商业银行风险管理绩效评价研究——基于AHP-DEA方法的评价框架

Risk Management Performance of Commercial Banks: An Evaluation Framework Based on the AHP-DEA Method

随着商业银行全面风险管理的加快实施,风险管理绩效评价对于提升风险管理水平的必要性与紧迫性日益凸显。本文按照"投入-产出"理念构造了评价风险管理绩效的指标,对风险指标区分度、一致性、计分方法进行了讨论。利用AHP、DEA方法构建了一个风险管理绩效综合评价框架。该评价框架借助AHP方法实现了多维度指标的整合和降维,并为DEA模型提供了有效输入,同时将相关受评价单位的风险管理效率与传统的风险评价得分结合,可对经营单位的风险管理绩效进行综合评价。本文基于某商业银行进行的实例分析,表明该框架能够有效地改进商业银行风险管理绩效评价工作,为商业银行全面风险管理乃至银行业系统性风险评估提供有效抓手。

The evaluation of risk management performance has become increasingly important for improving the capacity of risk management of commercial banks. This paper constructs a set of indicators for risk management performance according to the input-output theory, and discusses the classification, consistency, and assessment methods for these indicators. This paper then develops an evaluation framework for risk management performance with the AHP-DEA method. This framework is capable to comprehensively assess the risk management performance of commercial banks, as it uses the AHP method to reduce the complexity and to integrate the indicators, to provide efficient inputs for the DEA model, and to combine risk management efficiencywith scores of traditional risk evaluations. This framework is then applied to a commercial bank in China, and the results suggest that this framework is able to improve risk management performance of commercial banks.