商业银行安全水平的测度及其影响因素——基于跨国数据的实证分析

发布时间：2018-01-02 11:43

本文关键词：商业银行安全水平的测度及其影响因素——基于跨国数据的实证分析　出处：《管理评论》2012年02期 　论文类型：期刊论文

【摘要】：本文首先引进VaR法对传统Z值模型进行了修正,然后借助于基于VaR的Z值模型对我国14家主要商业银行与全球前100家商业银行的安全水平进行了测度,在此基础上分析和比较了国内外银行的安全水平及其影响因素。研究表明:在2001-2006年间,国内银行安全的均值水平低于国外银行,而2007-2009年间国内银行安全的均值水平则相对较高。进一步研究发现:国内银行安全水平受资产规模增长率、中介效率、行业集中度、人均GDP水平等因素的影响程度显著高于国外银行,而受非利息收入占比水平、净利差等因素的影响程度则显著低于国外银行。上述不同主要源于国内外商业银行业务结构与盈利模式的差异。
[Abstract]:This paper introduces the VaR method of the traditional Z value model is modified, and then with the help of model measures the level of security for the main commercial banks in China in 14 and the world's top 100 banks value VaR Z based on factor analysis and comparison between domestic and foreign banks safety level and its effect on the basis of the research. Show that during 2001-2006, the average level of the domestic banking security is lower than that of foreign banks, while the mean level of 2007-2009 between domestic banking security is relatively high. Further research shows that the safety level of domestic banks by asset size growth rate, intermediary efficiency, industry concentration, influence factors such as the level of per capita GDP was significantly higher than that of foreign banks, and the proportion of non interest income level, degree of influence factors such as the net interest margin is significantly lower than foreign banks. These differences are mainly due to domestic and foreign commercial banks business structure and profit Pattern differences.

【作者单位】：复旦大学金融研究院;国家发展和改革委员会投资研究所;
【基金】：国家自然科学基金项目(71073025) 上海市哲学社科规划课题项目教育部人文社科项目(07JA790023)
【分类号】：F832.33;F224
【正文快照】： 问题提出与文献综述20世纪90年代的亚洲金融风暴以及2008年爆发的全球性金融危机在国际社会引发出对商业银行安全的思索和探讨。随着我国未来银行业对外开放与市场化程度的不断加深以及与全球金融市场联系的日趋紧密,国内商业银行能否确保安全运行,已成为大家广泛关注并亟待

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