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Evaluation System of listed commercial banks of the VaR - based competitiveness

Author: ChenDong
Tutor: FengLiCheng
School: University of Foreign Trade and Economic
Course: Finance
Keywords: VaR (Value at Risk) Commercial Bank Listed Bank Competitiveness Evaluation System
CLC: F832.33
Type: Master's thesis
Year: 2004
Downloads: 539
Quote: 3
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Abstract


Finance is the core of modern economy. Commercial banks are the main part of China’s financial institutional system and play an important role in China’s economy. Their stable and healthy operation is closely related to the whole society’s stability and prosperity. Listed commercial banks, which are the most competitive ones in China’s banking, receive much attention from public. Therefore, how to evaluate listed banks’ competitiveness has become a hot topic.Commercial banks are more and more involved in financial risks in operation, including market risk, credit risk, floating risk, operational risk and law risk, which have tremendous negative impacts on commercial banks’ competitiveness. However, the traditional evaluation system overlooks banks’ risk exposure, lack of comprehensive analysis of individual evaluation indices.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 four 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 the four banks’ competitiveness through Factor Analysis, which is a branch of Multi-variate Statistical Analysis. Finally, through the comparison of the new evaluation system and the traditional one, we find that the former is more effective in evaluating listed banks’ competitiveness.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial organizations, banks > Commercial banks ( specialized banks )
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