摘要
在存在隐藏信息道德风险的委托-代理框架下分析了不同类型信息对信用风险管理的影响。结果显示,获得"软"信息可减少VaR资本需求,但也促使信贷员利用"软"信息进行信号操纵。提出了利用工资激励合同防止操纵的产生。通过应用模拟方法对2种框架("软"信息和2类信息结合)的结果进行对比,证实"软"信息对银行家有利但需要对银行内部组织结构进行改进。
Impact of information type on credit risk management was analyzed under a principal-agent framework with moral hazard. Result showed that access to soft information allowed the banker to decrease the capital allocation for VaR coverage. It also promoted the credit officer to manipulate the signal based on the produced soft information. Therefore, an adequate incentive salary package was implemented which could prevent this manipulation. The comparison of the results from the two frameworks using simulations confirmed that soft information gave advantages to the banker but required particular organizational modifications within the bank.
出处
《安徽农业科学》
CAS
北大核心
2007年第29期9370-9372,9382,共4页
Journal of Anhui Agricultural Sciences
关键词
“硬”信息
“软”信息
风险管理
VAR
道德风险
Hard information
Soft information
Risk management
Value at Risk
Moral hazard
