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论文类型：会议论文

发表时间：2009-09-14

收录刊物：EI、CPCI-S、Scopus

页面范围：1361-1367

关键字：commercial banks; early warning of failure; matter analysis; portfolio weighting

摘要：This paper establishes early warning indexes system of Chinese commercial banks failure which consists of six categories that are liquidity risk, credit risk, operation risk, capital risk, profit risk and environment risk. Based on the matter analysis approach this paper founds the early warning model of Chinese commercial banks failure with portfolio weighting combined with the indexes' weights from G I method and entropy method and finishes an empirical analysis with thirteen Chinese major commercial banks' samples from 2004 to 2007. The empirical research shows that the stability levels of Chinese commercial banks are unbalanced, but they are becoming better remarkably which means the risk management of Chinese commercial banks had made a big progress during 2004-2007. The innovation and contribution of this paper are as follows. First, it determines the portfolio weights using multiplicative synthesis based on geometric mean method which secures the subjective and objective unification of indexes' weighting. Second, it sets up a new matter classification method and relative ranking principle which helps to classify and rank the banks whose complex correlation degrees are all negative.