孙秀峰

个人信息Personal Information

副教授

硕士生导师

性别:男

毕业院校:大连理工大学

学位:博士

所在单位:金融与会计研究所

学科:会计学. 投资学. 企业管理

办公地点:管理与经济学部 D456房间

联系方式:0411-84709665

电子邮箱:xiufengs@dlut.edu.cn

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Early Warning Model of Crisis in Chinese Commercial Banks Based on Gray Relational Analysis with Double Standard

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论文类型:会议论文

发表时间:2014-01-01

收录刊物:CPCI-S

页面范围:210-216

关键字:commercial bank; early warning of crisis; data mining; novel modified Gray relational analysis; ideal commercial banks; risk management

摘要:China lacks examples of bank crises and reference standards for classifying such crises. This study addresses these problem by designing an ideal bank crisis based on four types of early warning indices of endogenous risk, capital and asset safety, profitability, and liquidity. An early warning model of commercial bank crises is created based on a novel modified Gray relational analysis. This model is capable of classifying banks into three levels of crisis and of evaluating the final crisis value. This study also performs an empirical analysis. Results demonstrate that an early warning model of commercial bank crises classifies and orders the sample data based on forecasting criticality. The model was tested during the risky events in China's commercial banks in mid-2013. The 62 sample banks were all preferably safe in 2012. The risk control of the city commercial banks was better than that of large and joint-stock commercial banks. However, the possibility of crisis growth in China's commercial banks remains.