上市商业银行财务风险预警模型研究

发布时间：2018-03-05 09:38

本文选题：上市　切入点：商业银行　出处：《天津财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：2014年,随着党的十八大的顺利召开,利率市场化被写进了政府工作报告,这也意味着我国商业银行业开启了利率市场化的大门。在利率市场化的大背景下,商业银行不但受到互联网金融先进技术和良好用户体验的冲击,商业银行赖以生存的存款贷款之间的利率差不在得到国家政策的庇护,此时的商业银行实现转型、如何控制好自身所面临的风险,尤其对财务风险的控制程度就对商业银行的稳健经营就显得尤为重要。本文主要分为五大部分。首先绪论部分主要介绍了对于上市商业银行财务风险预警模型研究的背景和研究,即利率市场化的开启在即,以及互联网金融等作为利率市场化的线头部队,对于利率市场化有一定推动作用并对商业银行的财务运行状况产生一定的风险,本文对于财务风险预警模型的研究对于商业银行有一定借鉴意义,最后对于国内外的相关文献做了一定的阐述和总结利润我国相关尽管部门如中国中央银行和中国银行业监管协会出台的有关财务风险防范方面的政策、文件以及相关学者对于财务风险防范方面的研究和理论等等。然后对于上市商业银行的相关理论及概做了详细的介绍,例如委托代理理论、金融脆弱性理论和财务行为学理论,对于财务风险的具体内容、财务风险的特征例如财务风险的不确定性、财务风险的客观必然性和财务风险的全面性做了简要的概括,以及将财务风险的各方面影响因素分为外部因素和内部因素两大方面也做了简单介绍。接着,本文介绍分析了对于所要研究构建的财务风险预警模型的思路,主要分为相关财务指标的选取标准和原则包括全面性原则、前瞻性原则、针对性原则和准确性原则四个大方面的原则、最终经过综合考虑和权衡利弊选择了净利润增长率、净资产收益率、净利差率、加权风险资产净利率、资本充足率、核心资本充足率、不良贷款修正率、拨备充足率、单一最大客户贷款比例修正率、存贷款比例这十个指标作为具有代表性的指标对商业银行的财务风险进行预测,财务风险预警模型的简单介绍包括所使用的方法、具体公式和运行的具体步骤,相关上市商业银行财务指标的原始数据的获取并最终运用因子分析法中的主成分分析法对于15家上市商业银行从2010年到2012年的财务指标数据进行分析、打分并将最后的打分结果进行了排名,既有横向的商业银行之间进行比较,也有纵向的单个商业银行连续3年的得分情况趋势比较。最后本文在已经得出的结论的基础上提出了针对商业银行财务风险的对策和改进建议。
[Abstract]:In 2014, with the smooth convening of the 18 National Congress of the Party, the marketization of interest rate was written into the government work report, which means that the commercial banking industry of our country has opened the door of interest rate marketization. Commercial banks are not only impacted by the advanced technology of Internet finance and good user experience, but also the interest rate difference between deposits and loans that commercial banks rely on is not sheltered by the state policy. At this time, the commercial banks are undergoing transformation. How to control the risks they face, Especially, the degree of controlling financial risk is very important to the steady management of commercial banks. This paper is divided into five parts. First, the introduction mainly introduces the early warning model of financial risk of listed commercial banks. The background and research, That is, the opening of interest rate marketization is imminent, as well as Internet finance, as the line force of interest rate marketization, has a certain role in promoting the interest rate marketization and has certain risks to the financial operation of commercial banks. The research of financial risk warning model in this paper has some reference significance for commercial banks. In the end, the relevant documents at home and abroad are elaborated and summarized in terms of profits. Although the relevant departments of China, such as the Central Bank of China and the China Banking Regulatory Association, have issued policies on the prevention of financial risks, The paper and related scholars' researches and theories on financial risk prevention and so on. Then the relevant theories and generalizations of listed commercial banks are introduced in detail, such as principal-agent theory, financial vulnerability theory and financial behavior theory. The specific content of financial risk, the characteristics of financial risk, such as the uncertainty of financial risk, the objective inevitability of financial risk and the comprehensiveness of financial risk are briefly summarized. And the financial risk factors are divided into external factors and internal factors. Then, this paper introduces and analyzes the ideas of the financial risk early-warning model to be studied. The selection criteria and principles of related financial indicators include the comprehensive principle, the forward-looking principle, the targeted principle and the accuracy principle. Finally, the net profit growth rate is selected after comprehensive consideration and weighing advantages and disadvantages. Rate of return on net assets, net profit margin, weighted net interest rate on risk assets, capital adequacy ratio, core capital adequacy ratio, non-performing loan correction rate, reserve adequacy ratio, single largest customer loan ratio correction rate, The ten indicators of deposit and loan ratio are used as representative indicators to forecast the financial risk of commercial banks. The brief introduction of the financial risk warning model includes the methods, specific formulas and specific steps of operation. The acquisition of the original data of the financial indicators of the listed commercial banks and the analysis of the financial index data of 15 listed commercial banks from 2010 to 2012 by using the principal component analysis method of factor analysis. Score and rank the final score results, comparing the horizontal commercial banks, There is also a vertical single commercial bank score trend comparison for three consecutive years. Finally, this paper puts forward the countermeasures and improvement suggestions for commercial bank financial risk on the basis of the conclusions that have been reached.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F830.42

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