| 商业银行流动性风险评级及实证研究 |
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| 引用本文： | 刘妍,宫长亮.商业银行流动性风险评级及实证研究[J].系统工程,2010(12). |
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| 作者姓名： | 刘妍 宫长亮 |
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| 作者单位： | 大连理工大学管理学院;大连银行信贷评价与管理部; |
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| 摘 要： | 通过R型聚类分析筛选指标,设立商业银行流动性风险评价指标体系,运用熵值法确定指标权重及对商业银行流动性风险进行评级。以14家上市商业银行为对象进行流动性风险评级的实证分析和验证。本文的特色与创新一是通过采用可观测指标替代不可观测指标保证了银行流动性风险评级的可行。二是运用R型聚类分析剔除了相关性强的指标,避免了指标的无意义重复和累赘。三是通过熵值法反映出的指标差异程度大小来确定流动性风险评级的关键因素,保证了对重要指标进行流动性风险评价。四是研究结果表明该方法切实有效。
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| 关 键 词： | 流动性风险 指标选择 熵值法 聚类分析 |
Liquidity Risk Rating for Commercial Banks and Its Empirical Study |
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| LIU Yan,GONG Chang-liang.Liquidity Risk Rating for Commercial Banks and Its Empirical Study[J].Systems Engineering,2010(12). |
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| Authors: | LIU Yan GONG Chang-liang |
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| Institution: | LIU Yan1,2,GONG Chang-liang2(1.School of Management,Dalian University of Technology,Dalian 116024,China,2.Bank of Dalian,Dalian 116001,China) |
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| Abstract: | A new index system of commercial bank liquidity stress testing is set up after cluster analysis of R type.And then the index weight is determined by entropy method.Commercial bank liquidity risk is rated by taking 14 listed banks as samples.The contributions of this paper are as follows.Firstly,it is feasible for banks to assess liquidity risks by replacing unobservable ones with observable indices.Secondly,R cluster analysis is used to delete the correlations among indexes,thus avoiding repetition and cumb... |
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| Keywords: | Liquidity Risk Index Selection Entropy Method Clustering Analysis |
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