銀行財富管理業務之作業風險－－從連動債券信用危機觀察

THE OPERATIONAL RISKS IN BANKS WEALTH MANAGEMENT SERVICES A PERSPECTIVE FROM THE CREDIT CRISIS OF STRUCTURED NOTES

本文檢視2008年興業銀行舞弊事件、雷曼兄弟財務危機及事件後政府公佈處理作法下，本國銀行財富管理業務之聲譽風險（屬作業風險） 對其資本市值（股價）的影響。因銀行的不當行銷導致連動債發行或保證機構發生危機時，客戶因損失而歸咎銀行，使其承受了聲譽損失。在事件研究法和橫斷面迴歸分析後發現，事件期間銀行股票有顯著負異常報酬；雷曼兄弟事件中，銀行負報酬無法完全由本身投資損失和預期財管收入減少所解釋，而與財管業務發展程度有關：發展程度較高者，因聲譽風險較大，負異常報酬愈大。這點亦由觀察政府維護投資人權益作法之提出期間銀行股價的變化獲得支持。因此，銀行拓展財管業務可能發生聲譽風險並遭致市場價值損失。

This paper investigates the impact of reputational risk (belonging to operational risks) of wealth management services (WMS) on market values (stock prices) in Taiwan’s banks from the internal fraud of Societe Generale, financial crisis of Lehman Brothers Holdings Inc., and declaration of government’s handling measures. When the issuing or guaranteeing institutions of structured notes have credit crises, banks offering WMS suffer from reputational risks because their clients make losses on their investment in structured notes, and thus ascribe the blame to their improper marketing. Using various event studies and a cross-sectional regression, I find that on average Taiwanese banks have significantly negative abnormal returns on stocks around the periods of the three above-mentioned events. For the Lehman Brothers event, these negative returns can not be completely explained by securities investment losses of bank themselves or decreased expected income from WMS, and, therefore, are related to the extent of development of WMS. The higher the development of WMS, the larger the negative abnormal returns due to higher reputational risks, which is also supported by evidence from examining stock returns around the period of the government’s actions to safeguard investors. Thus, banks engaging in WMS are likely to undergo reputational risks and a decline in market value.