本文在已有商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)研究基礎(chǔ)上,通過(guò)梳理我國(guó)商業(yè)銀行聲譽(yù)事件的發(fā)生和分布情況,總結(jié)我國(guó)商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)分布特征如下:聲譽(yù)風(fēng)險(xiǎn)損失事件數(shù)額呈逐年遞增的趨勢(shì),聲譽(yù)風(fēng)險(xiǎn)損失主要由產(chǎn)品和服務(wù)缺陷、企業(yè)感召力缺乏和銀行創(chuàng)新或風(fēng)險(xiǎn)控制不足等因素引起,由社會(huì)責(zé)任缺失和財(cái)務(wù)業(yè)績(jī)不好造成的聲譽(yù)風(fēng)險(xiǎn)事件數(shù)量較小。
在明確我國(guó)商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)分布特征和風(fēng)險(xiǎn)損失情況的基礎(chǔ)上,本文構(gòu)建我國(guó)商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)評(píng)價(jià)指標(biāo)體系。指標(biāo)體系由兩級(jí)指標(biāo)構(gòu)成,其中包括企業(yè)感召力、產(chǎn)品與服務(wù)、目標(biāo)與領(lǐng)導(dǎo)層、工作環(huán)境、財(cái)務(wù)業(yè)績(jī)、社會(huì)責(zé)任、銀行創(chuàng)新與風(fēng)險(xiǎn)控制等7個(gè)一級(jí)指標(biāo)和22個(gè)二級(jí)指標(biāo)構(gòu)成。
根據(jù)我國(guó)商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)評(píng)價(jià)指標(biāo)體系和我國(guó)商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)分布情況,本文構(gòu)建貝葉斯網(wǎng)絡(luò)模型分析我國(guó)商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)。利用natica軟件包和super decisions軟件包構(gòu)建網(wǎng)絡(luò),得出我國(guó)四大國(guó)有商業(yè)銀行的聲譽(yù)風(fēng)險(xiǎn)權(quán)重情況分別為0.0266、0.0122、0.0513和0.0785。
根據(jù)實(shí)證分析,按照引發(fā)聲譽(yù)風(fēng)險(xiǎn)概率的大小,對(duì)我國(guó)商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)影響因素依次排序?yàn)椋浩髽I(yè)感召力缺乏、產(chǎn)品和服務(wù)缺陷、財(cái)務(wù)業(yè)績(jī)下滑、領(lǐng)導(dǎo)層目標(biāo)和戰(zhàn)略失誤、銀行創(chuàng)新或風(fēng)險(xiǎn)控制不足、企業(yè)社會(huì)責(zé)任缺乏、工作環(huán)境惡化。就四家銀行的情況而言,建設(shè)銀行和中國(guó)工商銀行發(fā)生聲譽(yù)風(fēng)險(xiǎn)的可能性較大,農(nóng)業(yè)銀行和中國(guó)銀行發(fā)生聲譽(yù)風(fēng)險(xiǎn)的可能性較小。工商銀行和建設(shè)銀行發(fā)生聲譽(yù)風(fēng)險(xiǎn)的可能性較大是因其業(yè)務(wù)量較大、業(yè)務(wù)范圍覆蓋較廣,當(dāng)然銀行不能為了降低聲譽(yù)風(fēng)險(xiǎn)而縮小業(yè)務(wù)量或壓縮業(yè)務(wù)范圍,而應(yīng)從更加有效的方面入手,有效控制商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)的發(fā)生。
本文的研究旨在討論商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)的大小并對(duì)不同銀行間聲譽(yù)風(fēng)險(xiǎn)的情況進(jìn)行排序,但本文的研究無(wú)法解決與商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)相聯(lián)系的商業(yè)銀行資本金和商業(yè)銀行在考慮聲譽(yù)風(fēng)險(xiǎn)前提下的資本金監(jiān)管情況,這是本文研究的一個(gè)不足,也是以后研究的重要方向之一。
參考文獻(xiàn):
[1]Jan Bebbington, Carlos Larrinaga, Jose M Moneva.Corporate social reporting and reputation risk management[J].Accounting, Auditing & Accountability Journal,2008,(21):337-361.
[2]Pekka Aula.Social media, reputation risk and ambient publicity management[J].Strategy & Leadership,2010,(38):11-16.
