基于神经网络的中国商业银行效率综合评价

【作者】 陈国斌；

【导师】 迟国泰；

【作者基本信息】 大连理工大学 ， 会计学， 2005， 硕士

【摘要】 银行是一国金融体系的核心,其效率高低将直接影响国民经济的正常发展。而构建信息反映程度高且能避免内部相关性影响的效率评价指标体系以及可避免人为主观因素或模糊随机因素影响的评价模型,是制定监管政策、保障金融市场有效发展的重要方面,也是理论界长期研究的热点问题。 本论文分为五个部分。第一章为引言,第二章为商业银行效率指标体系的建立,第三章为BP神经网络模型的建立及对实际数据的计算评价,第四章为评价结果分析及政策建议,最后一章为结论。 本研究在广泛选取商业银行效率指标的基础上,运用主成分分析法建立了新的商业银行效率评价指标体系;建立了基于BP神经网络的商业银行效率评价模型,并通过对实际数据的计算及分析,给出了有针对性的政策建议。 评价结果显示:股份制商业银行的效率明显高于非股份制商业银行,四大国有商业银行的综合效率偏低。股份制商业银行中,浦东发展银行的效率最高,交通银行的效率最低。国有商业银行中中国银行的效率最高,农业银行的效率最低。结果分析表明,商业银行资产规模的增加并不能带来效率的提高,我国商业银行存在着很大程度的规模不经济性。本研究建议我国商业银行应谨慎扩大自身规模,着重提高自身的管理水平;同时明晰商业银行产权结构,进行国有商业银行股份制改革,提高银行业的整体效率。 本研究的特色及创新点在于以下七个方面。一是新建立的评价指标体系以7个指标表达了92.876%的原始信息,同时消除了指标之间的相关性,提高了后期评价的准确性和科学性。二是通过广泛选取原始指标最大限度保留了原始数据的信息,进一步保证和提高了后期评价的准确性。三是通过引入贷款质量指标对银行效率进行评价,避免了传统研究缺少贷款质量评价的缺点。四是采用均值化的标准化处理方法,保留了指标之间的差异信息和相互影响程度信息,解决了传统标准化方法造成的差异信息丢失的问题。五是利用斜交旋转方法,得到对商业银行效率影响较显著的因素,为我国商业银行提高自身综合效率提供了明确的方向。六是建立了基于BP神经网络的商业银行效率评价模型,避免了人为主观因素或模糊随机因素的影响。最后通过偏相关分析和显著性分析从数量上证明了商业银行效率同资产规模之间的负相关关系,证明了资产的增加并不能带来效率的提高。更多还原

【Abstract】 As a core of the financial system, the efficiency of banking will directly affects the development of national economy. Thus, hotspot of theoretical research, abstractly and realistically, essential analysis based on efficiency appraisal of commercial banks has become the important aspect of policy formulation to ensure effective development of the financial market.This article is made up of five parts. First chapter: foreword. The second chapter is the construction of the efficiency index system. The third chapter is the appraisal model based on BP neutral network and its practical calculation. The fourth chapter is the analysis of out comings with corresponding policy advises and the last one, conclusion.On the ground of the widely chosen efficiency indexes of commercial banks, we set up a new index system after principal component analysis on original data, and, we also set up an efficiency appraisal model based on BP neutral network. There are also pertinent advices based on practical calculation and analysis.Appraisal result shows that the efficiency of the joint-stock commercial banks is better than that of the non-joint-stock ones, and four state-owned commercial banks did badly in their efficiency appraisal. Among the joint-stock commercial banks, Shanghai Pudong Development Bank has the highest efficiency and China Communication bank finishes last. Of the state-owned banks, China Bank finishes the first and China Agriculture Bank gets last. Analysis on appraisal results indicates a remarkable diseconomy on scale in china commercial banks, that is to say the increase of assets will not enhance the efficiency of commercial banks. This article suggests a prudential increase of assets and to develop an efficient management system. Also, commercial banks should definite the property right to enhance their efficiency by stock reformation.The first innovation of this paper lies in the new index system which keeps 92.876% of the original information and avoids the influence of the coefficient between different indexes on later appraise. Secondly, new index system gets even more information from the widely chosen original indexes. Thirdly, we avoid the influence comes from the lack of loan quality through taking into account of those indexes of loan quality. Fourthly, we successfully keep the information of diversity and inner influence between different indexes through promoted standardizingmethod of formal data-average method. Fifthly, we find the mainly influencingfactors through direct oblimin method and, based on which, we put forward correlative measures and advises to improve the efficiency of China’s Commercial Banks. Sixthly, we set up a appraisal model benefits from the self-studying and self-organizing BP neutral network which has get rid of the influence of the factitious subjective factors and fuzzy stochastic ones. Lastly, we proved diseconomy on scale through co efficiency analysis and significance analysis.更多还原