不同股权结构商业银行信用风险分析——基于宏观经济因素视角  

Credit Risk Analysis of Commercial Banks with Different Ownership Structure: Based on Macro Economic Factors

作　　者：霍源源[1] 李江[1] 冯宗宪[1] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061

出　　处：《财贸研究》2016年第4期85-94,共10页Finance and Trade Research

基　　金：国家社会科学基金项目"防范新形势下的银行信贷风险"(09BJY105)

摘　　要：运用CPV(Credit Portfolio View)模型度量中国商业银行的信用风险,以分析宏观经济因素对国有商业银行、股份制商业银行和城市商业银行等不同股权结构商业银行信用风险的影响差异。结果表明:国有银行信贷风险的产生与政府行为过多干预相关,而其他商业银行不良贷款的发生则对宏观经济运行状况指标的变动更为敏感;在经济下行周期,过多依赖信贷规模扩张的盈利方式不利于商业银行对信用风险的防范。The paper measures the credit risk of commercial banks by CPV （ Credit Portfolio View） model and investigates the influence of different macroeconomic factors on credit risk of three kinds of com- mercial banks, state - owned commercial bank, joint stock commercial banks and city commercial banks, etc., with different ownership structure. Empirical studies shows that generation of credit risk in state - owned banks are related to excessive interference from government, the emergence of non- performing loans in other banks are more sensitive to the indices which direct response to economic situation. Mean- while, to rely too much on credit expansion is not good for prevention against the commercial bank credit risk in economic downturn cycle.

关 键 词：信用风险 宏观经济因素 商业银行股权结构 

分 类 号：F832.4[经济管理—金融学]