[3]Janine Hogan, Sumit Lodhia.Sustainability reporting and reputation risk management: an australian case study[J].International Journal of Accounting and Information Management,2011,(19):267-287.
[4]Lily Hua Fang.Investment bank reputation and the price and quality of underwriting services[J].The Journal of Finance,2005,(12):2729-2761,
[5]Joseph McCahery, Armin Schwienbacher.Bank reputation in the private debt market[J].Journal of Corporate Finance,2010,(9):495-515.
[6]Philipp Sturm.Operational and reputational risk in the european banking industry:the market reaction to operational risk events[J].Journal of Economic Behavior & Organization,2013,(2):191-206.
[7]胡穎,陳成斌.中國(guó)股份制商業(yè)銀行聲譽(yù)管理能力以5家上市銀行為例[J].金融論壇,2010,(7):39-43.
[8]陸岷峰,葛虎.關(guān)于構(gòu)建商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)管理后評(píng)價(jià)機(jī)制的探討[J].華北金融,2010,(4):39-43.
[9]張瑞德.商業(yè)銀行內(nèi)部控制、聲譽(yù)風(fēng)險(xiǎn)與銀行擠兌韓國(guó)銀行擠兌停業(yè)風(fēng)波的深層反思[J].浙江金融,2012,(8):34-35.
[10]張艷敏.自媒體時(shí)代的商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)管理[J].中國(guó)金融,2013,(9):56-57.
[11]魯志軍,姚德權(quán).基于CopulaVaR的金融資產(chǎn)組合風(fēng)險(xiǎn)測(cè)度研究[J].財(cái)經(jīng)理論與實(shí)踐,2012,(6):48-52.
(責(zé)任編輯:鐘 瑤)
Measurement Research of Domestic Commercial Banks' Reputational Risk Based on Bayesian Network
ZHANG Qiang, HU Min
(College of Finance&Statistics, Hunan University,Changsha 410079,China)
Abstract:According to the actual situation of China's commercial banks reputational risk distribution,We developed a commercial bank reputational risk evaluation system in this paper. A Bayesian network model was built to analyze the loss data of 485 stateowned commercial bank group 's reputation between 2007~2012, and then the over limit matrix of Chinese commercial banks reputational risk was derived. The empirical evidence showed that lack of charisma, and product and service defects, inadequate bank risk control are the main factors causing reputational risks of commercial banks, so the banks should take specific measures to effectively avoid and diversify risks.
Key words:Bayesian Network; Comenercial Bank; Reputational Risk
在明確我國(guó)商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)分布特征和風(fēng)險(xiǎn)損失情況的基礎(chǔ)上,本文構(gòu)建我國(guó)商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)評(píng)價(jià)指標(biāo)體系。指標(biāo)體系由兩級(jí)指標(biāo)構(gòu)成,其中包括企業(yè)感召力、產(chǎn)品與服務(wù)、目標(biāo)與領(lǐng)導(dǎo)層、工作環(huán)境、財(cái)務(wù)業(yè)績(jī)、社會(huì)責(zé)任、銀行創(chuàng)新與風(fēng)險(xiǎn)控制等7個(gè)一級(jí)指標(biāo)和22個(gè)二級(jí)指標(biāo)構(gòu)成。
根據(jù)我國(guó)商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)評(píng)價(jià)指標(biāo)體系和我國(guó)商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)分布情況,本文構(gòu)建貝葉斯網(wǎng)絡(luò)模型分析我國(guó)商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)。利用natica軟件包和super decisions軟件包構(gòu)建網(wǎng)絡(luò),得出我國(guó)四大國(guó)有商業(yè)銀行的聲譽(yù)風(fēng)險(xiǎn)權(quán)重情況分別為0.0266、0.0122、0.0513和0.0785。
