抵押在信用风险决策中的作用研究
摘要
信用风险是银行经营活动中的主要风险,抵押担保贷款在我国企业、个人的信用档案普遍缺乏的情况下显得十分重要。然而,在实施的过程中,难免出现一些问题,集中表现为抵押担保效果欠佳,不良贷款率居高不下,形成较高的金融风险。因此,研究分析信用风险的识别机制对防范和化解信用风险具有重要意义。
理论上,本文分析了在信息不对称情况下抵押机制的作用,从契约理论和信贷配给理论的角度指出抵押品具有的甄别和激励功能,并从违约与违约概率的概念出发,总结前人在违约概率测度方法和变量选择方面的研究,由此说明运用Ordered Probit模型和引入财务、非财务变量的可行性。实证中,本文首先说明排序多元离散选择模型应用于此研究的理论基础及其适应性。鉴于银行承兑汇票业务与信贷业务在逻辑上的一致性,本文选取了申请银行承兑汇票企业的财务、非财务、信用支持指标,建立识别信用风险的统计分析模型。
本文的主要结论是:第一,理论上,抵押在商业银行信用风险的决策过程中具有信号甄别作用。在银企交易过程中,抵押作为信用缓释技术的引入,可以有效降低“逆向选择”和“道德风险”。信贷合约中对抵押的理性设置可以有效分离高风险企业和低风险企业;同时,抵押贷款契约能够最大程度地激励了企业家的勤勉。第二,实证中,风险识别模型取得良好效果,特别是在判定优良企业方面。结果证明了抵押在企业信用评级中的信号甄别作用:与抵押品作用相当的保证金金额、信贷余额越大,企业违约的可能性越小;基于企业财务指标测算的先验违约概率越大、期限越长,企业违约的可能性越大。
Credit risk is the main risk in the operations of bank. Mortgage loan is critical in the situation of lacking the credit documents of company and individual. However, there are some obstacles, such as the bad effect of mortgage which led to high rate of bad debt and high financial risk. Thus, it is significant to analyze the credit risk for preventing and dealing with the credit risk.
Theoretically, the paper analyzes the hostage mechanism in the situation of information asymmetry, points out the signaling role from the aspects of contract theory and credit rationing theory, and studies on the default evaluation from the aspects of the default concept and probability of default concept. The analyses above prove the feasibility of using mortgage in the credit risk decision. Empirically, the paper illustrates the theory foundation of ordered multi-variable discrete choice model. Based on the logical consistency between bank acceptance and credit, financial, non-financial, and credit-supported indexes are selected to establish the statistic model of signaling the credit risk.
Conclusions are as follows: Firstly, mortgage plays the signaling role in credit risk decision, which can reduce the adverse selection and moral hazard. The rational set of mortgage in the credit contract can distinguish the high risk and low risk companies effectively, at the same time, mortgage loan contract can inspire the entrepreneurs to work hard to the high limit. Secondly, there is a good result of the statistic model empirically, especially in the field of judging good company, which proves the mortgage’s signaling effect in the credit rating. The more mortgage and the more sum of credit, the less probability of default; the more priori probability of default based on the financial indexes and the longer term, the more probability of default.
理论上,本文分析了在信息不对称情况下抵押机制的作用,从契约理论和信贷配给理论的角度指出抵押品具有的甄别和激励功能,并从违约与违约概率的概念出发,总结前人在违约概率测度方法和变量选择方面的研究,由此说明运用Ordered Probit模型和引入财务、非财务变量的可行性。实证中,本文首先说明排序多元离散选择模型应用于此研究的理论基础及其适应性。鉴于银行承兑汇票业务与信贷业务在逻辑上的一致性,本文选取了申请银行承兑汇票企业的财务、非财务、信用支持指标,建立识别信用风险的统计分析模型。
本文的主要结论是:第一,理论上,抵押在商业银行信用风险的决策过程中具有信号甄别作用。在银企交易过程中,抵押作为信用缓释技术的引入,可以有效降低“逆向选择”和“道德风险”。信贷合约中对抵押的理性设置可以有效分离高风险企业和低风险企业;同时,抵押贷款契约能够最大程度地激励了企业家的勤勉。第二,实证中,风险识别模型取得良好效果,特别是在判定优良企业方面。结果证明了抵押在企业信用评级中的信号甄别作用:与抵押品作用相当的保证金金额、信贷余额越大,企业违约的可能性越小;基于企业财务指标测算的先验违约概率越大、期限越长,企业违约的可能性越大。
Credit risk is the main risk in the operations of bank. Mortgage loan is critical in the situation of lacking the credit documents of company and individual. However, there are some obstacles, such as the bad effect of mortgage which led to high rate of bad debt and high financial risk. Thus, it is significant to analyze the credit risk for preventing and dealing with the credit risk.
