Abstract: Firstly, this paper modifies traditional model of Z-scores by introduction of VaR, and then measures the level of security for China's 14 major banks and the world’s top 100 banks by means of model of Z-scores based VaR. We further analyze and compare level of security and its influencing factors between domestic and foreign banks. Result suggests that security’s mean values of China's banks are lower than those of the world’s top 100 commercial banks over the period 2001-2006, but are relatively high over the period 2007-2009. Moreover, we find that factors such as assets scale growth rate, intermediation efficiency, concentration and per capita GDP have a stronger effect on the domestic banks than that on foreign banks, whereas effect of the level of non-interest income to total revenue and net interest margins on domestic banks’ security is significantly weaker. These differences are mainly due to the differences of business structure and profit model between domestic and foreign commercial banks.

Key words: commercial banks&rsquo, security, influential factors, model of Z-scores based on VaR