基于因子分析的我国商业银行信用风险的实证研究

The Empirical Study of Credit Risk of Commercial Banks of China Based on the Factor Analysis

根据美国的CAMEL评价体系并结合我国商业银行的现状和特点,将成长性指标纳入考核体系,尝试构建商业银行信用风险评价指标体系,并运用因子分析法进行实证分析.结果表明:资本充足性、成长性和流动性对我国商业银行信用风险的解释能力较强,其后依次为盈利性、管理水平和资产安全性.根据分析结果,提出相应的政策建议.

Based on American＇s system of the evaluation of credit risk of commercial banks; that is capital adequacy, assets quality, management, profitability and liquidity, combined with the present situation and the feature of China＇s commercial banks, this paper puts the growth index into the system of evaluation and constructs the system of evaluation of credit risk for commercial banks, and carries the empirical analysis with factor analysis. Results from empirical studies are shown as follows： ranked according to the explanatory ability from big to small, capital adequacy growth ability and liquidity, profitability, management quality and assets quality are key indexes to evaluate credit risk. At last this paper puts forward corresponding policy and advices based on the result of analysis.