currency risk, and establishes the currency risk policy, forex trading and settlement, foreign exchange transactions such as spot and forward exchange, trading exchange profit and loss, daily transaction, market A currency risk analysis system, comprising a server for customers such as foreign exchange dealers, foreign exchange fund managers, and chief executive officers who analyze information. The method of claim 19, The exchange risk analysis server includes information on foreign currency funds such as import and export amount, foreign currency borrowings, foreign currency loans, currency type, settlement date, contract exchange rate, and the current exchange rate, expected exchange rate, A data management unit for constructing a database of information on interest rates, phase conversion rates, currency exchange rates, news, and the like; an operation unit for adjusting positions based on various types of information provided in the data management unit; From various information, hedging means such as volatility, open, forward, swap, future, option, etc. according to exchange rate fluctuations of foreign currency exchange exposure to currency risk Analysis unit for analyzing the profitability (simulation) and stability (cash flow), the maximum loss possible value (VAR), and the results calculated and analyzed in the operation unit and analysis unit The exchange risk analysis system is converted into a desired shape, characterized in that consisting of a control unit for controlling the entire operation of the light output section and said data management unit and the operation unit, the analysis unit and output unit for providing to the server for the client.