基于Var的我国上市银行竞争力体系评价研究

上市银行相对于非上市银行的特殊性在于股票价格波动是上市银行经营状况的最直接反映。因此,可以通过度量上市银行股票价格的波动性来考察它们面临的风险信息,进而全面评价它们的综合竞争力。以基于Var的上市商业银行竞争力评价体系研究为题,以我国五家上市银行为实证研究对象,将风险价值(Var)引入传统的竞争力评价指标体系中,然后利用因子分析法对原始数据进行处理,得到相关主因子,进而构建出上市银行竞争力的综合评价新模型。

The Study of Comprehensive Evaluation of Listed Banks in China Based on Var

The distinctive feature of listed banks against non-listed ones is that the fluctuation of stock price is the most direct reflection of listed banks performance.Therefore,we can study the risk exposure through measuring the fluctuation of stock price of listed banks and then make comprehensive evaluation of these banks competitiveness.The paper focuses on how to evaluate the competitiveness of the five listed banks in China and introduces Var(Value at risk),which provides an easy way of measuring and managing financial risk,into existing competitiveness evaluation system.Then we make comprehensive evaluation of five banks competitiveness through Factor Analysis,which is a branch of Multi-variate Statistical Analysis.