美国投资银行业的无清偿能力风险分析  

Insolvency Risk Analysis of U.S.Investment Banks

作　　者：姜凌[1] 冯晓菲[1] 

机构地区：[1]西南财经大学

出　　处：《国际金融研究》2010年第5期55-60,共6页Studies of International Finance

基　　金：教育部人文社科规划项目(06JA790091)《经济全球化条件下的国际货币体系改革》阶段性成果;西南财经大学“211”工程三期重点学科建设项目资助

摘　　要：本文根据Liang & Rhoades和McAllister & McManus提出的银行无清偿能力风险指数公式,对美国高盛、摩根士丹利、雷曼兄弟、美林、贝尔斯登五大投资银行的无清偿能力风险指数进行测算,并对测算结果进行分析说明。在对影响美国投资银行无清偿能力的因素进行实证分析的基础上,得出银行规模、股东权益比率、金融衍生品/总资产、净贷款占总资产的比重、流动性资产比率5个因素是影响美国投资银行无清偿能力风险的关键因素这一结论。Based on insolvency risk index formula of bank proposed by the Liang ＆ Rhoades and McAllister ＆ McManus, the paper calculates the insolvency risk index of the top five investment banks of the United States, namely Goldman Sachs, Morgan Stanley, Lehman Brothers, Merrill Lynch and Bear Steams, and analyzes the results. Following that, an empirical analysis is conducted on the factors that affect the insolvency risk of U.S. investment banks. Finally, according to the above analysis, we get the result that the five factors including the bank size, equity ratio, financial derivatives/total assets, net loans/total assets and liquid assets ratio are the key factors that affect the insolvency risk of investment banks.

关 键 词：投资银行 无清偿能力风险 股权收益率 金融衍生品 流动性资产比率 

分 类 号：F831[经济管理—金融学]