Knight不确定环境中货币政策与信贷质量非对称关系——基于违约概率模型的数值分析

Asymmetric Relationship between Monetary Policy and Credit Quality in Knight Uncertainty Environment——Numerical Analysis Based on the Models of Default Probability

针对Knight不确定环境下货币政策对银行风险的影响,在"风险承担渠道"假说下,利用倒向随机微分方程理论和期权定价方法建立违约概率模型,求出了Knight不确定环境下最小、最大违约概率的显式解,从而得到违约概率的区间表示。采用数值模拟方法,得到货币政策等因素对信贷质量具有非对称影响的结论。主要贡献在于:利用倒向随机微分方程理论引入Knight不确定性,更加科学的度量金融机构面临的风险;直接使用违约概率作为信贷质量的衡量指标,提高测度风险的灵敏性及前瞻性。

This paper aims to study the influence of monetary policy on bank risk in Knight uncertain environment.Based on the theory of'risk-taking channels',we use the theory of backward stochastic differential equation and the method of option pricing to build the models of default probabilities.The explicit solutions of the maximal and minimal default probabilities are derived in Knight uncertainty environment.Thus the intervals of default probabilities are got.Applying numerical simulation,we verify the asymmetric effects on credit quality by the monetary policy and Knight uncertainty theories.The contribution of this paper mainly lies in two aspects:First,in order to measure the effect of unpredictable factors for financial assets,we introduce Knight uncertainty through backward stochastic differential equation theory,thus we can measure the risk that the financial institutions face more scientifically.Second,the paper uses default probability directly as indicators of credit quality,improves the perceptiveness and the measurement of risk sensitivity.Therefore this study provides a more scientific guidance for regulators.