商业银行风险预警系统的研究

发布时间：2018-02-23 02:52

本文关键词： 商业银行风险层次分析法时间序列风险预警　出处：《青岛科技大学》2012年硕士论文　论文类型：学位论文

【摘要】：伴随着经济全球化的不断深入，世界各国经济相互依存度越来越高，商业银行风险的易发性、联动性和破坏性也越来越明显。目前，我国商业银行的风险管理侧重于风险的事中控制和事后补救，往往忽视了风险的事先管理。大量经验表明，银行在经营过程中，风险隐患发现得越早，其造成的损失比率就越低。因此，建立商业银行的风险预警系统在现阶段显得尤为重要。本文的研究从我国商业银行自身经营管理的角度出发，在对商业银行风险的特征、分类和成因进行识别和分析的基础上，运用数学的定量分析方法构建出风险预警指标体系，进而对商业银行风险做出综合评价分析，再结合时间序列的预测分析，，设计出与我国商业银行的现状及其特殊性相适应的商业银行风险预警系统的模型，最后通过样本银行对风险预警模型进行实证研究。与现有商业银行风险预警系统相比，本文构建的风险预警系统具有一定的优越性，主要表现在:（1）用层次分析法详细地分析计算各单个指标所占的权重大小。（2）对商业银行的风险水平应用了多指标综合评价分析，有利于对商业银行风险的综合水平有总体的把握。（3）商业银行风险预警系统运用科学及系统化的方法，能适时地将未来可能的风险报告给经营者、投资者。
[Abstract]:With the deepening of economic globalization, the degree of economic interdependence among countries in the world is becoming higher and higher, and the risk vulnerability, linkage and destruction of commercial banks are becoming more and more obvious. The risk management of commercial banks in our country focuses on the control and remedy of risks, and often neglects the prior management of risks. A great deal of experience shows that the earlier the hidden risks are discovered in the course of operation, the earlier the hidden risks are discovered. The lower the loss ratio is, the more important it is to establish a risk warning system for commercial banks. From the point of view of the management of commercial banks in our country, this paper, based on the identification and analysis of the characteristics, classification and causes of the risks of commercial banks, constructs a risk early warning index system by using the quantitative analysis method of mathematics. Then it makes a comprehensive evaluation and analysis of commercial bank risk, and then designs a model of commercial bank risk early warning system, which adapts to the current situation and particularity of our country's commercial bank, combined with the forecast and analysis of time series. Finally, through the sample bank to carry on the empirical research to the risk early warning model. Compared with the existing commercial bank risk early warning system, the risk early warning system constructed in this paper has certain superiority. It is mainly shown in: (1) Analytic hierarchy process (AHP) is used to analyze and calculate the weight of each single index in detail. (2) the multi-index comprehensive evaluation analysis is applied to the risk level of commercial banks. It is advantageous to have a general grasp of the comprehensive level of risks of commercial banks. 3) the risk early warning system of commercial banks can report the possible risks in the future to the managers and investors in good time by using scientific and systematic methods.
【学位授予单位】：青岛科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.2

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