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。
Firstly,this paper modifies traditional model of Z-scores by introduction of VaR,and then measures the level of security for China's 14 major banks and the world's top 100 banks by means of model of Z-scores based VaR.We further analyze and compare level of security and its influencing factors between domestic and foreign banks.Result suggests that security's mean values of China's banks are lower than those of the world's top 100 commercial banks over the period 2001-2006,but are relatively high over the period 2007-2009.Moreover,we find that factors such as assets scale growth rate,intermediation efficiency,concentration and per capita GDP have a stronger effect on the domestic banks than that on foreign banks,whereas effect of the level of non-interest income to total revenue and net interest margins on domestic banks' security is significantly weaker.These differences are mainly due to the differences of business structure and profit model between domestic and foreign commercial banks.
出处
《管理评论》
CSSCI
北大核心
2012年第2期24-30,共7页
Management Review
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)
关键词
商业银行安全
影响因素
基于VaR的Z值模型
commercial banks' security
influential factors
model of Z-scores based on VaR