基于层次分析法的银行经营风险预警体系实证分析

Empirical Analysis on the Bank Operation Risk Early Warning System based on Analytic Hierarchy Process

采用层次分析法,选取GDP增长率、通货膨胀率、M2增长率、贷款收益率、资本利润率、存贷款比例、资本充足率、贷款损失率、不良贷款率、拆入资金比例、资产利润率、可疑贷款率共12个指标对风险进行分析评估,并确定其指标权重、安全区间与最终得分,对JS银行经营风险的预警体系进行实证分析,结果发现:从权重比例来看,对经营风险影响较大的有资产利润率、拆入资金比例、存贷款比例、可疑贷款率和贷款损失率;从具体各项指标的得分来看,对经营风险影响较大的有存贷款比例的高低、贷款损失率、可疑贷款率和资本利润率;由此得知,近年来在JS银行内导致经营风险偏高的主要原因之一为存贷款比例的不合理,比起宏观环境的影响,银行内部业务对经营风险的影响更重大。

This paper adopts the analytic hierarchy process,select the GDP growth rate,inflation rate,M2 growth rate,yield of the loans,capital profit margin,deposit and lending ratio,capital adequacy ratio and loan loss rate,the proportion of non-performing loans,funds borrowed,assets profit margins,a total of 12 suspected rates index to analyze risk assessment,respectively based on M matrix to determine the index weight,the safe interval and the final score of JS bank management risk early warning system for the empirical analysis.The results show that:from the point of weight ratio,the assets profit margin,the ratio of borrowed funds,the ratio of deposits and loans,the ratio of doubtful loans and the rate of loan losses that have a greater impact on business risks;From the perspective of a specific indicators score,the greater influence on the operational risks of deposit and lending ratio high and low,the loss rate of the loans,doubtful loans and capital profit margin.In recent years in operations within the JS bank is one of the main reasons for high risk for deposit and lending ratio is not reasonable,compared with the influence of the macro environment,the bank internal business more big to the influence of operating risk.