声誉控制信贷资产证券化道德风险的理论研究

Theoretical Research on Reputation Controlling Moral Hazard of Credit Asset-backed Securities

信贷资产支持证券为结构性金融产品,投资人难以穿透观察底层基础资产,且交易主体间存在多重委托代理关系,为实现各自利益,会做出损害利益相关方的道德风险行为。声誉理论为解决此问题提供了良策,本文根据信贷资产证券化交易结构首先构建了声誉共同体模型解释声誉控制道德风险的机理,其次采用序贯博弈推导出信贷资产支持证券声誉模型中的“主导者”为发起人,最后重点分析发起人声誉模型,根据声誉动态、期间贴现因子、误报的发起人收益区分最低成本分离均衡、完全分离均衡、部分混同均衡和完全混同均衡,研究声誉如何帮助投资人区分发起人类型及甄别其道德风险行为。本文得出声誉共同体的声誉价值即为其道德风险行为获益的机会成本,防范信贷资产证券化道德风险的重点在于控制发起人道德风险,风险自留减少可以成为其声誉提高的信号这三项结论。本研究对分析结构性金融产品交易主体的声誉机制有一定参考意义,对声誉实证研究也有一定启发。

Since credit asset-backed securities are the structured financial product,investors cannot penetrate and observe the underlying assets.Meanwhile there are multiple principal-agent relationships between transaction subjects.In order to realize their own interests,they will make moral hazards that harm stakeholders.The reputation theory provides a good strategy for solving this problem.Based on the transaction structure of credit asset-backed securities,a reputation community model is firstly built to explain how reputation controls moral hazard.Secondly,the“leader”(the originator)is derived by using sequential game in the credit asset-backed securities reputation model.Finally the originator's reputation model is the focus of research.According to reputation dynamics,inter-period discount factors,and payoff gain from misreporting,least cost separating equilibrium,separating equilibrium,partial pooling equilibrium,and pooling equilibrium are distinguished to study how reputation can help investors know originator's types and identify their moral hazard behaviors.This article has concluded that reputation value of a reputation community is the opportunity cost of its moral hazard behavior.And the key to preventing moral hazard of credit asset-backed securities lies in controlling the originator's moral hazard.As well as the reduction of risk retention can be a signal for improving its reputation.This research has some reference significance for analyzing the reputation mechanism of structured financial product trading subjects,and it also inspires for empirical research on reputation.