本文關(guān)鍵詞： 商業(yè)銀行風(fēng)險(xiǎn) 層次分析法 時(shí)間序列 風(fēng)險(xiǎn)預(yù)警　出處：《青島科技大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：伴隨著經(jīng)濟(jì)全球化的不斷深入，世界各國經(jīng)濟(jì)相互依存度越來越高，商業(yè)銀行風(fēng)險(xiǎn)的易發(fā)性、聯(lián)動(dòng)性和破壞性也越來越明顯。目前，我國商業(yè)銀行的風(fēng)險(xiǎn)管理側(cè)重于風(fēng)險(xiǎn)的事中控制和事后補(bǔ)救，往往忽視了風(fēng)險(xiǎn)的事先管理。大量經(jīng)驗(yàn)表明，銀行在經(jīng)營過程中，風(fēng)險(xiǎn)隱患發(fā)現(xiàn)得越早，其造成的損失比率就越低。因此，建立商業(yè)銀行的風(fēng)險(xiǎn)預(yù)警系統(tǒng)在現(xiàn)階段顯得尤為重要。 本文的研究從我國商業(yè)銀行自身經(jīng)營管理的角度出發(fā)，在對商業(yè)銀行風(fēng)險(xiǎn)的特征、分類和成因進(jìn)行識(shí)別和分析的基礎(chǔ)上，運(yùn)用數(shù)學(xué)的定量分析方法構(gòu)建出風(fēng)險(xiǎn)預(yù)警指標(biāo)體系，進(jìn)而對商業(yè)銀行風(fēng)險(xiǎn)做出綜合評(píng)價(jià)分析，再結(jié)合時(shí)間序列的預(yù)測分析，，設(shè)計(jì)出與我國商業(yè)銀行的現(xiàn)狀及其特殊性相適應(yīng)的商業(yè)銀行風(fēng)險(xiǎn)預(yù)警系統(tǒng)的模型，最后通過樣本銀行對風(fēng)險(xiǎn)預(yù)警模型進(jìn)行實(shí)證研究。與現(xiàn)有商業(yè)銀行風(fēng)險(xiǎn)預(yù)警系統(tǒng)相比，本文構(gòu)建的風(fēng)險(xiǎn)預(yù)警系統(tǒng)具有一定的優(yōu)越性，主要表現(xiàn)在:（1）用層次分析法詳細(xì)地分析計(jì)算各單個(gè)指標(biāo)所占的權(quán)重大小。（2）對商業(yè)銀行的風(fēng)險(xiǎn)水平應(yīng)用了多指標(biāo)綜合評(píng)價(jià)分析，有利于對商業(yè)銀行風(fēng)險(xiǎn)的綜合水平有總體的把握。（3）商業(yè)銀行風(fēng)險(xiǎn)預(yù)警系統(tǒng)運(yùn)用科學(xué)及系統(tǒng)化的方法，能適時(shí)地將未來可能的風(fēng)險(xiǎn)報(bào)告給經(jīng)營者、投資者。
[Abstract]:With the deepening of economic globalization, the degree of economic interdependence among countries in the world is becoming higher and higher, and the risk vulnerability, linkage and destruction of commercial banks are becoming more and more obvious. The risk management of commercial banks in our country focuses on the control and remedy of risks, and often neglects the prior management of risks. A great deal of experience shows that the earlier the hidden risks are discovered in the course of operation, the earlier the hidden risks are discovered. The lower the loss ratio is, the more important it is to establish a risk warning system for commercial banks. From the point of view of the management of commercial banks in our country, this paper, based on the identification and analysis of the characteristics, classification and causes of the risks of commercial banks, constructs a risk early warning index system by using the quantitative analysis method of mathematics. Then it makes a comprehensive evaluation and analysis of commercial bank risk, and then designs a model of commercial bank risk early warning system, which adapts to the current situation and particularity of our country's commercial bank, combined with the forecast and analysis of time series. Finally, through the sample bank to carry on the empirical research to the risk early warning model. Compared with the existing commercial bank risk early warning system, the risk early warning system constructed in this paper has certain superiority. It is mainly shown in: (1) Analytic hierarchy process (AHP) is used to analyze and calculate the weight of each single index in detail. (2) the multi-index comprehensive evaluation analysis is applied to the risk level of commercial banks. It is advantageous to have a general grasp of the comprehensive level of risks of commercial banks. 3) the risk early warning system of commercial banks can report the possible risks in the future to the managers and investors in good time by using scientific and systematic methods.
【學(xué)位授予單位】：青島科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.2

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