摘要
商业银行系统性金融风险不仅羁绊银行本身的发展,更严重阻碍了经济的平稳运行。综合考虑微观银行层面以及宏观经济层面对商业银行系统性金融风险的影响来选取指标,然后在主成分分析基础上采用综合指数法对山东省商业银行的系统性金融风险进行度量,实证结果拟合了山东省商业银行系统性金融风险的变动趋势,最后对其变动趋势进行深入分析,并提出防范山东省商业银行系统性金融风险的对策建议。
The systematic financial risk of commercial banks not only hinders the development of banks themselves,but also hinders the smooth operation of the economy. Selecting indicators based on the influence of banks and macro economy on the systematic financial risk of commercial banks,the article applies the comprehensive index method to measure the systematic risk of Shandong provincial commercial bank on the basis of the principal component analysis.The empirical result fits the change trend of the systematic risk of Shandong Provincical Commercial Bank. Finally,the changing trend is analyzed and the countermeasures and suggestions are proposed to prevent the systematic risk of commercial banks in Shandong Province.
作者
安起光
王聪聪
邵明新
AN Qiguang;WANG Congcong;SHAO Mingxin(l.School of Mathematics and Quantitative Economics,Shandong University of Finance and Economics,Jinan 250014, China;School of Finance ,Shandong University of Finance and Economics, Jinan 250014,China)
出处
《经济与管理评论》
CSSCI
北大核心
2018年第3期143-152,共10页
Review of Economy and Management
基金
国家自然科学基金项目"非线性期望理论下的极限定理及其金融风险测度中应用的研究"(11501325)
山东省研究生教育创新计划项目"培养与提高金融数学与金融工程方向研究生创新能力的研究"(SDYY14058)
山东省社会科学规划重大委托项目"山东省金融产业发展的风险测度研究"(14AWTJ01-17)
关键词
系统性金融风险
山东省商业银行
主成分分析
综合指数法
Systematic financial risk
Shandong provincial commercial bank
Principal component analysis
Comprehensive index method
