多重情景下的共赢信贷模型研究
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摘要
信用风险是指债务人和交易对手未能履行合同所规定的义务或信用质量发生变化,影响金融产品的价值,给债权人或金融产品持有人带来经济损失的风险。从全球看,20世纪80年代以来,世界范围内的20余次金融危机、司空见惯的企业破产、美国的“次贷”危机和正在困扰希腊的主权债务危机等现实正刻骨铭心地警示着：不健全的信用体系会对经济社会可持续发展造成沉重的挫伤。经济增长与信用体系的“交互依存”状态所蕴含的复杂演化关系常常超乎人们的想象,因而信用风险的关联效应不容忽视。
作为正在崛起的大国,中国与其它国家在经济上已融成不可分割的一体,信用体系对其发展的正负面作用也随之日益凸显。毋容讳言：与共赢发展相协调的“恪守信用、平等互利、相互支持、共同繁荣”的信用理念和体系在我国远未建立健全,致使可促进共赢发展的信用体系构建机理的研究,成为关乎我国经济发展稳健与否的关键之一。
本文以信用风险管理为重心,以多渠道融资模式为背景,即在多重情景下构建综合考虑多种违约影响因素的共赢信贷模型,并通过实证分析和模拟分析,从中观层面考察信贷三方(企业、银行、非银行的投资机构)共赢信贷策略。研究内容和结论简述如下：
(1)将完全契约机制下信贷三方的风险与收益变化情况作为情景一,建立了信贷三方投融资博弈模型,得到了单期完全信息下三方博弈共赢的Nash均衡解。
通过对相关参数的影响因素进行分析发现：银行的投资效用与企业的持股比例正相关,与企业的道德风险和违约概率负相关；企业的持股比例与其绝对风险厌恶系数负相关；投资机构的投资额与其绝对风险厌恶系数负相关；整个信贷系统理想状态下的总收益只与企业年收益率和信用质量有关。
(2)将不完全契约机制信贷三方的风险与收益变化情况作为情景二,并分别依据Nash博弈和Leader-follower博弈规则,考察三方的收益与风险权衡下的博弈策略,得到了单期不完全信息下的博弈共赢均衡解。
企业无力偿还债务与企业不愿偿还债务行为均可导致投资方的利益受损。不完全契约机制下的博弈均衡结果表明,企业的负债率与道德风险、贷款利率负相关,这说明企业在一定条件下有增加道德风险的可能。
(3)将多期及违约风险的渐变特征作为情景三,用CIR过程刻画违约强度的渐进变化特征,并在对相关参数进行敏感性分析的基础上,构建三方共赢的信贷模型。
利用确定性等价原理给出信贷三方收益的期望值,并给出双重信用风险下具有渐变特征的违约风险升水的贴现值,并利用数值模拟方法,给出了均衡解的影响因素分析和相关参数的敏感度分析,进而构建了渐进风险下的共赢信贷模型。
(4)将违约风险具有随宏观经济而变化的亲周期性和突变特征作为情景四,利用仿射变换和跳跃波动模型刻画违约风险因子的突变特征,并对参数进行敏感性分析,进而构建三方共赢的信贷模型。
利用仿射变换将宏观经济因素的突变特征与违约风险的突变性联系起来,给出信贷三方收益最优期望效用模型,得到Nash均衡解。再利用宏观经济数据(GDP总值增长率,人民币兑美元国内远期市场汇率,三月期Shibor变化率)和跳辨识方法进行实证分析和参数敏感度分析,构建了突变风险下的共赢信贷模型。
(5)将多个企业参与信贷资源分配时的竞争环境作为情景五,利用Lotka-Voterra生物竞争模型和推广了的Copula尾部相关系数,得到不同类型企业的信贷额度均衡比例,并对相关参数进行敏感性分析的基础上,构建了各方共赢的信贷模型。
信贷资金规模的有限性导致借款企业间的竞争,进而影响共赢决策均衡解,因此,利用生物竞争模型得到不同类型借款企业间的信贷额度均衡比例,并据此构建信贷各方收益期望效用模型。再利用推广了的Copula尾部相关系数期望值和条件尾部相关系数、敏感性分析与实证检验,对模型中的影响因子等进行估计。
Credit risk is the risk of loss due to a debtor's non-payment of a loan, or the counterparty fails to fulfill contract obligations, or the change of credit quality undermines the value of finance products, all of these may cause a loss of the debtor and finance products holder. From a global perspective, since the 80s of the 20th century, the facts are that there are over 20 international financial crises and frequent enterprise bankruptcy, especially, the U.S. "Subprime Crisis" and the sovereignty debt crisis taken place in Greece made many countries suffer tremendous loss. All of the above warn that unsound credit system heavily shocks to the economic and social sustainable development. The complex evolution involved in the interaction relationship between economic development and credit system is often beyond our imagination, and thus the correlation effect of credit risk should not be ignored.
