我国上市商业银行财务风险预警研究
发布时间：2018-10-29 22:15
【摘要】：利率的市场化改革将对我国上市商业银行依赖的政策性利差保护构成严峻的挑战，政策调整和宏观经济的波动等不确定因素也对上市商业银行经营产生重要的影响。通过结合我国的现实情况，进行上市商业银行财务风险预警研究，对监管部门实施监管具有现实意义。 以上市商业银行财务风险理论和上市商业银行风险预警理论为基础，分析了我国上市商业银行的财务风险的特点及影响因素，资本风险、资产安全风险、流动性风险、盈利性风险和管理能力风险五个方面建立上市商业银行财务风险的指标体系，运用因子分析的方法进行综合的分析。通过因子分析结果，建立了Logistic财务风险预警模型。 本文的结构安排如下，第一章为导论，主要介绍了我国上市商业银行财务风险预警研究的研究背景及意义。第二章主要介绍了上市商业银行财务风险预警相关的理论。第三章根据对商业银行的财务风险进行分析，将其分为了五大类分别为资本风险、资产安全风险、流动性风险、盈利风险和管理水平风险，并对这五大类风险进行了介绍。第四章的内容主要是关于上市商业银行财务风险预警指标的构建。第五章的主要内容是对上市商业银行财务风险预警进行实证研究。根据因子分析的方法，依据我国2010年到2012年的16家上市商业银行的财务数据进行实证分析，得到各商业银行的综合因子的得分情况，，以此来将上市商业银行划分为有风险的上市商业银行和经营正常的上市商业银行，在此基础上来建立Logistic财务预警模型，并对模型进行检验，最后通过检验得到很好的预测效果，具有一定的实用价值。
[Abstract]:The market-oriented interest rate reform will pose a severe challenge to the protection of the policy spread which the listed commercial banks depend on in our country. The uncertain factors such as policy adjustment and macroeconomic fluctuation will also have an important impact on the operation of listed commercial banks. Combining with the reality of our country, the financial risk early warning research of listed commercial banks is of practical significance to the supervision of the supervision department. Based on the above theory of financial risk of commercial banks and the risk warning theory of listed commercial banks, this paper analyzes the characteristics and influencing factors of financial risks of listed commercial banks in China, including capital risk, asset safety risk, liquidity risk. This paper establishes the index system of financial risk of listed commercial banks in five aspects: profitability risk and management ability risk, and makes a comprehensive analysis by using factor analysis method. Through factor analysis, the Logistic financial risk early warning model is established. The structure of this paper is as follows: the first chapter is the introduction, mainly introduces the research background and significance of the financial risk early warning research of listed commercial banks in China. The second chapter introduces the theory of financial risk warning of listed commercial banks. The third chapter analyzes the financial risks of commercial banks and divides them into five categories: capital risk, asset safety risk, liquidity risk, profit risk and management level risk. The fourth chapter is mainly about the construction of financial risk warning index of listed commercial banks. The fifth chapter is an empirical study on financial risk warning of listed commercial banks. According to the method of factor analysis, according to the financial data of 16 listed commercial banks from 2010 to 2012, we get the scores of the comprehensive factors of each commercial bank. On this basis, the listed commercial banks are divided into listed commercial banks with risks and listed commercial banks with normal operation. On this basis, the financial early-warning model of Logistic is established, and the model is tested. It has certain practical value.
【学位授予单位】：武汉理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F830.42
本文编号：2298984
[Abstract]:The market-oriented interest rate reform will pose a severe challenge to the protection of the policy spread which the listed commercial banks depend on in our country. The uncertain factors such as policy adjustment and macroeconomic fluctuation will also have an important impact on the operation of listed commercial banks. Combining with the reality of our country, the financial risk early warning research of listed commercial banks is of practical significance to the supervision of the supervision department. Based on the above theory of financial risk of commercial banks and the risk warning theory of listed commercial banks, this paper analyzes the characteristics and influencing factors of financial risks of listed commercial banks in China, including capital risk, asset safety risk, liquidity risk. This paper establishes the index system of financial risk of listed commercial banks in five aspects: profitability risk and management ability risk, and makes a comprehensive analysis by using factor analysis method. Through factor analysis, the Logistic financial risk early warning model is established. The structure of this paper is as follows: the first chapter is the introduction, mainly introduces the research background and significance of the financial risk early warning research of listed commercial banks in China. The second chapter introduces the theory of financial risk warning of listed commercial banks. The third chapter analyzes the financial risks of commercial banks and divides them into five categories: capital risk, asset safety risk, liquidity risk, profit risk and management level risk. The fourth chapter is mainly about the construction of financial risk warning index of listed commercial banks. The fifth chapter is an empirical study on financial risk warning of listed commercial banks. According to the method of factor analysis, according to the financial data of 16 listed commercial banks from 2010 to 2012, we get the scores of the comprehensive factors of each commercial bank. On this basis, the listed commercial banks are divided into listed commercial banks with risks and listed commercial banks with normal operation. On this basis, the financial early-warning model of Logistic is established, and the model is tested. It has certain practical value.
【学位授予单位】：武汉理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F830.42
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