Research On The Efficiency Of Risk Management Of Chinese Listed Commercial Bank Based On DEA Model

The monetary market was deeply hit by the subprime crisis in U.S in 2007,which aggregated the Global economic crisis. Masses have paid more attention to the risk management from the inner of the commercial bank after the issue happened. The main function of the commercial bank, as a special facility, is operating with high risks correlated to currency and credit. On one hand, banks needs a steady operation. On the other hand, high yield brings high risks which makes the manager full into contradiction.At present, credit exposure is the key foundation of profit creating to the contemporary commercial bank. The steady economic construction depends on the developing of commercial bank in China. As a result, an effective, thorough system and a proper risks management system is important for the development of a commercial bank. In this research, the DEA theory was utilized as evaluation of the situation of risks management in a commercial bank. The proper input and yield index from financial data in the commercial bank for the calculation of the DEA model are selected. Meanwhile, a handy and suitable way to calculate the efficiency values of most of the listed commercial bank in China is established by CCR and BCC theory of DEA model.At the last part of the dissertation, empirical analysis is based on the data of 16 domestic listed commercial bank, which belong to A-shares in China, reports from 2009 to 2012. The 16 domestic listed commercial bank can be divided by 3 parts as state-owned, joint-stock and city commercial bank. The three types of DMU are able to apply in the efficiency evaluation exploring. Provision coverage, capital adequacy ratio etc., are chosen to be the input index of DEA calculation in this research. Ratio of non-performing loan and ROE are set as the output index of the DEA model. The selecting method of the DEA index has been roundly considered to involve the capital adequacy as well as the correlation impact between risk prevention and profitability.From the result of the DEA efficiency calculation, the risks prevention efficiency of state-owned commercial bank, whose scale is the largest, seems not better than joint-stocks bank and city commercial bank. The risks management efficiency of the joint-stocks and city commercial banks are depended by the politics and monetary market. Meanwhile the shadow price analysis indicates that the non-performing loan ratio plays an important role in the changing of these efficiency. The improvement suggestions to change current situation, based on the DEA efficiency results, have been proposed by author in this thesis.