Research Of The Comprehensive Risk Assessment Of Commercial Bank In China Based On Factor Analysis

Over the years,risk assessment of China’s commercial Banks is an important pre-mise of the healthy development of China’s financial system. Therefore, based on the predecessors, this paper puts forward a comprehensive risk assessment methods whic h is from five aspects in the CAMEL and totally 23 indicators data studying on comm ercial Banks. Based on the factor analysis, the indicators data of 11 commercial Banks in our country are extracted, and used Spss software for dimension reduction analysis . Finally, get the risk assessment score ranking of commercial banks. In the first chapt er, it is mainly talking about background and significance of the selected topics, the re search both domestic and abroad, introduction of analysis method, thinking of researc h. In the second and third chapters, the selection of various indexes of Chinese comme-rcial Banks are extracted and analyzed. The second chapter is the index selection and analyzed from four aspects include capital adequacy, asset quality, profitability, liquidi ty analysis. The third chapter use stochastic frontier analysis (SFA) to analyze com mercial bank management efficiency, and get these com-mercial bank management ef ficiency score.In this paper, the core of the method is the factor of analysis method, the technical route is:First, these eleven index variable is analyzed, then,I extract the each index variable data of commercial bank, finally,to deal with these indicators variables in factor analysis method.In the fourth chapter, deal with the data obtained from the second and third chapter index dimension reduction analysis. A total of five indicators, respectively is capital adequacy (C), quality of assets (A), profitability, liquidity (L) (E), the efficiency of management (M). Specific indicators is:risk-weighted assets than total assets ratio, capital adequacy ratio and core capital adequacy ratio, asset ratio, asset-liability ratio, non-performing loan ratio and non-performing loans ratio than the loan impairment provision, loan rate, normal class rainy-day loans to total loans ratio, overdue loan proportion, ten largest customer ratio, return on total assets, return on net assets, net interest margin, net interest margin, net interest income proportion, cost income ratio, operating profit margin, loan-to-deposit ratio, liquidity ratio, efficiency of management.Using EVIEWS 7.0 software for the first 21 by descriptive statistical analysis of data, using SPSS software, finally it is concluded that these ten by factor analysis method of a commercial bank risk assessment composite scores.The fifth chapter is aimed at a statistics, in this chapter, the results by statistics, this paper concluded 2008 year to 2014 year in trend of the commercial bank risk assessment score and the commercial bank’s comprehensive risk assessment score,every year.Finally, according to the 11 commercial bank in the aspects of the comprehensive risk assessment score height, to all commercial Banks in the aspect of comprehensive risk measures and put forward some Suggestions and countermeasures.