我国商业银行风险预警系统的研究

发布时间：2018-08-29 12:06

【摘要】：商业银行在现代金融体系中发挥着重要作用,同时高风险也伴随商业银行的经营和管理活动中的各个方面,对商业银行风险管理及有效地监督是保证银行业健康稳定发展的关键。国际金融危机不断出现促进商业银行的风险预警系统研究进程加速。我国目前银行业处于飞速发展阶段,面对瞬息万变的宏观经济环境,风险预警体系并不完善,我国商业银行风险管理措施多数在事中监督和事后补救阶段,不重视商业银行风险的事前预警。因此,研究我国商业银行风险预警系统具有重要的理论和现实意义。本文对我国商业银行风险预警系统进行理论和实证研究。首先概述了国外和国内关于商业银行风险预警系统的研究文献,其次,梳理了商业银行风险以及预警系统的相关概念和理论,包括商业银行风险的内涵、类型以及预警方法和模型方法等内容,从商业银行信用风险、流动性风险、资本充足性、盈利能力、合规性风险以及宏观经济风险六个方面分析了我国商业银行风险的现状及其成因。再次,基于23个银行风险的定量指标构建了我国商业银行风险预警指标体系,分析各指标对商业银行风险的影响情况,并利用层次分析法对指标的警度进行综合度量,将银行风险综合得分进行聚类分析,分为无警、轻警、中警和重警四个级别。最后,通过神经网络模型不断训练和优化,建立了我国商业银行风险预警系统,并对所构建的神经网络模型进行有效性检验,选取数据为2009-2013年的上市商业银行为不同年度银行,利用65个数据进行检验,检验结果表明神经网络模型适用于我国商业银行风险的预警。
[Abstract]:Commercial banks play an important role in the modern financial system. At the same time, high risk is accompanied by various aspects of commercial banks' management and management activities. Risk management and effective supervision of commercial banks are the key to ensure the healthy and stable development of the banking industry. The international financial crisis continues to accelerate the research process of commercial banks' risk early warning system. At present, the banking industry of our country is in the stage of rapid development. In the face of the rapidly changing macroeconomic environment, the risk warning system is not perfect. Most of the risk management measures of commercial banks in our country are in the stage of supervision and remedial after the event. Do not attach importance to the commercial bank risk in advance warning. Therefore, the study of China's commercial bank risk warning system has important theoretical and practical significance. This article carries on the theory and the demonstration research to our country commercial bank risk early warning system. First of all, it summarizes the research literature of commercial bank risk early warning system abroad and domestic, secondly, combs the commercial bank risk and the related concept and theory of the early warning system, including the connotation of the commercial bank risk. Types and early warning methods and model methods, from the commercial bank credit risk, liquidity risk, capital adequacy, profitability, This paper analyzes the present situation and causes of commercial bank risk in China from six aspects: compliance risk and macroeconomic risk. Thirdly, based on the quantitative indicators of 23 banks' risk, the paper constructs the risk warning index system of commercial banks in China, analyzes the influence of each index on the risk of commercial banks, and measures the warning degree of the indicators by AHP. The comprehensive score of bank risk is analyzed by cluster analysis, which is divided into four levels: no alarm, light warning, middle alarm and heavy alarm. Finally, through the continuous training and optimization of the neural network model, the risk early warning system of commercial banks in China is established, and the validity of the neural network model is tested. The data of the listed commercial banks in 2009-2013 are selected as the banks in different years. Using 65 data, the test results show that the neural network model is suitable for the early warning of commercial bank risk in China.
【学位授予单位】：吉林财经大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.33

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