歐洲金融機構營運風險與名譽損失

Operational Risk and Reputation Loss in European Financial Industry

陳建豪(Chien-Hao Chen)

指導教授 ： 何耕宇

共同指導教授 ： 許瑋元

國立臺灣大學/管理學院/財務金融學研究所/碩士(2011年)

https://doi.org/10.6342/NTU.2011.00306

摘要

在這篇論文裡，我們研究歐洲的金融機構在過去20年發生大筆金額的營運損失事件。名譽損失是我們主要探討的議題。我們針對這些營運損失的事件進行事件研究法，我們收集公司宣告營運損失當下的股價資料，進而計算出公司因為營運損失所造成的市值減少。市值的減少與公司宣告事件損失的金額並不會相同，這兩者的差距我們便定義為名譽損失。我們把收集到的樣本以西元2000年作為一個分界，我們的結果顯示西元2000年以後發生營運損失的公司，承受了較大的名譽損失。同時我們的結果也顯示出這些發生營運損失的公司在長期股價表現較差。在我們所有研究的樣本中，英國的金融機構發生的營運損失事件占了40%以上，因此我們將英國的金融機構與歐洲其他的金融機構做了比較，我們發現英國的金融機構在發生營運損失事件後所承受的名譽損失大於其他的歐洲金融機構。

關鍵字

營運風險 ； 名譽損失 ； 歐洲金融機構

並列摘要

In this paper we focus on huge operational loss events in European financial companies in the past 20 years. The reputation loss is our main focus. We collect the operational loss companies’ stock price and calculate the difference between market value loss and announced loss to represent the reputation loss when the company have operational loss event. We separate our sample into two groups by year and compare short-term and long-term performance of these two groups. We find that the companies suffer more reputation loss when they have operational loss after year 2000 in both short run and long run. We also compare the UK financial companies’ operational loss events with other European financial companies’, and we find UK financial companies suffer more reputation loss when they have operational loss.

並列關鍵字

Operational Risk ； Reputation Loss ； European Financial Industry

參考文獻

Allen, L., Bali, T.G., 2007. Cyclicality in catastrophic and operational risk measurement. Journal of Banking and Finance 31, 1191-1235.

Basel Committee, 2003. Sound practices for the management and supervision of operational risk. Bank for International Settlements.

Barber, B.M., Lyon, J.D., 1997. Detecting long-run abnormal stock return: The empirical power and specification of test statistics. Journal of Financial and Economics 43, 341-372.

Chernobai, A., Jorion, P., Yu, F., 2008. The determinants of operational losses. Working paper, Syracuse University.

Cruz, M.G., 2002. Modeling, measuring and hedging operational risk. John Wiley & Sons, Ltd., New York.