基于生存分析的我国商业银行风险预警研究

发布时间：2019-01-20 12:23

【摘要】：在全球化经济越来越明显的二十世纪后期,世界各国之间的经济贸易往来随着科学技术的进步联系得越发紧密起来,金融风险的控制成为各国发展必须深入考虑和研究的问题之一。商业银行从本质上来说就是具有经营风险的金融机构,其在面临金融转型的过程中是否能够接受严峻的考验已成为大家关注的焦点。尤其是自从2010年以来,我国商业银行开始逐步实行《巴塞尔新资本协议》,拥有较强的风险管理能力和水平已经成为商业银行稳健经营、健康发展的基本要求。本文首先根据商业银行风险的表现形式,将金融风险分为信用风险、操作风险、流动性风险以及资本风险,选取国内外专家和学者广泛认可的指标,构建预警指标体系。其次,根据选取银行2007-2011年的年报,进行指标数据收集,在数据收集完毕后,利用多种多元统计方法和手段如主成分分析、逐步回归等对指标进行降维。然后,选用银行特许权价值作为银行生存状态判定的依据,利用税前利润法,计算得到所有样本银行2007-2011年的特许权价值数据,并依此划定特许权价值阂值、计算银行的生存时间和最终生存状态。接着,利用Cox回归生存分析手段,计算银行的生存分析函数模型。最后,使用灰色预测GM(1,1)模型对2012年的我国商业银行特许权价值及生存率进行预测。预测结果发现,生存分析得到的生存率与特许权价值预测结果完全一样,但生存分析方法得到的生存率更具区分度,综合了更多因素,更客观,因此更适合用于实际分析。本文将在医药学上有广泛应用的生存分析模型应用到经济领域中,得到的模型预测效果较好,为银行风险预警的研究的多样化提供了一种新的思路。
[Abstract]:In the late 20th century, when the globalization economy became more and more obvious, the economic and trade exchanges among countries in the world became more and more closely linked with the progress of science and technology. The control of financial risk has become one of the problems that must be considered and studied deeply in the development of various countries. In essence, commercial banks are financial institutions with operational risks, and whether they can accept the severe test in the process of financial transformation has become the focus of attention. Especially since 2010, China's commercial banks have started to implement the Basel New Capital Accord step by step. Having strong risk management ability and level has become the basic requirement for the steady operation and healthy development of commercial banks. This paper firstly divides financial risk into credit risk, operational risk, liquidity risk and capital risk according to the expression form of commercial bank risk, selects the index widely recognized by domestic and foreign experts and scholars, and constructs the early warning index system. Secondly, according to the annual report of the bank 2007-2011, the index data is collected. After the data collection is finished, the index is reduced by a variety of multivariate statistical methods and means, such as principal component analysis, stepwise regression and so on. Then, the concession value of the bank is selected as the basis for judging the bank's survival status, and the concession value data of all sample banks from 2007 to 2011 are calculated by using the pre-tax profit method, and the threshold value of the concession value is determined accordingly. Calculate the survival time and final survival state of the bank. Then, the survival analysis function model of banks is calculated by means of Cox regression survival analysis. Finally, the grey predictive GM (1 / 1) model is used to predict the franchise value and survival rate of Chinese commercial banks in 2012. The results show that the survival rate obtained by survival analysis is exactly the same as that by franchise value prediction, but the survival rate obtained by survival analysis method is more discriminative, more comprehensive and more objective, so it is more suitable for practical analysis. In this paper, the survival analysis model, which is widely used in medicine and pharmacy, is applied to the economic field, and the prediction effect of the model is good, which provides a new way of thinking for the diversification of the study of bank risk early warning.
【学位授予单位】：武汉理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.2;F224

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