摘要
为有效提升商业银行的金融风险管理能力,迫切需要科学的金融风险预测预警机制以提供防范决策支持。在运用本研究所构造的CLXT大数据机器学习融合模型、形成我国商业银行金融风险指数近一个宏观经济周期内横截面数据的基础上,本文提出了基于大数据的金融风险时间序列预测分类研究方法,对我国3家商业银行进行实证分析,形成了商业银行金融风险的预测预报预警机制。研究表明,在最近一个中等经济周期时间内,我国系统重要性商业银行金融风险指数波动情况,与我国宏观经济在同一周期内变化趋势相关联,宏观经济形势越好,金融风险指数越小,反之则越大。在商业银行金融风险量化预警指标中,若多个不确定的触发性指标同时触发时,会形成相关风险的叠加效应,从而导致商业银行金融风险的显著上升。最后,为政府、银监部门和商业银行提出了金融风险预警防范建议。
In order to effectively enhance the financial risk management capabilities of commercial banks,there is an urgent need for a scientific financial risk prediction and early warning mechanism to provide decision-making support for prevention.On the basis of using the CLXT big data machine learning fusion model constructed by our research to form cross-sectional data of China's commercial bank financial risk index in the past macroeconomic cycle,this paper proposes a big data based financial risk time series prediction and classification research method,conducts empirical analysis on three commercial banks in China,and forms a prediction,forecasting and early warning mechanism for commercial bank financial risks.Research has shown that the volatility of the financial risk index of systemically important commercial banks in China during the recent mid cycle period is related to the changes in China's macroeconomic trend within the same cycle.The better the macroeconomic situation,the smaller the financial risk index,and vice versa.In the quantitative early warning indicators for financial risks in commercial banks,if multiple uncertain triggering indicators are triggered simultaneously,a cumulative effect of related risks will be formed,leading to a significant increase in financial risks in commercial banks.Finally,financial risk warning and prevention suggestions were proposed for the government,banking regulatory departments,and commercial banks.
作者
曹泽仁
励蒂
Cao Zeren;Li Di(CCB Fintech Co.,Ltd.,Shanghai 200433;East China University of Political Science and Law,Shanghai 200042)
出处
《上海经济》
2025年第6期93-112,共20页
Shanghai Economy
关键词
中国商业银行
金融风险
大数据
预测
预警机制
China Commercial Bank
Financial Risk
Big Data
Forecasting
Early Warning Mechanism
