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On 21 July 2005，China announced the reform measures of RMB exchange rate regime，shifting to a more flexible managed float with reference to a basket of currencies.After that，the volatility of RMB exchange rate has significantly enlarged． As a result，China’s commercial banks are facing with serious challenge inherent in the new exchange rate mechanism．At the same time China’s commercial banks have little skills and experiences about the exchange risk management due to the steadiness RMB exchange rate．So it is very important for them to improve there risk management skills．
Under this circumstance the paper tries to approve that the large volatility of RMB exchange rate will induce the rise of the exchange risk by using statistics method．For this purpose，the paper firstly explains the definition and the types of exchange rate risk．Then the paper compares the risk before and after the RMB exchange rate regime reform．Intuitionally,the region of the volatility is larger after the reform．And the risk is bigger．But to make it more convincing，the paper uses hypothesis test to examine the variance of the two stages’volatilities，and we find that after the reform， the exchange rate risk has significantly raised，which approved the papers estimation. Then based on this conclusion，I analyze the exchange rate risk including Transaction Risk，Accounting Risk and Economic Risk of the commercial banks faced in their daily management due to more frequent changes of RMB exchange rate．In the final part of the paper,I present some suggestions for the commercial banks to deal with those risks．My conclusion is：the commercial banks should adopt to deal with exchange rate risk after the reform．
After the reform the central bank will put forward more policies to make the foreign exchange market to be a more efficient one．And because of this the volatility of RMB exchange rate will be larger．So by referring other’s research，this paper hope to make progress in the following aspect：firstly the paper mainly focus on the change of the commercial banks’exchange rate risk after the reform，and based on this the paper suggest the commercial bank to build a brand new risk management system；secondly, the paper analyze the exchange rate data and use hypotheses test to make the papermore convincing．