摘要
设计了中国商业银行压力指数、测算出商业银行压力指数的具体风险构成情况并对商业银行压力指数做了短期预测。研究发现:中国商业银行压力指数在2010-2017年呈现波动上升的状态,其中流动性风险和信用风险占有较大比重,操作风险有极大地不确定性,构造的模型能较好的拟合商业银行真实的风险水平,能较准确的预测短期中国商业银行压力指数大小。
In order to describe the development trend of the overall risk of commercial banks,analysis the risk composition of commercial banks,This paper designs the pressure index of Chinese commercial banks,and calculate the concrete risk composition of the pressure index of commercial banks,finally,predict the pressure index of commercial banks in the short term.Research finds:the pressure index of Chinese commercial banks appears a fluctuant rising trend with a large proportion of liquidity risk and credit risk,and there is a great uncertainty in operating risk.The model can fit the real risk level of commercial banks,and it can predict the pressure index of Chinese commercial banks accurately in the short-term.
作者
沈丽
甘新亚
李文君
SHEN Li;GAN Xin-ya;LI Wen-jun(Shandong University of Finance and Economics,Jinan 250014,China)
出处
《山东工商学院学报》
2019年第1期56-67,共12页
Journal of Shandong Technology and Business University
基金
国家社会科学基金项目"新常态初期区域金融风险生成机理及防控对策研究"(16BGL052)
