企业价值、银行债务价值和信贷配给——基于实物期权的分析方法

Value of Corporation and Bank and Credit Rationing——Using Real Options Approach

信贷配给产生的根本原因在于银行为规避贷款风险和损失而不能以提高贷款利率来完全满足企业资金需求。考虑企业存在破产风险进而对银行贷款造成损失的可能,建立企业破产清算的实物期权模型和银行债务价值模型,考察银行贷款条款和企业破产决策的相互影响,分析并得到市场波动率、市场增长率和企业自有资金等因素对信贷配给和贷款合约的影响特征。本文在完全信息条件下从破产期权角度为信贷配给产生机制提供了新的解释。

The fundamental reason causing credit ration is that bank avoiding the risk and loss of loan can not satisfy fully the fund requirement of corporations by raising interest rate. Considering the risk of corporation＇s bankruptcy which causes the possibility loss for bank, we set up a model of corporation＇s bankruptcy and valuation of bank＇s loan using real options approach, investigate the interact of the loan contract and corporation＇s decision on bankruptcy, analyze the mechanism generating credit rationing, and get the characteristics of the impacts of market price volatility and expected growth rate, and the fund of corporation on credit rationing and loan contract. From the viewpoint of real options, we provide a new explanation for credit rationing.