As a rising great power, China and other countries have melted into the indivisible "body" in the economic area. Accordingly, the positive and negative effects of the credit system on their development will become increasingly prominent. Without denying, both the coordinate credit philosophy which emphasizes Abiding by Credit; Equality and Mutual Benefit; Mutual Support and Mutual Prosperity, and ctedit system with the mutual-beneficial development, have not yet been established. This makes the study of mutual-beneficial credit mechanism becomes one of the key factors to the stability of China's economic development.
In this doctoral dissertation, we try to build a mutual-beneficial credit loan model considering multiple default risk factors based on multichannel financing mode, and analyze the strategy change of credit loan of every participant in the framework of multiple scenario analysis. Then, with the empirical analysis and simulation, we seek to provide some policy suggestions for the three players in a credit syatem, i.e. the firm, bank and non-banking investment institution. Main contents and conclusions are outlined as follows:
Ⅰ. This dissertation takes complete contract mechanism as Scenario One. We tradeoff the risk and return of every participant in this scenario, build investment and financing game model for three players, and obtain the game equilibrium solution of the tripartite under the return and risk balance. This equilibrium is a single-period.Nash equilibrium in complete information game.
By analyzing the related parameters, we find that the investment utility of the bank is positively correlated to the enterprise's shareholding ratio, and negatively correlated to enterprise's moral hazard and default probability. The enterprise's shareholding ratio is negatively correlated to its degree of absolute risk-aversion, and the investment institution amount of investment is negatively correlated to its degree of absolute risk-aversion. Ideally, the total return of the whole credit loan system is only related to enterprise's annual rate of return and credit level.
Ⅱ. This dissertation takes incomplete contract mechanism as Scenario Two. Then we obtain the game equilibrium strategy of the tripartite under the benefit and risk balance based on the Nash game and Leader-follower game rules, respectively. This equilibrium solution is a single-period game equilibrium strategy under the incomplete information.
The enterprise's actions such as insolvency or unwilling to pay the debt can lead to the investor loss of return. The game equilibrium solutions in the incomplete contract show that the enterprise's rate of debt is negatively correlated to the moral hazard and loan interest rate. The solutions mean that the enterprise may increase its moral hazard degree under some conditions.
Ⅲ. This dissertation takes the multi-period time-varying feature of default risk as Scenario Three. We describe the variation of default probability using default intensity with CIR process. Then we construct the mutual-beneficial credit loan model in the tripartite player by the sensitivity analysis for corresponding parameters.
We present the expected return of credit tripartite using certainty equivalence principle, and compute the discount value with default risk premium under the condition that it gradually changes. We obtain the game equilibrium solutions and analyse the sensitivities of corresponding parameters using the numerical simulation method. With the above, we find the effective strategy set of the credit tripartite under the condition that the risk gradually changes.
Ⅳ. This dissertation takes the mutation change feature of default risk affected by the macroeconomic system and the pro-cyclical assumption as Scenario Four. We describe the mutation feature of the default risk factor using the affine transformation and the jump diffusion model, and analyze the sensitivity of corresponding parameters. Then we construct the mutual-beneficial credit loan model of the tripartite players.
We link the mutation fluctuation of the default risk to mutation characterstic of the macroeconomic factor using the affine transformation, construct the optimal expected utility model of credit loan tripartite player, and then obtain the Nash equilibrias. Then empirical analysis is done with macroeconomic indicators (GDP growth rates, forward exchange rate of RMB vs. U.S. dollar, the Shibor change rate in quarter.), and we estimate corresponding fluctuation parameters of unexpected change by jump identify non-parametric estimation. And then we construct the mutual-beneficial credit loan model with the unexpected change feature of default risk.
Ⅴ. This dissertation takes the fact that many enterprises face a competitive environment applying credit loan resource in limited size as Scenario Five. We examine the equilibrium proportations accounted by different enterprises to the total resource, based on the Lotka-Voterra biological competition models and extended Copula tail correlation coefficient. Then we construct the mutual-beneficial credit loan model, and analyze the sensitivity of corresponding parameters.
