基于VaR的上市商业银行竞争力评价体系研究-金融学专业论文.docxVIP

提 要 金融是现代经济的核心 商业银行是我国金融机构体系的主体 作为公众企 业的商业银行在我国经济生活中占有极其重要的地位 它们的安全稳健经营关系 着经济的健康发展和社会的稳定 上市商业银行作为我国银行业中最具活力的一 部分 它们的经营业绩更是社会公众关注的焦点 商业银行在经营过程中面临金融风险 如市场风险 信用风险 流动性风险 操作风险和法律风险等 这些风险对商业银行的竞争力有着极大的影响 而传统 的商业银行竞争力评价体系往往忽略银行面临的风险状况 并缺少对各评价指标 的综合分析 上市银行相对于非上市银行的特殊性在于股票价格波动是上市银行经营状 况的最直接反映 因此 可以通过度量上市银行股票价格的波动性来考察它们面 临的风险信息 进而全面评价它们的综合竞争力 本文以基于 VaR 的上市商业银行竞争力评价体系研究为题 以我国四家上 市银行为实证研究对象 将风险价值(VaR)引入传统的竞争力评价指标体系中 然后利用因子分析法对原始数据进行处理 得到相关主因子 进而构建出上市银 行竞争力的综合评价新模型 最后 以不考虑 VaR 的竞争力评价体系为参照 对新模型的有效性进行实证检验 检验结果表明基于 VaR 的竞争力评价体系能 对上市银行的竞争力状况做出更为全面和客观的评价 关键词 风险价值(VaR) 商业银行 上市银行 竞争力 评价体系 ABSTRACT Finance is the core of modern economy. Commercial banks are the main part of China’ s financial institutional system and play an important role in China’ s economy. Their stable and healthy operation is closely related to the whole society’ s stability and prosperity. Listed commercial banks, which are the most competitive ones in China’ s banking, receive much attention from public. Therefore, how to evaluate listed banks’ competitiveness has become a hot topic. Commercial banks are more and more involved in financial risks in operation, including market risk, credit risk, floating risk, operational risk and law risk, which have tremendous negative impacts on commercial banks’ competitiveness. However, the traditional evaluation system overlooks banks’ risk exposure, lack of comprehensive analysis of individual evaluation indices. The distinctive feature of listed banks against non-listed ones is that the fluctuation of stock price is the most direct reflection of listed banks’ performance. Therefore, we can study the risk exposure through measuring the fluctuatio n of stock price of listed banks and then make comprehensive evaluation of these banks’ competitiveness. The paper focuses on how to evaluate the competitiveness of the four listed banks in China and introduces VaR (Value at Risk), which provides an easy way of measuring and managing financial ris