基于DEA的我国银行业上市公司内部风险管控效率研究

Research on Internal Risk Management and Control Efficiency of China’s Banking Listed Companies Based on DEA

企业全面风险管控要求企业及时把握不断变化的价值创造机会并对所面临的挑战始终保持清醒,而商业银行的内部风险管控尤为重要,直接关系到银行业的发展和国家宏观调控的成败。本文选择16家A股银行业上市公司作为决策单元,对2012—2016年的数据采用数据包络分析(Data Envelopment Analysis,DEA)方法进行DEA-BCC静态分析和DEA-Malmquist分析,从投入产出角度,评价这16家银行的内部风险管控效率。研究发现,我国银行业上市公司的内部风险管控效率相对较好,但是整体内部风险管控效率在样本数据期间有所下降,建议银行业针对互联网经济制定应对政策。

Enterprise comprehensive risk management and control requires enterprises to grasp the ever-changing value creation opportunities and remain clear-headed. The risk management and control of commercial banks is particularly important, which is directly related to the development of the banking industry and the success of national macro-control. This paper selects 16 A-share banking listed companies as decision-making units, and uses Data envelopment analysis(DEA) method for DEA-BCC static analysis and DEA-Malmquist analysis for data from 2012 to 2016 to evaluate the internal risk management and control efficiency of these 16 banks. The study finds that the internal risk management and control efficiency of listed companies in China’s banking industry is relatively high, though the overall risk management and control efficiency has declined during the sample data period. It is recommended that the banking industry formulate a response policy for the Internet economy.