中国16家上市银行信贷资产质量的实证研究

发布时间：2018-02-05 19:42

本文关键词： 信贷资产质量效率 DEA方法线性回归分析　出处：《湘潭大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着金融市场的全球化发展趋势和世界金融市场的加剧波动，商业银行的风险管理一直备受金融界关注。尤其是我国加入世贸后，金融业的逐步开放以及国有商业银行的股份制改造的完成，我国银行业进入了快速发展阶段。不少银行风险逐步突显出来，银行管理者对整个风险管理方面的需求越来越迫切。银行资产质量的好坏，直接影响着银行自身的生存和发展，而信贷资产规模、结构和质量都对银行的长期持续发展起到至关重要的作用，所以必须加强对银行信贷资产质量的管理。在对信贷资产进行风险管理时，信贷资产的质量评估是整个风险管理过程的重要核心，关系到风险管理的成败。不良贷款率作为银行业信贷风险的重要指标，在风险防范和预警体系中起着重要作用。本文在对商业银行信贷资产进行现状分析的基础上，通过DEA方法选取6个与银行信贷资产质量相关的指标，建立投入—产出指标模型，测评出2005至2010年国内16家上市银行的信贷资产质量，进行横向和纵向地分析比较；同时通过多元线性回归分析，测评出模型中6个指标对信贷资产质量影响的程度，得到影响信贷资产质量的关键性因素——不良贷款率，，最后提出改善银行信贷资产质量的建议和展望。本文得出三个结论：第一，我国16家上市银行的信贷资产质量正在逐步提升；第二，银行信贷资产质量受到外在经济环境和银行自身信贷技术效率和信贷规模效率差异的影响；第三，不良贷款率对信贷资产质量存在显著的影响。
[Abstract]:With the globalization of the financial market and the aggravation and fluctuation of the world financial market, the risk management of commercial banks has been concerned by the financial circles, especially after China's accession to the WTO. With the gradual opening of the financial industry and the completion of the joint-stock reform of the state-owned commercial banks, the banking industry of our country has entered a stage of rapid development. The need of bank managers for the whole risk management is becoming more and more urgent. The quality of bank assets directly affects the survival and development of banks themselves, and the scale, structure and quality of credit assets play a vital role in the long-term sustainable development of banks. Therefore, we must strengthen the management of the quality of bank credit assets. In the risk management of credit assets, the quality assessment of credit assets is an important core of the whole risk management process. As an important index of banking credit risk, non-performing loan ratio plays an important role in risk prevention and early warning system. Based on the analysis of the present situation of the credit assets of commercial banks, this paper selects six indexes related to the quality of bank credit assets by DEA method, and establishes an input-output index model. From 2005 to 2010, the credit asset quality of 16 domestic listed banks was evaluated and compared horizontally and vertically. At the same time, through multiple linear regression analysis, the degree of the impact of six indicators on the quality of credit assets in the model is evaluated, and the key factor to affect the quality of credit assets, the non-performing loan ratio, is obtained. Finally, suggestions and prospects for improving the quality of bank credit assets are put forward. This paper draws three conclusions: first, the credit asset quality of 16 listed banks in China is gradually improving; Secondly, the quality of bank credit assets is affected by the external economic environment and the difference of credit technical efficiency and credit scale efficiency. Third, the non-performing loan ratio has a significant impact on the quality of credit assets.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.42;F832.33

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