The limited size of the credit loan funds results in competition between borrowers, and influences the mutual-beneficial equilibrium decision. So we examine the equilibrium proportations accounted by different borrowers with Lotka-Voterra biological competition model, then construct the expected return utility model, and obtain the Mutual-beneficial equilibrium solution. We estimate influence factor parameter of Lotka-Voterra biological competition model by the constructed expectated value of Copula tail dependence coefficient and the condition tail correlation coefficient. Meanwhile, we do empirical analysis and sensitivity test on the corresponding parameters.
作为正在崛起的大国,中国与其它国家在经济上已融成不可分割的一体,信用体系对其发展的正负面作用也随之日益凸显。毋容讳言：与共赢发展相协调的“恪守信用、平等互利、相互支持、共同繁荣”的信用理念和体系在我国远未建立健全,致使可促进共赢发展的信用体系构建机理的研究,成为关乎我国经济发展稳健与否的关键之一。
本文以信用风险管理为重心,以多渠道融资模式为背景,即在多重情景下构建综合考虑多种违约影响因素的共赢信贷模型,并通过实证分析和模拟分析,从中观层面考察信贷三方(企业、银行、非银行的投资机构)共赢信贷策略。研究内容和结论简述如下：
(1)将完全契约机制下信贷三方的风险与收益变化情况作为情景一,建立了信贷三方投融资博弈模型,得到了单期完全信息下三方博弈共赢的Nash均衡解。
通过对相关参数的影响因素进行分析发现：银行的投资效用与企业的持股比例正相关,与企业的道德风险和违约概率负相关；企业的持股比例与其绝对风险厌恶系数负相关；投资机构的投资额与其绝对风险厌恶系数负相关；整个信贷系统理想状态下的总收益只与企业年收益率和信用质量有关。
(2)将不完全契约机制信贷三方的风险与收益变化情况作为情景二,并分别依据Nash博弈和Leader-follower博弈规则,考察三方的收益与风险权衡下的博弈策略,得到了单期不完全信息下的博弈共赢均衡解。
企业无力偿还债务与企业不愿偿还债务行为均可导致投资方的利益受损。不完全契约机制下的博弈均衡结果表明,企业的负债率与道德风险、贷款利率负相关,这说明企业在一定条件下有增加道德风险的可能。
(3)将多期及违约风险的渐变特征作为情景三,用CIR过程刻画违约强度的渐进变化特征,并在对相关参数进行敏感性分析的基础上,构建三方共赢的信贷模型。
利用确定性等价原理给出信贷三方收益的期望值,并给出双重信用风险下具有渐变特征的违约风险升水的贴现值,并利用数值模拟方法,给出了均衡解的影响因素分析和相关参数的敏感度分析,进而构建了渐进风险下的共赢信贷模型。
(4)将违约风险具有随宏观经济而变化的亲周期性和突变特征作为情景四,利用仿射变换和跳跃波动模型刻画违约风险因子的突变特征,并对参数进行敏感性分析,进而构建三方共赢的信贷模型。
利用仿射变换将宏观经济因素的突变特征与违约风险的突变性联系起来,给出信贷三方收益最优期望效用模型,得到Nash均衡解。再利用宏观经济数据(GDP总值增长率,人民币兑美元国内远期市场汇率,三月期Shibor变化率)和跳辨识方法进行实证分析和参数敏感度分析,构建了突变风险下的共赢信贷模型。
(5)将多个企业参与信贷资源分配时的竞争环境作为情景五,利用Lotka-Voterra生物竞争模型和推广了的Copula尾部相关系数,得到不同类型企业的信贷额度均衡比例,并对相关参数进行敏感性分析的基础上,构建了各方共赢的信贷模型。
信贷资金规模的有限性导致借款企业间的竞争,进而影响共赢决策均衡解,因此,利用生物竞争模型得到不同类型借款企业间的信贷额度均衡比例,并据此构建信贷各方收益期望效用模型。再利用推广了的Copula尾部相关系数期望值和条件尾部相关系数、敏感性分析与实证检验,对模型中的影响因子等进行估计。
Credit risk is the risk of loss due to a debtor's non-payment of a loan, or the counterparty fails to fulfill contract obligations, or the change of credit quality undermines the value of finance products, all of these may cause a loss of the debtor and finance products holder. From a global perspective, since the 80s of the 20th century, the facts are that there are over 20 international financial crises and frequent enterprise bankruptcy, especially, the U.S. "Subprime Crisis" and the sovereignty debt crisis taken place in Greece made many countries suffer tremendous loss. All of the above warn that unsound credit system heavily shocks to the economic and social sustainable development. The complex evolution involved in the interaction relationship between economic development and credit system is often beyond our imagination, and thus the correlation effect of credit risk should not be ignored.
