Abstract: We analyze the volatility of the exchange rate of various foreign exchange reserves based on VAR model and present dynamically the risk of the different currency structure of foreign exchange reserves by using DCC-GARCH model combining with the conditional value at risk(CVaR). Ultimately, according to Markowitz mean-variance model, we propose the mean-CVaR model to study the dynamic optimal currency structure of China-s foreign exchange reserves under different target yields. The results show that dynamic allocation can reduce the CVaR risk of foreign exchange reserves significantly at the same given yield rate.