文档介绍：对外经济贸易大学
硕士学位论文
基于VaR的上市商业银行竞争力评价体系研究
姓名:陈栋
申请学位级别:硕士
专业:金融学
指导教师:奉立城
20040401
提要

金融是现代经济的核心商业银行是我国金融机构体系的主体作为公众企
业的商业银行在我国经济生活中占有极其重要的地位它们的安全稳健经营关系
着经济的健康发展和社会的稳定上市商业银行作为我国银行业中最具活力的一
部分它们的经营业绩更是社会公众关注的焦点
商业银行在经营过程中面临金融风险如市场风险信用风险流动性风险
操作风险和法律风险等这些风险对商业银行的竞争力有着极大的影响而传统
的商业银行竞争力评价体系往往忽略银行面临的风险状况并缺少对各评价指标
的综合分析
上市银行相对于非上市银行的特殊性在于股票价格波动是上市银行经营状
况的最直接反映因此可以通过度量上市银行股票价格的波动性来考察它们面
临的风险信息进而全面评价它们的综合竞争力
本文以基于 VaR 的上市商业银行竞争力评价体系研究为题以我国四家上
市银行为实证研究对象将风险价值VaR引入传统的竞争力评价指标体系中
然后利用因子分析法对原始数据进行处理得到相关主因子进而构建出上市银
行竞争力的综合评价新模型最后以不考虑 VaR 的竞争力评价体系为参照
对新模型的有效性进行实证检验检验结果表明基于 VaR 的竞争力评价体系能
对上市银行的竞争力状况做出更为全面和客观的评价

关键词风险价值VaR) 商业银行上市银行竞争力评价体系

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ABSTRACT

Finance is the core of modern economy. Commercial banks are the
main part of China’s financial institutional system and play an important
role in China’s economy. Their stable and healthy operation is closely
related to the whole society’s stability and prosperity. mercial
banks, which are the petitive ones in China’s banking, receive
much attention from public. Therefore, how to evaluate listed banks’
competitiveness has e a hot topic.
Commercial banks are more and more involved in financial risks in
operation, including market risk, credit risk, floating risk, operational risk
and law risk, which have tremendous negative impacts mercial
banks’ competitiveness. However, the traditional evaluation system
overlooks banks’ risk exposure, lack prehensive analysis of
individual evaluation indices.
The distinctive feature of listed banks against non-listed ones is that the
fluctuation of stock price is the most direct reflection of listed banks’
performance. Therefore, we can study the risk exposure through
measuring the fluctuation of stock price of listed banks and then make
comprehensive evaluation of these banks’ competitiveness.
The paper focuses on how to evaluate petitiveness of the four
liste