存在拖欠还款概率影响的信贷风险决策机制

Credit Risk Decision Model under the Effects of the Default Probability

讨论了拖欠还款概率的存在对银行期望收益的影响以及项目成功概率的大小对企业期望收益的影响,阐述了抵押品和配给量在防范信贷风险尤其是道德风险的过程中所起的重要作用.在考虑拖欠还款概率存在的影响下,建立了信贷风险决策模型,给出了相应的信贷风险决策机制.并在该机制的作用下,分析了信贷配给与无需配给的贷款申请条件,得出了在拖欠还款概率影响下企业只能申请有抵质押贷款的重要结论.此外,还在不对称信息条件下,进一步讨论了银行与贷款企业之间的激励问题.通过设计正向激励与负向激励,揭示了拖欠还款概率与项目成功概率之间的内在联系.

The paper discusses that the existence of the default probability has influence on the expected return for a bank and that the size of the successful probability of a project has influence on the expected return of an entrepreneur. It states the important action of both collateral and rationing in the course of defending credit risk especially moral risk. In the case of considering the influence of the default probability, the paper establishes a credit risk decision model and gives corresponding credit risk decision mechanism. Under the action of the mechanism, the paper analyzes the conditions of loan application about both credit rationing and non-rationing respectively. We get an important conclusion that the entrepreneur only applies for the loan with collateral under the influence of the default probability. In addition, the paper further discusses the problems of incentive compatibility between bank and loan entrepreneurs with asymmetric information. By designing the positive incentive and the negative incentive, it exposes the internal relationship between the default probability and the successful probability of the project.