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| 风险厌恶测定与我国银行治理效率的实证研究 | |
| 引用本文： | 敬志勇,孔东民,厉吉斌.风险厌恶测定与我国银行治理效率的实证研究[J].当代经济科学,2010,32(6). |
| 作者姓名： | 敬志勇 孔东民 厉吉斌 |
| 作者单位： | 1. 上海师范大学,商学院,上海,200234 2. 华中科技大学,经济学院,湖北,武汉,430074 3. 上海浦东发展银行,上海,200437 |
| 摘 要： | 基于FDIC对商业银行贷款损失所设定的概率分布,本文利用VaR方法对商业银行风险厌恶程度进行了测定,并利用我国上市银行2004～2008年间的财务数据对商业银行的风险厌恶程度进行了实证分析,结果表明商业银行的风险控制可以反映其风险厌恶程度,风险厌恶程度在风险控制中得到充分体现.银行的风险厌恶程度越高,净资产回报率越高. |
| 关 键 词： | 风险厌恶 公司治理 银行风险管理 |
Measurement on Bank Risk Aversion and Empirical Research on China Banking Corporate Governance |
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| JING Zhi-yong,KONG Dong-min,LI Ji-bin.Measurement on Bank Risk Aversion and Empirical Research on China Banking Corporate Governance[J].Modern Economic Science,2010,32(6). | |
| Authors: | JING Zhi-yong KONG Dong-min LI Ji-bin |
| Institution: | JING Zhi-yong1,KONG Dong-min2,LI Ji-bin3(1.Business School,Shanghai Normal University,Shanghai 200234,China,2.Economics School,Huazhong University of Science & Technology,Wuhan 430074.China,3.Shanghai Pudong Development Bank,Shanghai 200437,China) |
| Abstract: | Based on FDIC hypothesis on banking default loss distribution,this paper measures bank risk aversion by VaR and conducts an empirical research on risk aversion from China listed banks with 2004-2008 financial data.Bank risk aversion can be reflected by risk control which can be affected by the former.We find that the more is the risk aversion,the higher is the ROE. |
| Keywords: | Risk aversion Corporate governance Banking risk management |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |