我国商业银行声誉风险损失度量与防范研究

发布时间：2018-07-13 14:53

【摘要】：我国银行业正处于经济结构深度调整的环境中,在这一背景下,银行业的竞争愈发激烈。在当前,各商业银行的竞争不仅是服务质量的竞争,更是品牌价值的竞争。银行作为经营风险的企业,风险管理能力是银行的核心竞争力之一。作为现代商业银行风险管理中的重要一环,声誉风险的管理近年来备受关注。银行的声誉风险成为关乎银行生存发展的重中之重,而对声誉风险的量化是对其进行有效管理的主要手段。本文在国内外声誉风险度量研究的基础上,从内部原因和外部原因两个角度分析了我国商业银行声誉风险的成因,并提出了一种通过银行股票累积非正常收益率度量商业银行声誉风险损失的方法,从而将银行声誉风险量化,为我国商业银行的声誉风险管理提供了一个新的思路。本文首先从内部原因和外部原因两个方面对商业银行声誉风险的成因进行了分析,为进一步研究声誉风险损失度量提供了理论依据。然后,本文基于事件研究法提出了一种通过银行股票累积非正常收益率度量商业银行声誉风险损失的理论模型,并进行了实证分析。在实证分析中,选取我国16家上市银行从2008至2014年(中国农业银行、光大银行、平安银行以各自上市之日为准)的共137件声誉事件(直接损失在千万元以上或造成严重负面评价)作为样本,考察了不同类型的声誉事件对声誉风险损失的贡献,发现不同类型的声誉事件的发生频率、造成声誉风险损失大小的差异性。通过对16家上市银行进行国有商业银行、城市商业银行和其它商业银行三种类型的划分,发现这三类银行所遭受的声誉风险损失的差异性。研究发现,在我国16家上市银行中,5家国有商业银行遭受的声誉风险损失最高,8家其它商业银行次之,而3家城市商业银行所受声誉风险损失最小。在对策和建议部分,本文根据实证分析结果对我国商业银行声誉风险防范从内因和外因两个方面分别给出了相应的对策和建议。
[Abstract]:The banking industry of our country is in the environment of the deep adjustment of economic structure, under this background, the competition of the banking industry is becoming more and more fierce. At present, the competition of commercial banks is not only the competition of service quality, but also the competition of brand value. As a business enterprise, risk management ability is one of the core competitiveness of banks. As an important part of risk management in modern commercial banks, reputation risk management has attracted much attention in recent years. The reputation risk of the bank has become the most important part of the survival and development of the bank, and the quantification of the reputation risk is the main means of its effective management. Based on the domestic and foreign research on the measurement of reputation risk, this paper analyzes the causes of reputation risk of commercial banks in China from the internal and external reasons. This paper also proposes a method to measure the loss of reputation risk of commercial banks through the accumulated abnormal rate of return of bank shares, thus quantifying the risk of reputation of banks, which provides a new way of thinking for the management of reputation risks of commercial banks in China. Firstly, this paper analyzes the causes of reputation risk of commercial banks from internal and external reasons, which provides a theoretical basis for further research on the loss of reputation risk. Then, based on the event research method, this paper proposes a theoretical model to measure the loss of reputation risk of commercial banks through the accumulated abnormal rate of return of bank stocks, and makes an empirical analysis. In the empirical analysis, 16 listed banks in China were selected from 2008 to 2014 (Agricultural Bank of China, Everbright Bank, Ping an Bank's 137 reputation events (direct loss of more than 10 million yuan or serious negative evaluation) were used as a sample to examine the contribution of different types of reputation events to reputation risk loss. The frequency of different kinds of reputation events is found, which results in the difference of the loss of reputation risk. By dividing 16 listed banks into three types: state-owned commercial banks, urban commercial banks and other commercial banks, the differences of reputation risk losses suffered by these three kinds of banks are found. It is found that among the 16 listed banks in China, 5 state-owned commercial banks suffer the highest loss of reputation risk, and 8 other commercial banks take the second place, while 3 urban commercial banks suffer the least reputation risk loss. In the part of countermeasures and suggestions, according to the results of empirical analysis, this paper gives the corresponding countermeasures and suggestions from two aspects of internal and external factors to prevent the reputation risk of commercial banks in China.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.33

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