【摘要】：利率的市場化改革將對我國上市商業(yè)銀行依賴的政策性利差保護構成嚴峻的挑戰(zhàn)，政策調整和宏觀經濟的波動等不確定因素也對上市商業(yè)銀行經營產生重要的影響。通過結合我國的現實情況，進行上市商業(yè)銀行財務風險預警研究，對監(jiān)管部門實施監(jiān)管具有現實意義。 以上市商業(yè)銀行財務風險理論和上市商業(yè)銀行風險預警理論為基礎，分析了我國上市商業(yè)銀行的財務風險的特點及影響因素，資本風險、資產安全風險、流動性風險、盈利性風險和管理能力風險五個方面建立上市商業(yè)銀行財務風險的指標體系，運用因子分析的方法進行綜合的分析。通過因子分析結果，建立了Logistic財務風險預警模型。 本文的結構安排如下，第一章為導論，主要介紹了我國上市商業(yè)銀行財務風險預警研究的研究背景及意義。第二章主要介紹了上市商業(yè)銀行財務風險預警相關的理論。第三章根據對商業(yè)銀行的財務風險進行分析，將其分為了五大類分別為資本風險、資產安全風險、流動性風險、盈利風險和管理水平風險，并對這五大類風險進行了介紹。第四章的內容主要是關于上市商業(yè)銀行財務風險預警指標的構建。第五章的主要內容是對上市商業(yè)銀行財務風險預警進行實證研究。根據因子分析的方法，依據我國2010年到2012年的16家上市商業(yè)銀行的財務數據進行實證分析，得到各商業(yè)銀行的綜合因子的得分情況，，以此來將上市商業(yè)銀行劃分為有風險的上市商業(yè)銀行和經營正常的上市商業(yè)銀行，在此基礎上來建立Logistic財務預警模型，并對模型進行檢驗，最后通過檢驗得到很好的預測效果，具有一定的實用價值。
[Abstract]:The market-oriented interest rate reform will pose a severe challenge to the protection of the policy spread which the listed commercial banks depend on in our country. The uncertain factors such as policy adjustment and macroeconomic fluctuation will also have an important impact on the operation of listed commercial banks. Combining with the reality of our country, the financial risk early warning research of listed commercial banks is of practical significance to the supervision of the supervision department. Based on the above theory of financial risk of commercial banks and the risk warning theory of listed commercial banks, this paper analyzes the characteristics and influencing factors of financial risks of listed commercial banks in China, including capital risk, asset safety risk, liquidity risk. This paper establishes the index system of financial risk of listed commercial banks in five aspects: profitability risk and management ability risk, and makes a comprehensive analysis by using factor analysis method. Through factor analysis, the Logistic financial risk early warning model is established. The structure of this paper is as follows: the first chapter is the introduction, mainly introduces the research background and significance of the financial risk early warning research of listed commercial banks in China. The second chapter introduces the theory of financial risk warning of listed commercial banks. The third chapter analyzes the financial risks of commercial banks and divides them into five categories: capital risk, asset safety risk, liquidity risk, profit risk and management level risk. The fourth chapter is mainly about the construction of financial risk warning index of listed commercial banks. The fifth chapter is an empirical study on financial risk warning of listed commercial banks. According to the method of factor analysis, according to the financial data of 16 listed commercial banks from 2010 to 2012, we get the scores of the comprehensive factors of each commercial bank. On this basis, the listed commercial banks are divided into listed commercial banks with risks and listed commercial banks with normal operation. On this basis, the financial early-warning model of Logistic is established, and the model is tested. It has certain practical value.
【學位授予單位】：武漢理工大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.33;F830.42

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