基于DEA模型對(duì)商業(yè)銀行信貸資產(chǎn)質(zhì)量的實(shí)證研究

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摘要： 隨著我國(guó)對(duì)外開(kāi)放程度的不斷提高以及金融體制的不斷變革，中國(guó)的金融業(yè)吸引了更多的外資銀行前來(lái)投資，他們憑借各方面的優(yōu)勢(shì)與我國(guó)的商業(yè)銀行展開(kāi)激烈的競(jìng)爭(zhēng)。提高我國(guó)商業(yè)銀行的核心競(jìng)爭(zhēng)力成為在這一博弈中制勝的關(guān)鍵。
目前我國(guó)銀行業(yè)的主要利潤(rùn)依舊是存貸利差，因此商業(yè)銀行信貸資產(chǎn)仍是銀行的核心資產(chǎn)，其質(zhì)量的高低關(guān)系銀行自身的生存和發(fā)展。同時(shí)，銀行業(yè)在我國(guó)的國(guó)民經(jīng)濟(jì)中占據(jù)著舉足輕重的地位，它關(guān)系國(guó)家經(jīng)濟(jì)安全和社會(huì)生存發(fā)展，所以必須加強(qiáng)銀行信貸資產(chǎn)質(zhì)量的管理。
本文在分析商業(yè)銀行信貸資產(chǎn)質(zhì)量現(xiàn)狀的基礎(chǔ)上，選取了10家具有代表性的商業(yè)銀行的其中五個(gè)指標(biāo)，采用DEA模型的分析方法，建立投入-產(chǎn)出模型，測(cè)評(píng)出2011-2013年的信貸資產(chǎn)質(zhì)量控制的有效性，通過(guò)比較，分析我國(guó)近幾年以不良貸款率為測(cè)度指標(biāo)的信貸資產(chǎn)質(zhì)量下降的主要原因。
本文得出的主要結(jié)論為：銀行信貸資產(chǎn)質(zhì)量總體平穩(wěn)向好，商業(yè)銀行不良貸款整體表現(xiàn)良好，但2012年銀行業(yè)不良貸款整體出現(xiàn)反彈，整體隱藏風(fēng)險(xiǎn)應(yīng)當(dāng)警惕。
關(guān)鍵詞：信貸資產(chǎn)質(zhì)量；DEA模型；不良貸款率


An empirical study of DEA model of commercial banks based
on the quality of credit asset
Abstract：As China continues to increase openness and constant change of the financial system, China's financial industry to attract more foreign banks to invest in them with the advantage of all aspects of China's commercial banks and fierce competition. Enhance the core competitiveness of China's commercial banks to become the key to winning in this game.
At present, China's banking industry profits or savings and loan spreads, so commercial bank credit assets remain the core of the bank's assets, the quality of the relationship between the level of the bank's own survival and development. Meanwhile, the banking industry in our country occupies a pivotal position in the national economy, its relationship to the country's economic security and social survival and development, it is necessary to strengthen the management of bank credit asset quality.
This paper analyzes the current situation of commercial banks on the quality of credit assets, selected 10 representative furniture commercial banks which five indicators, using analytic-al methods DEA model to establish input - output model, eva luation of the 2011-2013 quality of credit assets, through a comparative analysis of recent years come to measure non-performing loan ratio of credit asset quality indicators of decline.
The main conclusions of this paper are: the quality of credit assets in recent years, China's main reasons for the decline caused by external macroeconomic factors.

Key words: Quality of credit assets，DEA model，NPL ratio



目 錄
引言 1
第1章 概述 2
1.1 信貸資產(chǎn)質(zhì)量的相關(guān)概念 2
1.1.1信貸資產(chǎn) 2
1.1.2 信貸資產(chǎn)質(zhì)量 2
1.2 評(píng)價(jià)指標(biāo) 2
第2章 我國(guó)商業(yè)銀行信貸資產(chǎn)質(zhì)量分析 4
2.1 我國(guó)商業(yè)銀行信貸資產(chǎn)管理歷程 4
2.2 商業(yè)銀行信貸資產(chǎn)質(zhì)量狀況 4
2.3 商業(yè)銀行信貸資產(chǎn)質(zhì)量變化的原因 6
第3章 基于DEA模型的實(shí)證研究 9
3.1 研究方法 9
3.1.1 DEA 模型的介紹 9
3.1.2 DEA模型的優(yōu)點(diǎn) 10
3.2 指標(biāo)的選取 11
3.2.1 指標(biāo)選取的原則 11
3.2.2 選取的指標(biāo) 11
3.3 樣本選取 13
3.4 模型中效率的定義 13
3.5 DEA模型效率測(cè)度結(jié)果 14
3.6 研究結(jié)果 17
第4章 建議 19
4.1 改善經(jīng)濟(jì)發(fā)展環(huán)境 19
4.2 深化金融發(fā)展的深度和廣度 19
4.3 完善風(fēng)險(xiǎn)管理體系 19
4.4 控制不良貸款率 20
總結(jié) 21
致 謝 21
參考文獻(xiàn) 22