利率市场化条件下上市商业银行财务风险评价

选取上市商业银行2011~2013年的14个财务指标,首先运用因子分析法提取主因子,其次将提取的主因子进行聚类分析,改变传统的二分类,将财务风险划分为四类,最后通过寻找各类银行财务风险之间具有显著性差异的指标,并对这些指标提取主因子,采用多分类Logistic回归法构建一个上市商业银行财务风险评测模型,以期能有效地识别风险,实证结果表明,模型预测能力较好。

The Financial Risk Assessment of Listed Commercial Banks under the Condition of Marketization of Interest Rate

This article selects 14 financial indicators of the listed commercial banks from 2011 to 2013. First of all,We use factor analysis method to extract the main factors , and then classify the extracted main factors by clustering analysis, the financial risk is devided into four categories instead of the traditional binary classification, finally look for indicators that have significant differences among all kinds of financial risks and extract the main factors of these indicators. Multiple classification Logistic regression method is used to construct a listed commercial bank financial risk evaluation model in order to identify risks effectively. The empirical results show that the model prediction ability is good.