根據(jù)實(shí)證分析,按照引發(fā)聲譽(yù)風(fēng)險(xiǎn)概率的大小,對(duì)我國(guó)商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)影響因素依次排序?yàn)椋浩髽I(yè)感召力缺乏、產(chǎn)品和服務(wù)缺陷、財(cái)務(wù)業(yè)績(jī)下滑、領(lǐng)導(dǎo)層目標(biāo)和戰(zhàn)略失誤、銀行創(chuàng)新或風(fēng)險(xiǎn)控制不足、企業(yè)社會(huì)責(zé)任缺乏、工作環(huán)境惡化。就四家銀行的情況而言,建設(shè)銀行和中國(guó)工商銀行發(fā)生聲譽(yù)風(fēng)險(xiǎn)的可能性較大,農(nóng)業(yè)銀行和中國(guó)銀行發(fā)生聲譽(yù)風(fēng)險(xiǎn)的可能性較小。工商銀行和建設(shè)銀行發(fā)生聲譽(yù)風(fēng)險(xiǎn)的可能性較大是因其業(yè)務(wù)量較大、業(yè)務(wù)范圍覆蓋較廣,當(dāng)然銀行不能為了降低聲譽(yù)風(fēng)險(xiǎn)而縮小業(yè)務(wù)量或壓縮業(yè)務(wù)范圍,而應(yīng)從更加有效的方面入手,有效控制商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)的發(fā)生。
本文的研究旨在討論商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)的大小并對(duì)不同銀行間聲譽(yù)風(fēng)險(xiǎn)的情況進(jìn)行排序,但本文的研究無(wú)法解決與商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)相聯(lián)系的商業(yè)銀行資本金和商業(yè)銀行在考慮聲譽(yù)風(fēng)險(xiǎn)前提下的資本金監(jiān)管情況,這是本文研究的一個(gè)不足,也是以后研究的重要方向之一。
參考文獻(xiàn):
[1]Jan Bebbington, Carlos Larrinaga, Jose M Moneva.Corporate social reporting and reputation risk management[J].Accounting, Auditing & Accountability Journal,2008,(21):337-361.
[2]Pekka Aula.Social media, reputation risk and ambient publicity management[J].Strategy & Leadership,2010,(38):11-16.
[3]Janine Hogan, Sumit Lodhia.Sustainability reporting and reputation risk management: an australian case study[J].International Journal of Accounting and Information Management,2011,(19):267-287.
[4]Lily Hua Fang.Investment bank reputation and the price and quality of underwriting services[J].The Journal of Finance,2005,(12):2729-2761,
[5]Joseph McCahery, Armin Schwienbacher.Bank reputation in the private debt market[J].Journal of Corporate Finance,2010,(9):495-515.
[6]Philipp Sturm.Operational and reputational risk in the european banking industry:the market reaction to operational risk events[J].Journal of Economic Behavior & Organization,2013,(2):191-206.
[7]胡穎,陳成斌.中國(guó)股份制商業(yè)銀行聲譽(yù)管理能力以5家上市銀行為例[J].金融論壇,2010,(7):39-43.
[8]陸岷峰,葛虎.關(guān)于構(gòu)建商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)管理后評(píng)價(jià)機(jī)制的探討[J].華北金融,2010,(4):39-43.
[9]張瑞德.商業(yè)銀行內(nèi)部控制、聲譽(yù)風(fēng)險(xiǎn)與銀行擠兌韓國(guó)銀行擠兌停業(yè)風(fēng)波的深層反思[J].浙江金融,2012,(8):34-35.
[10]張艷敏.自媒體時(shí)代的商業(yè)銀行聲譽(yù)風(fēng)險(xiǎn)管理[J].中國(guó)金融,2013,(9):56-57.
[11]魯志軍,姚德權(quán).基于CopulaVaR的金融資產(chǎn)組合風(fēng)險(xiǎn)測(cè)度研究[J].財(cái)經(jīng)理論與實(shí)踐,2012,(6):48-52.
(責(zé)任編輯:鐘 瑤)
Measurement Research of Domestic Commercial Banks' Reputational Risk Based on Bayesian Network
ZHANG Qiang, HU Min
(College of Finance&Statistics, Hunan University,Changsha 410079,China)
Abstract:According to the actual situation of China's commercial banks reputational risk distribution,We developed a commercial bank reputational risk evaluation system in this paper. A Bayesian network model was built to analyze the loss data of 485 stateowned commercial bank group 's reputation between 2007~2012, and then the over limit matrix of Chinese commercial banks reputational risk was derived. The empirical evidence showed that lack of charisma, and product and service defects, inadequate bank risk control are the main factors causing reputational risks of commercial banks, so the banks should take specific measures to effectively avoid and diversify risks.
Key words:Bayesian Network; Comenercial Bank; Reputational Risk