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Research on Credit Risk and Efficiency of Chinese Commercial Bank

Author: WangZhangCheng
Tutor: ChenYaoHui
School: Nanjing University of Finance and Economics
Course: Quantitative Economics
Keywords: Bank efficiency Credit risk Malmquist Index VAR Model
CLC: F832.33
Type: Master's thesis
Year: 2011
Downloads: 77
Quote: 1
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Abstract


At present, it’s of greatest importance to assure the stability of financial system for China which suffers an important period of strategic opportunities and the prominent contradictions in economic development.During the financial crisis, China’s banking industry maintained a good development trend, but the risk,especially the credit risk is worthy of attention. As the large number of foreign banks, especially those international banks with powerful comprehensive strength have entered the Chinese financial markets, China’s banking industry are facing increasingly fierce competition.In this context, it’s practical significant to study the credit risk of commercial banks and efficiency issues.This paper adopts theoretical and empirical methods to research the credit risk and the efficiency of commercial banks, in order to improve the credit risk management and the efficiency level of commercial banks. This paper describes the background ,purpose and research status of bank credit risk and efficiency, summarizes the theory of credit risk for banks, credit risk measurement methods and techniques and the theory of banking efficiency, makes theoretical analysis the relationship between bank credit risk and the efficiency. Based on the theory, by the comparison of efficiency between domestic commercial banks and international banks, the paper has a specific understanding of China’s commercial banks efficiency generally.Then,the paper selects 14 banks as samples, and make use of Malmquist index to measure the efficiency of commercial banks, and through the introduction of loan loss provisions as an input variable to analyze the influence of credit risk on bank efficiency measure, and found that by bank credit risk-adjusted efficiency is enhanced, the overall efficiency of China’s banking industry showed steady rise, the efficiency difference between state-owned banks and joint-stock banks reduces.Then this paper study the credit risk and the efficiency of commercial banks by empirical analysis.The paper gets the specific quantity for credit risk by constructing a risk model,and panel VAR model was used to analyze the influence mechanism between credit risk and efficiency. Through verifying the three hypotheses proposed ,the paper shows that the banks with the lower level of credit risk have a higher rate of technological progress and scale efficiency, and the lower level of bank credit risk has led to the lower bank’s total factor productivity, technical efficiency and pure technical efficiency; the rate of technological progress and technical efficiency improves the level of bank credit risk, and total factor productivity, pure technical efficiency, scale efficiency has increased the bank’s credit risk. According to the relationship between bank’s credit risk and efficiency, panel data model is established to analyze the credit risk factors which impact the efficiency of commercial banks, and some advices are proposed to raise the level of credit risk management and bank efficiency.

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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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