存货质押贷款中银行对借款人的甄别—分离均衡

Bank's Screening-Separating Equilibrium in Inventory Pledge Loan on Borrower

抵押贷款仅考虑借款人信用风险,存货质押贷款还应考虑质物价格风险。当银行对借款人事前违约概率具有不对称信息时,在Danny Ben-shahar抵押贷款模型基础上,综合考虑借款人信用风险和质物价格风险,证明存在高风险借款人选择(高利率、高贷款价值比)合同,低风险借款人选择(低利率、低贷款价值比合同)的唯一分离均衡。

Researches on mortgage loan only taking account of borrower＇s credit risk, whereas inventory pledge loan should contain price risk of collateral. The mortgage loan model of Danny Ben-shahar is extended to containing both borrower＇s credit risk and price risk of collateral. With asymmetric information on borrower＇s ex ante default possibility, Creditor can screen on borrowers with interest rate and LTV ratio mechanism. We conclusion that a self-selection process is attained, where higher default risk type borrowers choose a inventory pledge loan contract with higher interest rate and higher LTV, whereas lower default risk type borrowers choose lower interest rate and lower LTV.