In this paper, the unbalanced panel data of 16 listed banks in China from 2006 to 2012 was used. Firstly, systemic risk and non-systemic risk were decomposed through the risk estimate of the three-factor model. Then by constructing a stochastic frontier cost function, the cost and profit efficiency of listed banks was estimated under systemic risk constraint, and the conclusion of risk and risk-free models was compared. It was found that ignoring risk factors will lead to efficiency values underestimated. In both cost and profit efficiency models the inefficiency effect of systemic risk is significantly positive, which means that higher risk causes more inefficiency effects. To strengthen risk management and prevent large fluctuations of systemic risk is conducive to improvement of commercial banks' efficiency.
LIU Meng-fei, WANG Jun
. Comparative Research on the Cost and Profit efficiency of Commercial Banks under Systemic Risk Constraints[J]. Chinese Journal of Management Science, 2015
, 23(12)
: 27
-34
.
DOI: 10.16381/j.cnki.issn1003-207x.2015.12.004
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