【摘要】：我國(guó)銀行業(yè)正處于經(jīng)濟(jì)結(jié)構(gòu)深度調(diào)整的環(huán)境中,在這一背景下,銀行業(yè)的競(jìng)爭(zhēng)愈發(fā)激烈。在當(dāng)前,各商業(yè)銀行的競(jìng)爭(zhēng)不僅是服務(wù)質(zhì)量的競(jìng)爭(zhēng),更是品牌價(jià)值的競(jìng)爭(zhēng)。銀行作為經(jīng)營(yíng)風(fēng)險(xiǎn)的企業(yè),風(fēng)險(xiǎn)管理能力是銀行的核心競(jìng)爭(zhēng)力之一。作為現(xiàn)代商業(yè)銀行風(fēng)險(xiǎn)管理中的重要一環(huán),聲譽(yù)風(fēng)險(xiǎn)的管理近年來(lái)備受關(guān)注。銀行的聲譽(yù)風(fēng)險(xiǎn)成為關(guān)乎銀行生存發(fā)展的重中之重,而對(duì)聲譽(yù)風(fēng)險(xiǎn)的量化是對(duì)其進(jìn)行有效管理的主要手段。本文在國(guó)內(nèi)外聲譽(yù)風(fēng)險(xiǎn)度量研究的基礎(chǔ)上,從內(nèi)部原因和外部原因兩個(gè)角度分析了我國(guó)商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)的成因,并提出了一種通過(guò)銀行股票累積非正常收益率度量商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)損失的方法,從而將銀行聲譽(yù)風(fēng)險(xiǎn)量化,為我國(guó)商業(yè)銀行的聲譽(yù)風(fēng)險(xiǎn)管理提供了一個(gè)新的思路。本文首先從內(nèi)部原因和外部原因兩個(gè)方面對(duì)商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)的成因進(jìn)行了分析,為進(jìn)一步研究聲譽(yù)風(fēng)險(xiǎn)損失度量提供了理論依據(jù)。然后,本文基于事件研究法提出了一種通過(guò)銀行股票累積非正常收益率度量商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)損失的理論模型,并進(jìn)行了實(shí)證分析。在實(shí)證分析中,選取我國(guó)16家上市銀行從2008至2014年(中國(guó)農(nóng)業(yè)銀行、光大銀行、平安銀行以各自上市之日為準(zhǔn))的共137件聲譽(yù)事件(直接損失在千萬(wàn)元以上或造成嚴(yán)重負(fù)面評(píng)價(jià))作為樣本,考察了不同類(lèi)型的聲譽(yù)事件對(duì)聲譽(yù)風(fēng)險(xiǎn)損失的貢獻(xiàn),發(fā)現(xiàn)不同類(lèi)型的聲譽(yù)事件的發(fā)生頻率、造成聲譽(yù)風(fēng)險(xiǎn)損失大小的差異性。通過(guò)對(duì)16家上市銀行進(jìn)行國(guó)有商業(yè)銀行、城市商業(yè)銀行和其它商業(yè)銀行三種類(lèi)型的劃分,發(fā)現(xiàn)這三類(lèi)銀行所遭受的聲譽(yù)風(fēng)險(xiǎn)損失的差異性。研究發(fā)現(xiàn),在我國(guó)16家上市銀行中,5家國(guó)有商業(yè)銀行遭受的聲譽(yù)風(fēng)險(xiǎn)損失最高,8家其它商業(yè)銀行次之,而3家城市商業(yè)銀行所受聲譽(yù)風(fēng)險(xiǎn)損失最小。在對(duì)策和建議部分,本文根據(jù)實(shí)證分析結(jié)果對(duì)我國(guó)商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)防范從內(nèi)因和外因兩個(gè)方面分別給出了相應(yīng)的對(duì)策和建議。
[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.
【學(xué)位授予單位】：山西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2016
【分類(lèi)號(hào)】：F832.33

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