Under floating exchange rate, Chinese enterprises are in an urgent need to measure and control foreign exchange risks. This paper adopts the coherent risk measures of the risk management research, introduces CVaR to measure and control the foreign exchange risks of Chinese enterprises under floating exchange rate, sets up the mold of measuring and controlling foreign exchange risks of several foreign currencies and makes an empirical analysis of the historic data of the six foreign currencies. At the same time, based on the research result, related strategies are put forward to control foreign exchange risks.