基于变结构KMV模型的商业银行风险承担度量研究  

An Study on Measurement of Commercial Bank Risk Taking Based on Variable Structure KMV Models

作　　者：姚德权[1] 张宏亮[1] 黄学军[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082

出　　处：《中国软科学》2015年第11期109-122,共14页China Soft Science

摘　　要：以16家在沪深股票市场上市交易的商业银行为样本,引入资产价格变结构点非参数检验方法,基于变结构KMV模型对商业银行风险承担进行度量。实证研究结果表明,在2007-2013年,上市商业银行的资产价格表现出显著的变结构特征,相对于不良贷款率、加权风险资产占总资产比例以及Z指数等风险承担度量指标,基于变结构KMV模型的风险承担度量方法有更强的前瞻性,其风险预警功能相对较强。Taking the listed commercial banks as the research object, this paper designs the measurement method of commercial bank risk taking based on variable structure KMV models by introducing the non-parametric test of the structural break point of the asset price. The empirical study is conducted by taking the 16 commercial banks which are listed in Shanghai and Shenzhen Stock Exchange as the samples, the result shows that during the year from 2007 to 2013, the structural break characteristic of the commercial banks＇ asset price is significant. Meanwhile, compared to bad loan ratio,weighted risk asset to total asset and the Z-score, the risk taking evaluation technology based on variable structure KMV models is a more forward-looking method with a better risk-warning ability.

关 键 词：商业银行 风险承担 变结构KMV 度量模型 

分 类 号：F832.33[经济管理—金融学]