我国商业银行风险评价——基于年报数据的因子分析法

基于因子分析法以及商业银行年度报告中常用的经营指标作为风险因子来建立因子分析方程,并对商业银行风险进行评价,以及将评价结果与商业银行管理费用率进行回归后发现,两者之间存在明显的相关关系,商业银行风险评价得分越高,其风险水平就越低,其当年的管理费用率就越低,即商业银行风险管理水平对其当年的经营成本有直接影响。

Risk Assessment of Commercial Banks:A Factor Analysis Based on Annual Reports

Based on the factor analysis method and taking the operational index usually used in the annual reports of the commercial banks as the risk factors,this article establishes a factor analysis equation to assess the risks of commercial banks and analyzes the regression of the administrative expenses rate with the assessment results.It is found that there exists a significant correlation between the two: the higher the score of the commercial bank risk assessment,the lower the risk level,and the lower the admi...