As a rising great power, China and other countries have melted into the indivisible "body" in the economic area. Accordingly, the positive and negative effects of the credit system on their development will become increasingly prominent. Without denying, both the coordinate credit philosophy which emphasizes Abiding by Credit; Equality and Mutual Benefit; Mutual Support and Mutual Prosperity, and ctedit system with the mutual-beneficial development, have not yet been established. This makes the study of mutual-beneficial credit mechanism becomes one of the key factors to the stability of China's economic development.
In this doctoral dissertation, we try to build a mutual-beneficial credit loan model considering multiple default risk factors based on multichannel financing mode, and analyze the strategy change of credit loan of every participant in the framework of multiple scenario analysis. Then, with the empirical analysis and simulation, we seek to provide some policy suggestions for the three players in a credit syatem, i.e. the firm, bank and non-banking investment institution. Main contents and conclusions are outlined as follows:
Ⅰ. This dissertation takes complete contract mechanism as Scenario One. We tradeoff the risk and return of every participant in this scenario, build investment and financing game model for three players, and obtain the game equilibrium solution of the tripartite under the return and risk balance. This equilibrium is a single-period.Nash equilibrium in complete information game.
By analyzing the related parameters, we find that the investment utility of the bank is positively correlated to the enterprise's shareholding ratio, and negatively correlated to enterprise's moral hazard and default probability. The enterprise's shareholding ratio is negatively correlated to its degree of absolute risk-aversion, and the investment institution amount of investment is negatively correlated to its degree of absolute risk-aversion. Ideally, the total return of the whole credit loan system is only related to enterprise's annual rate of return and credit level.
Ⅱ. This dissertation takes incomplete contract mechanism as Scenario Two. Then we obtain the game equilibrium strategy of the tripartite under the benefit and risk balance based on the Nash game and Leader-follower game rules, respectively. This equilibrium solution is a single-period game equilibrium strategy under the incomplete information.
The enterprise's actions such as insolvency or unwilling to pay the debt can lead to the investor loss of return. The game equilibrium solutions in the incomplete contract show that the enterprise's rate of debt is negatively correlated to the moral hazard and loan interest rate. The solutions mean that the enterprise may increase its moral hazard degree under some conditions.
Ⅲ. This dissertation takes the multi-period time-varying feature of default risk as Scenario Three. We describe the variation of default probability using default intensity with CIR process. Then we construct the mutual-beneficial credit loan model in the tripartite player by the sensitivity analysis for corresponding parameters.
We present the expected return of credit tripartite using certainty equivalence principle, and compute the discount value with default risk premium under the condition that it gradually changes. We obtain the game equilibrium solutions and analyse the sensitivities of corresponding parameters using the numerical simulation method. With the above, we find the effective strategy set of the credit tripartite under the condition that the risk gradually changes.
Ⅳ. This dissertation takes the mutation change feature of default risk affected by the macroeconomic system and the pro-cyclical assumption as Scenario Four. We describe the mutation feature of the default risk factor using the affine transformation and the jump diffusion model, and analyze the sensitivity of corresponding parameters. Then we construct the mutual-beneficial credit loan model of the tripartite players.
We link the mutation fluctuation of the default risk to mutation characterstic of the macroeconomic factor using the affine transformation, construct the optimal expected utility model of credit loan tripartite player, and then obtain the Nash equilibrias. Then empirical analysis is done with macroeconomic indicators (GDP growth rates, forward exchange rate of RMB vs. U.S. dollar, the Shibor change rate in quarter.), and we estimate corresponding fluctuation parameters of unexpected change by jump identify non-parametric estimation. And then we construct the mutual-beneficial credit loan model with the unexpected change feature of default risk.
Ⅴ. This dissertation takes the fact that many enterprises face a competitive environment applying credit loan resource in limited size as Scenario Five. We examine the equilibrium proportations accounted by different enterprises to the total resource, based on the Lotka-Voterra biological competition models and extended Copula tail correlation coefficient. Then we construct the mutual-beneficial credit loan model, and analyze the sensitivity of corresponding parameters.
The limited size of the credit loan funds results in competition between borrowers, and influences the mutual-beneficial equilibrium decision. So we examine the equilibrium proportations accounted by different borrowers with Lotka-Voterra biological competition model, then construct the expected return utility model, and obtain the Mutual-beneficial equilibrium solution. We estimate influence factor parameter of Lotka-Voterra biological competition model by the constructed expectated value of Copula tail dependence coefficient and the condition tail correlation coefficient. Meanwhile, we do empirical analysis and sensitivity test on the corresponding parameters.
引文
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