不完全信息下的信贷风险决策模型

Credit-risk decision model with imperfect information

从银行信贷资金风险极小化的角度出发 ,通过引入激励机制设计的理论和方法 ,建立了银行信贷风险决策模型 .指出了在此模型下 ,当两类企业向银行提供等值的抵押品时 ,高、低风险企业的利率也相同 .这说明 ,当抵押品作为鉴别企业风险类型的手段失效时 ,银行无法根据利率来判断企业项目风险 .研究结果表明 ,当两类企业向银行提供非等值的抵押品时 ,高风险企业愿意接受更高的贷款利率而提供更低的抵押品价值 ;低风险企业则愿意接受更低的贷款利率而提供更高的抵押品价值 .

Through introducing the theory and the methods of incentive mechanism design from the point of view of the minimum of the funds risk a credit-risk decision model for banks is established. It is shown that, when both the high-risk type and the low-risk type provide the equal collateral value to the bank, their loan interest rates are also equal. Therefore, when the way that collateral is taken to distinguish risky types of the entrepreneurs is invalidation, the bank unable to judge the risk of the projects based on interest rate. The study shows also that, when both the high-risk type and the low-risk type provide the different collateral values to the bank, high-risk borrowers will choose contracts with high interest rate and low collateral requirements whereas low-risk borrowers will choose contracts with low interest rate and high collateral requirements.