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Research on the risk early-warning system of commercial bank in China

Author: RuanNvHeZuo ZhuJie ChenQuanB From: www.yourpaper.net Posted: 2010-06-11 05:50:23 Read:
Keywords thesis: commercial bank risk early warning system of countermeasures
Abstract: 2008 financial crisis to the global economy have caused the very big impact and destruction, to our country also caused a certain degree of influence, since the 90's of last century a series of financial crisis, all countries are trying to establish their defense system of financial crisis.With the development of the financial industry is opening and in line with international standards, risk facing the banking sector is also growing, the state-owned commercial banks are the main body of China's banking system, its operation is directly affect the healthy development of the entire banking system, and the normal operation of the national economy. Therefore, research and the establishment of early warning system of commercial banks' risk for me China's economic development has a very important practical significance.
Research on commercial bank risk early warning system of 1
I.I from the commercial banks, commercial banks in the credit as the management foundation, bank funding and use has begun to market, commercial bank's capital is vulnerable to erosion, and even cause the collapse of the commercial banks, commercial banks play a very important role in the whole social economic activities, operating anomaly will be commercial banks cause inestimable losses to the national economy.The early warning system of commercial bank risk can effectively predict control part of the risk, the risk of loss of control at a minimum, thereby stabilizing the financial order, so that China's economy has maintained stable growth.
1.2 with the transformation of our country bank to the commercial bank, took place in the economic system of fundamental change and economic structure has undergone major changes in the banking business activities, the uncertainty and instability will increase, which will lead to the increase of bank risk.To mitigate these fluctuations, must establish a new risk management system.
1.3 to establish an effective warning system of commercial banks in China are in line with the international commercial banks and participate in international competition requirements.This economic crisis, many commercial banks of western countries facing bankruptcy, international banking requirements of our country's commercial banks to quickly adapt to the environment, the establishment of risk monitoring system and puts forward the risk management plan, which will be China's commercial banks to minimize the risk of.
2 the Commercial Bank of our country existing risk warning system and related research status of
Risk warning system of Commercial Bank of our country at present is taken by the China Banking Regulatory Commission off-site supervision index system of commercial banks.Risk early warning index system including quantitative index and qualitative index is composed of two parts, capital adequacy, credit risk, market risk, operational risk and liquidity risk of 5 classification index of quantitative indicators, 22 indicators.At the same time, the qualitative indexes including six indexes, respectively, management assessment, business environment, corporate governance, risk management and internal control, information disclosure and the great crisis.At the same time, the risk early warning system of financial risk according to the historical data and the bank regulatory experience, to determine the index of the early-warning threshold value and weight coefficient of each index, set up warning blue and red warning value.Banking supervision department through continuous observation of the early warning indicators of individual commercial bank, and import the data into the model, to calculate the comprehensive risk score, and obtain the corresponding early warning signal.On this basis, in accordance with certain risk transfer matrix, the risk early warning grade comprehensive judgment of the commercial banks, are normal, warning blue, orange signal warning and red warning signal.At present, the CBRC has developed the related software tool, realizes automatic operation risk warning.In addition, he Xiaobo, Zhang Yuhong through the construction of input module, computing module, output module, using the multivariate statistical analysis method in clustering analysis method, entropy method, AHP is a risk warning system more perfect structure, namely the macroeconomic early-warning signal lamp display method in.Through analyzing various risk management process, establish the risk early warning index system, determination of each index warning limit and warning degree, determine the light district bank risk falling into the question and gives the corresponding indicating lamp.
Zhang Meilian, Wang Xiuzhen studied the radial basis function neural network (RBF) application in the commercial bank risk early warning system.According to the 12 characteristics of commercial bank risk early warning system, constructs a RBF model of risk early warning system, the model of the model simulation experiment based on.
Artificial intelligence technology using bovine source, artificial neural network can well time-varying information processing based on ANN and Es together, to build a financial risk early-warning system based on the combination of ANN and Es, which is based on Es and BP neural network risk assessment and early warning model, to realize the determination of bank risk status, need not subjective judgment of bank risk condition, so it can reasonably determine the bank's risk status.But in practical application because of the deficiency of the BP algorithm easily lead to slow convergence and local minima, which affect the prediction precision of the network.
The peak of bank risk comprehensive evaluation was made from quantitative and qualitative aspects of the two, according to the quantitative score for rating the risk faced by the bank, so as to establish an early warning system of the risk of commercial bank.
Defects of which is 3 of China's commercial bank risk early-warning system and related research
3.1 of China's financial institutions supervision regulations of many, but the problem is not enough detailed and clear; two is the executive power is not enough.Five indicators of China's financial industry CAMEL rating system in liquidity ratios are substantially lower than the international standard.Such as: the concept of standard secondary capital of capital adequacy ratio has not yet been introduced the non-performing loan ratio (standard according to the international standard of five), the classification of loans and credit rating system has not been strictly implemented, accounting and auditing system has not yet to the international standards, market risk and operation risk control system is not yet mature, compliance modernization (Compliance) the concept of financial institutions has not been established, the controlling shareholder qualification requirements basic lack of.These problems have greatly increased the risk of the banking sector, therefore, the establishment of early warning system of commercial banks' risk more brook no delay.
3.2 related studies, risk early warning index is too much, the difference analysis is not obvious, the index weight is not reasonable.
3.3 in some quantitative and qualitative analysis, some indexes by mathematics model, can't take the fuzzy judgment, the bank risk early warning ability.
3.4 some researchers tend to risk management in the business development of antithesis, that risk management is hindering business development; research on market risk management personnel can not study, business, study efficiency.Through the negation of business to avoid risk.The business development not the development, but reduce the bank's overall ability to resist risks.
3.5 advanced China's commercial banks risk management, also has not formed.Risk management departments and business departments rarely by communication to eliminate cultural gap between, contradictions often passive solution, empathy is not enough.The risk management of commercial banks in China started relatively late, the risk management in the aspects of risk management philosophy can not meet the rapid development of business, risk management needs changing.For a long time, China's commercial banks in risk management pay more attention to qualitative analysis, such as the credit risk management, policy, pay attention to the legitimacy of loans, loan operation safety.
4 more direct investment problems countermeasures analysis
4.1 absorption ability of analysis Descriptive Index: a study of practical problems is not only the need of data, including text representation of information.If the system can handle the descriptive index, can be more comprehensive and more fully utilize the historical information of monitoring object, described more comprehensively, and with the reference object comparison.
The system capacity of 4.2 continuous "learning": the commercial bank and the macro economic environment are constantly changing, if not timely system model is developed to absorb new information, then after a period of time, it may lose the ability to respond to new problems.Therefore, financial risk early warning system ideal should be able to appear constantly new external knowledge into their "knowledge base", in order to ensure the timeliness of the system model.
4.3 introduction of fuzzy comprehensive evaluation method.
Fuzzy comprehensive evaluation method is a system analysis method, a fuzzy analysis and evaluation of mathematical principle is "fuzzy".It is exact and inexact unified analysis of qualitative and quantitative evaluation methods of a fuzzy inference based combination.Because of complex system problem of this approach in dealing with all kinds of difficult to use mathematical methods to describe the unique superiority, so in the banking risk alarming will play an important role in.
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