基于多项任务多阶段委托-代理模型的银行信贷风险管理研究

Bank Credit Risk Management Based on a Multi-task Multi-stage Principal-Agent Model

从商业银行和信贷员之间的委托-代理关系的角度分析了商业银行的信贷风险管理问题.研究了商业银行和信贷员之间委托-代理关系的特殊性,建立了多项任务多阶段委托-代理模型.结果表明,多项任务多阶段委托-代理模型能够激励信贷员花在收集"显式"信息和"隐式"信息上的努力都大于零,信贷员2阶段的产出明显大于只有1阶段时的产出,从而降低由于信息不对称而产生的信贷员的道德风险,有效减小银行的信贷风险.模型解决了商业银行对信贷员的激励约束问题,既防范了信贷员的道德风险,又有效降低了商业银行的信贷风险.

The credit risk management in commercial banks is the focus of the financial work, it is also the week link in China^s commercial banks. From the view of the principal-agent relationship between commercial banks and the loan officers, the problem of credit risk management in commercial banks was analyzed. The special principal-agent relationship between commercial banks and the loan officers was studied, then a multi-task multi-stage principal-agent model was established. The results show that the multi-task multi-stage principal-agent model can encourage loan officers spent more efforts on collecting ＂explicit＂ and ＂implicit＂ informations,and the output of the loan officers in the two stages well be significantly greater than in the only one stage, thereby it can reduce the loan officers＇ moral hazard caused by the asymmetric information, and effectively reduce the credit risk of banks.