基于因子分析法的商业银行信用风险研究

Research on Credit Risk of Commercial Banks Based on Factor Analysis Method

摘要: 信用风险作为商业银行最普遍且影响最深的风险种类，银行业的信用风险管理的意识以及对它的度量和评价分析体系存在明显不足，因此对银行业信用风险的研究意义深远。文章选取2022年4家国有独资银行和28家城市商业银行为样本，基于美国CAMEL评价体系，纳入银行成长性指标，运用因子分析法探讨上市商业银行信用风险影响因素。研究结果表明：(1) 股份制地方性商业银行的信用风险相对较大；(2) 提高流动性能够降低国有独资银行的信用风险；(3) 增强资产安全能力和盈利能力、提高资本充足性和流动性的可控程度可以更好降低商业银行的信用风险。

Abstract: Credit risk, as the most common and deeply influential type of risk in commercial banks, has obvious shortcomings in the awareness of credit risk management in the banking industry, as well as the measurement and evaluation analysis system for it. Therefore, the research on credit risk in the banking industry has profound significance. The article selects four state-owned sole proprietorship banks and 28 urban commercial banks in 2022 as samples, based on the CAMEL evaluation system in the United States, incorporates bank growth indicators, and uses factor analysis to explore the factors affecting credit risk of listed commercial banks. The research results indicate that: (1) the credit risk of local joint-stock commercial banks is relatively high; (2) improving liquidity can reduce the credit risk of state-owned sole proprietorship banks; (3) enhancing asset security and profitability, improving the controllability of capital adequacy and liquidity, can better reduce the credit risk of commercial banks.