基于因子与DEA分析的商业银行绩效评价

发布时间：2018-04-04 11:29

本文选题：效率　切入点：因子分析　出处：《浙江大学》2012年硕士论文

【摘要】：随着经济全球化的实现,世界各国经济息息相关,商业银行在其中起着金融中枢作用。如何较好地衡量商业银行的综合能力,进而改进提升经营效率,成为了管理者关注的焦点。商业银行可以视为一个具有多输入多输出指标的系统,商业银行的效率评价不应停留在考察净利润、资产收益率等输出指标上,更多地还要考虑到成本收益之间的配比关系。 1978年,Charnes,Coooper与Rhodes提出的DEA数据包络分析方法,能够较好地评价多输入多输出系统中决策单元的相对有效性；一类引入非阿基米德无穷小的DEA模型,可通过计算效率值与松弛变量,运用投影定理,来对输入输出项的改进进行定量化的说明,这是DEA模型的一大特点。本文从选题背景与现实意义出发,主要以2008-2010年我国16家上市商业银行的相关财务指标数据为样本,采用因子分析法与DEA方法评价我国上市商业银行近期综合能力与经营效率,并为决策者提出相应改进建议。内容分为五部分。第一部分,绪论。介绍研究背景,研究目标、内容与方法。第二部分,因子分析。对初选的变量进行因子降维分析,提取公共因子,分别从规模绩效、偿债能力、运营情况、盈利深度四个方面对银行的经营能力进行评价。第三部分,DEA分析。利用因子分析结果选取输入输出变量,其中输入变量为人数、机构数、营业费用,输出变量为存款、净利润、净资产收益率。运用DEA方法中的SE-BCC-I模型评价银行经营效率,并提出改进建议,得到诸如中小型股份制商业银行整体效率较高,而国有商业银行(除建行外)整体效率偏低等结论。提出一类具有偏好信息的SE-CCR-I模型,并进行分析,得到诸如我国大部分银行都是偏重存款的商业银行等结论。第四部分,结论与注记。
[Abstract]:With the realization of economic globalization, the economies of the world are closely related, and commercial banks play a central role in it.How to better measure the comprehensive ability of commercial banks and then improve the management efficiency has become the focus of attention of managers.Commercial banks can be regarded as a system with multi-input and multi-output indicators. The efficiency evaluation of commercial banks should not only examine the net profit, asset return and other output indicators, but also consider the matching relationship between cost and income.In 1978, Charnes Cooper and Rhodes put forward the DEA data Envelopment Analysis method, which can evaluate the relative validity of decision making units in multi-input and multi-output systems. A class of non-Archimedes infinitesimal DEA model can be calculated by calculating the efficiency value and relaxation variables.The projection theorem is used to quantify the improvement of input and output terms, which is one of the characteristics of DEA model.Based on the background and practical significance of the selected topic, this paper mainly takes the relevant financial index data of 16 listed commercial banks in China from 2008 to 2010 as a sample, and uses factor analysis and DEA methods to evaluate the comprehensive ability and management efficiency of listed commercial banks in China in the near future.And put forward the corresponding improvement suggestion for the decision maker.The content is divided into five parts.The first part, introduction.This paper introduces the research background, research objectives, contents and methods.The second part, factor analysis.Factor dimension reduction analysis of primary variables, extraction of public factors, respectively from the scale performance, solvency, operating conditions, profit depth of the four aspects of the evaluation of the operational capacity of the bank.The third part is DEA analysis.The input and output variables are selected by factor analysis, in which the input variables are the number of persons, the number of institutions, the operating expenses, the output variables are deposits, net profits, and the rate of return on net assets.Using the SE-BCC-I model in the DEA method to evaluate the operation efficiency of banks and put forward some suggestions for improvement, we can get the conclusion that the overall efficiency of small and medium-sized joint-stock commercial banks is relatively high, while the overall efficiency of state-owned commercial banks (except CCB) is low.A kind of SE-CCR-I model with preference information is proposed and analyzed. Some conclusions, such as that most banks in China are deposit-oriented commercial banks, are obtained.The fourth part, conclusion and note.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.33

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