我国商业银行风险评价的实证研究

发布时间：2018-08-25 07:39

【摘要】：商业银行是高风险性的重要金融机构,其风险大小影响着经济社会的稳定性。而“十二五”期间,随着利率进一步市场化,资本市场进一步完善,我国商业银行所面临的各种风险将更复杂、形势更为严峻,这也对我国的监管机构提出了严格的要求。在此背景下,我国监管机构对商业银行的综合风险评价体系已经不能满足时代发展的需要,因此,完善我国商业银行风险评价体系有着重要意义。文章理论部分研究了商业银行及其风险的特征,根据商业银行风险的诱发因素对商业银行的风险进行分类,然后分别对每种风险的概念、来源、监管要求和现状进行了分析。在实证部分,根据每种风险选择评价指标,建立商业银行风险评价指标体系,评价我国16家上市商业银行的综合风险。为了更好的说明我国商业银行风险的具体水平,在世界银行排名前30名中选取5家国外商业银行作为比较数据。然后对指标体系先采用因子分析法赋权重为每一风险维度分别打分,再采用熵值法,计算我国商业银行风险的综合得分。最后研究结果表明,我国商业银行风险水平总体较低,且股份制商业银行的平均风险水平高于国有商业银行。在具体风险方面,我国商业银行在资本风险和操作风险方面落后于国外商业银行,但信用风险和盈利风险要优于国外商业银行,但应注意随着利率市场化的推进,这种优势在未来将难以保持。最后根据研究结论,对商业银行和监管机构分别提出了建议。从目前的研究来看,大多数文献中建立的商业银行风险评价体系的都未能全面的衡量商业银行的主要风险。文章可能的创新点在于：(1)指标体系考虑了操作风险。在指标体系中,采用主观评分的方式从操作风险的披露、内部控制、计量等方面为操作风险打分,间接评价操作风险。(2)对市场风险进行了量化。在指标体系中,选取了利率与汇率两方面的指标衡量了市场风险,较为全面的量化了市场风险。(3)增加了对比数据。选取国际大型商业银行作为对比银行,更为具体的说明我国商业银行目前的风险水平。
[Abstract]:Commercial bank is an important financial institution with high risk, and its risk affects the stability of economy and society. During the 12th Five-Year Plan period, with the further marketization of interest rates and the further improvement of the capital market, the various risks faced by commercial banks in China will be more complex and the situation is more severe, which also puts forward strict requirements for our country's regulatory bodies. In this context, the comprehensive risk assessment system of commercial banks in China has not been able to meet the needs of the development of the times. Therefore, it is of great significance to improve the risk assessment system of commercial banks in China. This paper studies the characteristics of commercial banks and their risks, classifies the risks of commercial banks according to their risk inducing factors, and then analyzes the concept, source, supervision requirements and current situation of each kind of risk. In the empirical part, according to each kind of risk selection evaluation index, the commercial bank risk evaluation index system is established to evaluate the comprehensive risk of 16 listed commercial banks in China. In order to better explain the specific level of the risk of commercial banks in China, 5 foreign commercial banks are selected as comparative data in the top 30 of the World Bank rankings. Then the index system is weighted by factor analysis method for each risk dimension, and then the entropy method is used to calculate the comprehensive score of the risk of commercial banks in China. The results show that the risk level of commercial banks in China is generally low and the average risk level of joint-stock commercial banks is higher than that of state-owned commercial banks. In terms of specific risks, Chinese commercial banks lag behind foreign commercial banks in terms of capital risk and operational risk, but credit risk and profit risk are better than foreign commercial banks. However, attention should be paid to the promotion of interest rate marketization. This advantage will be difficult to maintain in the future. Finally, according to the conclusions of the study, the commercial banks and the regulatory bodies respectively put forward recommendations. From the current research, most of the established risk assessment system of commercial banks can not comprehensively measure the main risks of commercial banks. The possible innovations of this paper are as follows: (1) operational risk is considered in the index system. In the index system, the subjective scoring method is used to evaluate the operational risk indirectly from the aspects of operational risk disclosure, internal control and measurement. (2) the market risk is quantified. In the index system, the index of interest rate and exchange rate is selected to measure the market risk, and the market risk is comprehensively quantified. (3) the comparative data are added. International large commercial banks are chosen as comparison banks to explain the current risk level of Chinese commercial banks more concretely.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

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