基于因子分析的我国商业银行信用风险的实证研究  

The Empirical Study of Credit Risk of Commercial Banks of China Based on the Factor Analysis

作　　者：沈红丽[1] 金善女[2] 丁建新[3] 金浩[1] 

机构地区：[1]河北工业大学管理学院,天津300130 [2]河北工业大学外国语学院,天津300130 [3]保定市建设银行,河北保定071051

出　　处：《河北工业大学学报》2006年第5期56-60,共5页Journal of Hebei University of Technology

摘　　要：根据美国的CAMEL评价体系并结合我国商业银行的现状和特点,将成长性指标纳入考核体系,尝试构建商业银行信用风险评价指标体系,并运用因子分析法进行实证分析.结果表明:资本充足性、成长性和流动性对我国商业银行信用风险的解释能力较强,其后依次为盈利性、管理水平和资产安全性.根据分析结果,提出相应的政策建议.Based on American＇s system of the evaluation of credit risk of commercial banks; that is capital adequacy, assets quality, management, profitability and liquidity, combined with the present situation and the feature of China＇s commercial banks, this paper puts the growth index into the system of evaluation and constructs the system of evaluation of credit risk for commercial banks, and carries the empirical analysis with factor analysis. Results from empirical studies are shown as follows： ranked according to the explanatory ability from big to small, capital adequacy growth ability and liquidity, profitability, management quality and assets quality are key indexes to evaluate credit risk. At last this paper puts forward corresponding policy and advices based on the result of analysis.

关 键 词：商业银行 信用风险 指标体系 因子分析 

分 类 号：F830[经济管理—金融学]