中国影子银行委托贷款风险管控政策模拟与仿真研究

Modeling and Simulation of Risk Control Policies for Entrusted Loans Among Shadow Banks in China

委托贷款是中国影子银行体系的“主力军”,也是间接融资市场的重要组成部分,其承担了融资渠道的功能,但也存在明显的内生风险问题,研究如何进行有效的政策管控现实意义重大。通过挖掘上市公司委托贷款公告信息、提取委托贷款特征来构建Multi-Agent政策仿真模型,深入分析委托贷款风险管控的方法和效果,研究发现,贷款利率和交易期限是降低委托贷款市场风险的关键因素;对于委托贷款中的特色“关联交易”而言,管控关联交易规模能显著降低市场整体的违约率。从微观层面来看,在破除委托贷款关联交易中“贷款歧视”的基础上实行“最优基准”管控有助于降低信用风险,增强委托贷款市场的稳定性。

Entrusted loans are not only the“main force”behind China’s shadow banking system but also an essential component of the country’s indirect financing market.While entrusted loans assume the function of a financing channel,they also have endogenous risks.This study obtained information regarding listed companies’entrusted loan announcements and extracted their characteristics to construct a Multi-Agent policy simulation model for an in-depth analysis of the methods and effects of risk control for entrusted loans.The findings of this study revealed that loan interest rate and transaction period were key factors that reduced risks in the entrusted loan market.In terms of the featured“related party transactions”among entrusted loans,controlling the size of related party transactions can significantly reduce the overall default rate in the market.At the micro level,implementing the“optimal benchmark”control based on eliminating“lending discrimination”in related party transactions among entrusted loans can help reduce credit risk and enhance the stability of the entrusted loan market.