| 基于主成分分析法的我国商业银行系统性风险的度量 |
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| 引用本文： | 盖曦,乔龙威.基于主成分分析法的我国商业银行系统性风险的度量[J].长沙大学学报,2013(5):100-103. |
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| 作者姓名： | 盖曦 乔龙威 |
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| 作者单位： | 安徽财经大学金融学院,安徽蚌埠233030 |
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| 摘 要： | 运用主成分分析法选取2007年第4季度到2013年第1季度的我国14家上市商业银行的季度净资产收益率作为研究对象,度量了我国商业银行系统性风险.度量结果发现,金融危机过后,我国银行系统性风险在高位运行,由于我国立即采取了应对措施,2009年第3季度后其系统性风险有所降低.但是从2010年至今,银行系统性风险仍在震动中微弱上升.
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| 关 键 词： | 银行系统性风险 主成分分析法 净资产收益率 |
Systemic Risk Measurement of Commercial Banks in China Based on Principal Components Analysis |
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| GAI Xi,QIAO Longwei.Systemic Risk Measurement of Commercial Banks in China Based on Principal Components Analysis[J].Journal of Changsha University,2013(5):100-103. |
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| Authors: | GAI Xi QIAO Longwei |
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| Institution: | ( School of Finance, Anhui University of Finance ＆ Economics, Bengbu Anhui 233030, China) |
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| Abstract: | This paper measures the systemic risk of commercial banks in China based on principal components analysis, which employs the ROE data of listing commercial banks from the fourth quarter of 2007 to the first quarter of 2013. The results show that the systemic risk was at a high level during the financial crisis, then it decreased after the government took countermeasures and climbed weakly in vibration since 2010. |
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| Keywords: | systemic risk of banks principal components analysis ROE |
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