How does Factors Effect on Bank Risk? Evidence from China

摘要

How does factors effect on bank risk? This paper develops models with a sample of 24 commercial banks in China by measuring risk with Z-score, loan loss reservation ratio and non-performing loan ratio. Capital ratio is negative to bank insolvency probability. Two factors, including liquid ration and bank size, are positive to loan loss reservation ratio and non-performing loan ratio. Other factors, including ROA and banking market concentration, are positive to loan loss reservation ratio. State-owned bank risk is higher than non-State-owned bank risk. GDP growth rate and Realestate price index effects on solvency probability significantly.