Design Of Financial Risk Early Warning Model For Commercial Bank

With the rapid development of China’s financial liberalization and integration,the open of China’s capital market is increasing, so in the process of financialrestructuring China’s commercial banks are facing severe internal and externalmarket environment, which intensifies the commercial bank’s financial risk.Therefore, this dissertation study financial risk of commercial banks, establishfinancial risk early warning model of commercial banks, monitor the financial riskprofile of the commercial banks, which put forward preventative and disposalstrategies before the rising of financial risk profile to prevent the bankruptcy of thecommercial banks, which have great theoretical and practical significance forcommercial banks and bank regulatory authorities. This dissertation will conductcommercial banks as the research object, on the basis of the analysis of thecommercial banks financial risk pilot signal，which establish financial risk earlywarning model of commercial banks and put forward financial risk managementmethods and means for the commercial banks.On the basis of research about the domestic and foreign financial risk earlywarning model of commercial banks, Firstly, this dissertation analyses the sources,the type and the characteristics of commercial banks financial risk, which determinedthe evaluation index of commercial banks financial risk. Secondly this dissertationselects56China’s commercial banks financial data in2006,2007and2010assamples and assesses financial risk of commercial banks in2006and2007with themethod of the principal component analysis and radial basis function neural network,which divided all sample banks into "high risk commercial banks" and "welloperated commercial banks" into two groups. Thirdly this dissertation usesindependent samples T-test and Will Dixon rank test to study the financialcharacteristics of "high risk commercial banks" and "well operated commercialbanks", which identified the significant difference indexes between them and eliminated the poor impact index on commercial banks financial risk with partialcorrelation analysis techniques, this dissertation determined eight key index ofreflecting the commercial banks financial risk profile. Finally, on the base of thecomparison among different financial risk early warning model, this dissertationselects Mixed Logit model to establish a financial risk early warning model witheight explanatory variables and tests the predictive ability of the model in thelongitudinal and transverse directions.According to the analysis conclusions in the building process of the model, thisdissertation puts forward prevention and solution countermeasures for commercialbank financial risk from capital adequacy risk, credit risk, operational risk andliquidity risk four aspects.