CAJ | 학술논문

文章基于2002-2013年十六家上市银行数据、动态面板工具变量模型及多目标优化方法, 对中国商业银行风险、收益协调关系进行了研究. 首先通过对商业银行效益、风险的全面衡量, 利用综合评价法、时序全局主成分分析方法得到效益、风险指数, 建立了风险和效益的指数模型. 其次对效益、风险模型分别控制其内在因素, 得到商业银行所能承受的风险的上限值和效益的下限值. 再次将外部宏观经济、金融环境等因素加进去, 重新得到效益、风险模型, 以这两个模型为基础, 求解得到效益约束下的风险与风险约束下的效益. 最后测度我国商业银行效益与风险二者相对应的最优协调区间, 得到如下结论: 包含风险的相对效益范围为[0.86,1.15], 超过这个范围, 可能就需要以加大风险为代价.
문장기우2002-2013년십륙가상시은행수거、 동태면판공구변량모형급다목표우화방법, 대중국상업은행풍험、수익협조관계진행료연구. 수선통과대상업은행효익、 풍험적전면형량, 이용종합평개법、 시서전국주성분분석방법득도효익、풍험지수, 건립료풍험화효익적지수모형. 기차대효익、 풍험모형분별공제기내재인소, 득도상업은행소능승수적풍험적상한치화효익적하한치. 재차장외부굉관경제、 금융배경등인소가진거, 중신득도효익、 풍험모형, 이저량개모형위기출, 구해득도효익약속하적풍험여풍험약속하적효익. 최후측도아국상업은행효익여풍험이자상대응적최우협조구간, 득도여하결론: 포함풍험적상대효익범위위[0.86,1.15], 초과저개범위, 가능취수요이가대풍험위대개.
Based on the 16 listed banks data from 2002 to 2013, the variable model of dynamic panel instrument and multi-obje-ctive optimization method, the research is done on China's commercial bank risks and returns coordination. Firstly, by the comprehen-sive measure of the commercial bank returns and risk, using the method of comprehensive evaluation and the principal component of comprehensive sequence analysis method, this paper gets the returns and risks index and establishes the risks and returns index model. Secondly, the paper controls the intrinsic factors of the returns and risks models to get the upper limit of the risks and the lower limit of the returns. Then, the external macro economic and financial environment factors are added to regain the returns and risk models. On the basis of the two models, it gets the returns under the constraint of risks and risks under the restriction of benefits. Finally, the pa-per measures the corresponding optimal benefit and the coordination interval of commercial bank efficiency and risks in our country and get the following conclusions: the relative efficiency range, risks included, is[0.86,1.15]. Once out of the scope, they may need to in-crease the risk for the price.