企业集团代理人风险态度、道德风险与信用风险传递

The Agent's Risk Attitude,Moral Hazard and Credit Risk Contagion in an Enterprise Group

由于企业集团的关联企业众多,股权结构复杂,导致银企信息更加不对称,银行对企业集团贷款资金的监管更加困难,企业集团也更有机会产生不按照贷款合约使用贷款资金的道德风险,从而增大了银行的信用风险。针对此问题,首先分析了企业集团代理人转移银行贷款资金的动机,以及企业集团子公司之间信用风险的传递过程;其次,基于代理人效用最大化原理,分析委托代理合约、代理人风险态度,以及代理人转移贷款资金的道德风险对企业集团子公司信用风险的影响;最后,建立了度量企业集团子公司信用风险的违约概率模型。研究表明,代理人的风险态度、委托代理合约的状态都会影响企业集团子公司的违约概率。

Because an enterprise group has a lot of affiliated companies and complex structure of share,there is more asymmetric information between bank and enterprise group.It is more difficult for the bank to monitor the loans of enterprise group,and there are more chances for enterprise group to have moral hazard for not using the loan according to the contract which increase the credit risk of bank.Based on this problem,firstly we analyze the motivation of enterprise group agent transferring the loan and the process of credit risk contagion of subsidiary companies.Secondly,based on the utility maximization theory,we analyze how the credit risk is affected by contract＇s status,the agent＇s risk attitude and the agent＇s moral hazard.Finally,we get a model of probability of default for an enterprise group＇s subsidiary companies.The result shows that the agent＇s risk attitude and status of contract both affect the probability of default.