商业银行效益风险协调区间研究  

The Estimation and Optimization of Returns and Risks of Commercial Bank Coordination Interval

作　　者：高艳平[1] 李立新[1] 

机构地区：[1]山西财经大学,山西太原030006

出　　处：《技术经济与管理研究》2015年第9期99-104,共6页Journal of Technical Economics & Management

基　　金：山西省研究生创新项目重点课题(20143016);山西省高校人文社会科学研究基地资助项目

摘　　要：文章基于2002-2013年十六家上市银行数据、动态面板工具变量模型及多目标优化方法,对中国商业银行风险、收益协调关系进行了研究。首先通过对商业银行效益、风险的全面衡量,利用综合评价法、时序全局主成分分析方法得到效益、风险指数,建立了风险和效益的指数模型。其次对效益、风险模型分别控制其内在因素,得到商业银行所能承受的风险的上限值和效益的下限值。再次将外部宏观经济、金融环境等因素加进去,重新得到效益、风险模型,以这两个模型为基础,求解得到效益约束下的风险与风险约束下的效益。最后测度我国商业银行效益与风险二者相对应的最优协调区间,得到如下结论:包含风险的相对效益范围为[0.86,1.15],超过这个范围,可能就需要以加大风险为代价。Based on the 16 listed banks data from 2002 to 2013, the variable model of dynamic panel instrument and multi-objective optimization method, the research is done on China＇s commercial bank risks and returns coordination. Firstly, by the comprehen- sive measure of the commercial bank returns and risk, using the method of comprehensive evaluation and the principal component of comprehensive sequence analysis method, this paper gets the returns and risks index and establishes the risks and returns index model. Secondly, the paper controls the intrinsic factors of the returns and risks models to get the upper limit of the risks and the lower limit of the returns. Then, the external macro economic and financial environment factors are added to regain the returns and risk models. On the basis of the two models, it gets the returns under the constraint of risks and risks under the restriction of benefits. Finally, the paper measures the corresponding optimal benefit and the coordination interval of commercial bank efficiency and risks in our country and get the following conclusions： the relative efficiency range, risks included, is[0.86,1.15]. Once out of the scope, they may need to in- crease the risk for the price.

关 键 词：商业银行 效益风险 风险约束 协调优化 

分 类 号：F830.33[经济管理—金融学]