基于ZSCORE指数的中国商业银行破产风险分析-山东农业大学.PDFVIP

山东农业大学学报 自然科学版( ),2014,45(2):293-297 VOL.45NO.22014 JournalofShandongAgriculturalUniversity(NaturalScienceEdition) doi:10.3969/j.issn.1000-2324.2014.02.024 基于ZSCORE指数的中国商业银行破产风险分析 张静娴* 重庆大学经济与工商管理学院,重庆400030 摘 要：随着金融市场的开放，银行业竞争的加大，以及存款保险制度即将推出的可能性，提高我国商业银行的风险管 理水平 保障其破产风险尤为重要。为分析我国商业银行破产风险与绩效及资本结构的关系 为破产风险管理提供建议 2000 2012 21 ZSCORE ZSCORE 以我国 年到 年 家商业银行为样本面板数据，引入 指数衡量商业银行破产风险的大小 值越大，破产风险越小。然后建立破产风险-资本结构绩效固定效应模型。通过回归分析发现，模型剔除了效率比率 仅 核心资本充足率 资产收益率和资产结构比率与银行破产风险显著相关 且均正相关。即保持银行经营绩效 负债比率 不变时 不能通过优化资本结构而提高银行稳定性水平；或是资本结构及负债比率不变时 银行的高收益暗示着高风险。 关键词：商业银行; 资本结构; 经营绩效; 破产风险 中图法分类号：F832.59 文献标识码：A 文章编号：1000-2324(2014)02-0293-05 Analysis on the Bankruptcy Risk of Chinese Commercial Banks BasedonZSCOREIndex ZHANGJing-xian1* CollegeofEconomicsBusinessAdministration, ChongqingUniversity,Chongqing400030,China Abstract: With the open of financial market, the cruel competition in banking, and the launching possibility of deposit insurancesystem,improvingthelevelofriskmanagementincommercialbanksespeciallythebankruptcyriskbecomesmoreand more important. In order to analysis the relationship between bankruptcy risk, performing and capital structure and to offer suggestiontobankruptcyriskmanagement,thispaperadoptedthesampleof21commercialbanksinChinaovertheperiod2000 to 2012 andappliedthe ZSCORE index in orderto weigh how much risk dothebanks bankruptcy. Thenbuilt the fixed effect modelofbankruptcyrisk-capital structureandperformancemodel.Empiricalresultsfoundthatthemodelrejectedtheefficiency ratio, while the core capital adequacy ratio, ROA, asset structureratio were all have negative correlation with the stability of banks.Which meaned if we remained the ROA and the ratio of liabilityunchanged, we couldnot improve the banks’stability degreebyo