信用危机对银行间贷款交易收购方的影响

Research on Impact of Credit Crisis on Purchaser of Inter-bank Loan

与银企间信贷相比,批发银行与零售银行之间的贷款契约存在独特性质。在建立基本激励模型时,针对银行间信贷契约的特点增加了新的约束条件,求解后发现根据贷款期望收益的高低,批发银行需要支付两种高低不同的代理人租金。进而,通过分析批发银行实现盈亏平衡时的贷款利率,研究了信用危机对批发银行的影响:在低租金水平下和融资购贷时,批发银行受信用危机影响较大。通过实例测试验证了上述观点。结果表明,在预期到信用危机时,批发银行应尽量使用自有资金收购高代理人租金的贷款。

The gravity of a credit crisis could be reflected by the performance of wholesale banks Comparing to traditional bank-enterprise loan contract, the inter-bank loan contract between wholesale banks and retail banks has its unique attributes, and therefore different optimal solutions. Deploying theory of incentive, the paper discussed the optimal solution of inter-bank contract as well as the agent rent that retail bank could receive. Through discussing the required rate of return of wholesale bank, the paper analyzed the impact of credit crisis on wholesale bank. The results of this research suggest that wholesale bank should use its own money to invest on loans with high agent rent when facing potential credit crisis.