声誉风险管理自美国次贷危机后纳入了全面风险的管理范畴。国内外银行业 的监管部门和商业银行的决策层逐渐意识到声誉风险管理，尤其是声誉风险评估 的重要性。全面系统的声誉风险识别和科学合理的风险评估指标体系，以及定量 评估模型的构建，成为银行声誉风险管理的重点和难点。对于声誉风险影响因素 的识别分析成为声誉风险评估中最基础也是最重要的一个环节。因此，本文针对 影响商业银行声誉风险的因素进行了探索和创新的研究，为后续风险的评估提供 参考。 本文主要从XY银行内部进行剖析，识别XY银行声誉风险影响因素并提出有 针对性的建议。以XY银行为研究对象，结合部分已有相关研究成果，应用文献 研究法、对比研究方法、理论分析法等研究方法按照“国内外文献综述→研究理 论构架→现状分析→实证分析→对策建议”的思路，从声誉风险的概念、特征、 表现形式入手，对声誉风险的管理现状进行分析，分析出XY银行声誉风险存在 的原因，通过构建VAR模型，选取平均总资产回报率（HBL）、机构数量（JG）、 流动比率（LDX）、不良贷款率（BLDK）、资产充足率（CZL）、大学学历（XL）、 员工年均工资（GZ）作为因素变量，构建VAR模型，并对模型进行平稳性检验、 格兰杰因果检验和协整检验，在VAR模型的基础上，分析扰动项的传播机制， 对各变量进行脉冲响应分析，得到脉冲响应曲线函数，并在此基础上进行方差分 解分析，分析每一个结构冲击对内生变量变化的贡献度大小，量化识别XY银行 声誉风险影响因素。研究表明，不良贷款率、工资、流动比率对XY银行声誉风 险影响较为显著，而机构总数和大学以上人数占比对XY银行声誉风险的影响相 对较校 根据上述研究结论有针对性地提出相应对策建议，强化XY银行的声誉风险 内部控制，对管理部门提供可靠的数据支撑，期望能对银行声誉风险防范有所参 考。 关键词：商业银行声誉风险风险识别向量自回归 北京工业大学工商管理硕士学位论文 III Abstract Reputationriskmanagementhasbeenincludedinthecomprehensiverisk managementsincetheUSsubprimecrisis.Domesticandforeignbankingregulatory departmentsanddecision-makersofcommercialbanksgraduallyrealizethe importanceofreputationriskmanagement,especiallyreputationriskassessment. Comprehensiveandsystematicreputationriskidentification,scientificandreasonable riskassessmentindexsystem,aswellastheconstructionofquantitativeassessment model,havebecomethefocusanddifficultyofbankreputationriskmanagement.The identificationandanalysisoftheinfluencingfactorsofreputationriskhasbecomethe mostbasicandimportantpartofreputationriskassessment.Therefore,thispaper exploresandinnovatesthefactorsthataffectthereputationriskofcommercialbanks, andprovidesreferenceforthesubsequentriskassessment. ThispapermainlyanalyzestheinternalofXYbank,identifiestheinfluencing factorsofXYbank'sreputationriskandputsforwardsomesuggestions.TakingXY bankastheresearchobject,combinedwithsomeexistingresearchresults,using literatureresearch,comparativeresearch,theoreticalanalysisandotherresearch methods,accordingtotheideaof"literaturereviewathomeandabroad→research theoreticalframework→statusanalysis→empiricalanalysis→countermeasures andsuggestions",startingwiththeconcept,characteristicsandformsofexpressionof reputationrisk,thispaperanalyzesthecurrentsituationofreputationrisk managementAnalyzeandanalyzethereasonsofXYbank'sreputationrisk.By constructingVARmodel,selecttheaveragerateofreturnontotalassets(HBL), numberofinstitutions(JG),liquidityratio(LDX),non-performingloanratio(bldk), assetadequacyratio(czl),collegedegree(XL),averageannualwageofemployees (GZ)asfactorvariables,constructVARmodelandtestthestabilityofthemodel Grangercausalitytest,cointegrationtest,onthebasisofVARmodel,analyzethe 北京工业大学工商管理硕士学位论文 IV propagationmechanismofthedisturbanceterm,analyzetheimpulseresponseofeach variable,obtaintheimpulseresponsecurvefunction,andonthisbasis,conduct variancedecompositionanalysis,analyzethecontributionofeachstructuralshockto thechangeofendogenousvariables,andquantifyandidentifytheinfluencingfactors ofXYbankreputationrisk.Theresearchshowsthatthenon-performingloanratio, wageandcurrentratiohaveasignificantimpactonthereputationriskofXYbank, whiletheratioofthetotalnumberofinstitutionsandthenumberofpeopleabovethe universityhasarelativelysmallimpactonthereputationriskofXYbank.According totheaboveresearchconclusions,thepaperputsforwardcorresponding countermeasuresandsuggestions,strengthenstheinternalcontrolofXYbank's reputationrisk,providesreliabledatasupportforthemanagementdepartment,and expectstoprovidereferenceforthebank'sreputationriskprevention. Keywords:CommercialBank，ReputationRisk，RiskIdentification，VAR 北京工业大学工商管理硕士学位论文 VI 目录 摘要.............................................................................................................................I Abstract.......................................................................................................................III 第1章绪论................................................................................................................1 1.1研究背景.........................................................................................................1 1.1.1选题背景..............................................................................................1 1.1.2研究意义..............................................................................................2 1.2国内外文献综述.............................................................................................4 1.2.1国内相关研究概况..............................................................................4 1.2.2国外相关研究概况..............................................................................8 1.2.3文献述评............................................................................................10 1.3研究内容和研究方法...................................................................................11 1.3.1研究内容............................................................................................11 1.3.2研究方法............................................................................................12 1.4创新之处.......................................................................................................13 第2章商业银行声誉风险相关理论基础................................................................15 2.1相关概念的界定...........................................................................................15 2.1.1商业银行声誉....................................................................................15 2.1.2商业银行声誉风险............................................................................15 2.1.3商业银行声誉风险评估....................................................................17 2.2商业银行声誉风险的相关理论...................................................................17 2.2.1声誉网络理论....................................................................................17 2.2.2声誉交易理论....................................................................................18 2.2.3利益相关者理论................................................................................18 2.2.4全面风险管理理论............................................................................18 2.3商业银行声誉风险的特征...........................................................................19 2.3.1风险来源的多样性............................................................................19 2.3.2估量方法的复杂性............................................................................20 2.3.3风险事件的关联性............................................................................20 2.3.4危害程度的广泛性............................................................................21 2.4本章小结.......................................................................................................21 北京工业大学工商管理硕士学位论文 VII 第3章XY银行声誉风险的现状及成因...................................................................23 3.1XY银行概况.................................................................................................23 3.2XY银行声誉风险现状...................................................................................24 3.2.1声誉风险诱因复杂化........................................