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Title: A Study on the Profit Efficiency of Commercial Bank Credit Risk Based on CVaR
Source: International Conference on Engineering and Business Management 2012(Part 4 Urban Management and Financial Investment) (pp 2834-2838)
Author(s): Zhipeng Cao, Shaanxi University of Science & Technology, Xi’an, Shaanxi, China, 710021
Lichun Fan, Shaanxi University of Science & Technology, Xi’an, Shaanxi, China, 710021
Li Gao, Shaanxi University of Science & Technology, Xi’an, Shaanxi, China, 710021
Abstract: The paper calculates the profit efficiency of Commercial Bank of 2009-2010 panal data by using the approach of Stochastic Frontier Approach (SFA) Based on Translog. the paper establishes the profit evaluate system of economic profit which takes into account the credit risk through the scatter CVaR method and analyses the influence of credit risk on profit efficiency. According to the empirical results of the study, the average profit efficiency of no consider credit risk is 9.52 percent larger than that of risk-adjusted banks. The credit risk has prominent influence on their profit efficiency. There is a remarkable difference between the no consider and consider credit risk efficiency value efficiency, they have a good coincidence in efficiency.
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