Theoretically, the paper analyzes the hostage mechanism in the situation of information asymmetry, points out the signaling role from the aspects of contract theory and credit rationing theory, and studies on the default evaluation from the aspects of the default concept and probability of default concept. The analyses above prove the feasibility of using mortgage in the credit risk decision. Empirically, the paper illustrates the theory foundation of ordered multi-variable discrete choice model. Based on the logical consistency between bank acceptance and credit, financial, non-financial, and credit-supported indexes are selected to establish the statistic model of signaling the credit risk.
Conclusions are as follows: Firstly, mortgage plays the signaling role in credit risk decision, which can reduce the adverse selection and moral hazard. The rational set of mortgage in the credit contract can distinguish the high risk and low risk companies effectively, at the same time, mortgage loan contract can inspire the entrepreneurs to work hard to the high limit. Secondly, there is a good result of the statistic model empirically, especially in the field of judging good company, which proves the mortgage’s signaling effect in the credit rating. The more mortgage and the more sum of credit, the less probability of default; the more priori probability of default based on the financial indexes and the longer term, the more probability of default.
引文
[1]陈永峰,我国银行抵押贷款机制在信用风险管理中的运用:[硕士学位论文],武汉;武汉大学,2004
[2]陈建华,唐立波,浅析我国银行内部评级体系的建立,金融研究,2002,(9): 88-95
[3]迟国泰,信贷风险管理决策理论与模型的研究:[博士学位论文],大连;大连理工大学,2004
[4]董小洪,王浣尘,金武,信息不对称信贷市场中抵押品的信号作用分析,电子科技大学学报,1997,26:1026-1029
[5]郭敏华,企业分析与评价,1994,引用S & P's Global Sector Review
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[2]陈建华,唐立波,浅析我国银行内部评级体系的建立,金融研究,2002,(9): 88-95
[3]迟国泰,信贷风险管理决策理论与模型的研究:[博士学位论文],大连;大连理工大学,2004
[4]董小洪,王浣尘,金武,信息不对称信贷市场中抵押品的信号作用分析,电子科技大学学报,1997,26:1026-1029
[5]郭敏华,企业分析与评价,1994,引用S & P's Global Sector Review
[6]管七海,冯宗宪,信用违约概率测度研究:文献综述与比较,世界经济,2004,(11):40-53
[7]金俐,信贷配给:微观基础与货币政策含义研究:[博士学位论文],上海;复旦大学,2004
[8]黎荣舟,庞素琳,徐建闽等,不对称信息条件下抵押品的信号作用分析,系统工程理论与实践,2003,(2):35-39
[9]刘元庆,刘光平,基于价值分析的银行抵押贷款风险及防范对策研究,江淮论坛,2006,(1):15-20
[10]刘澄,祁卫士,曾琳,国有商业银行处置不良资产的方案选择,中国金融,2004,(12):50-51
[11]罗润年,王琼,方萃,谈信贷集中审批的负作用,武汉金融,2002,(6):49-50
[12]梁琪,黄鹂皎,我国商业银行信贷风险管理体系构建探索,南开经济研究,2002,(6):61-65
[13]李银珠,风险管理的基础:构建商业银行内部风险评级体系,武汉金融,2004,(6):27-29
[14]莫万贵,信息不对称与商业银行信贷风险研究,投资研究,2002,(9):2-6
[15]庞素琳,黎荣舟,刘永清等,基于信息不对称的银行信贷风险决策机制及分析(Ⅰ)——信贷风险决策模型,系统工程理论与实践,2001,(4):80-83
[16]庞素琳,刘永清,徐建闽等,基于信息不对称的银行信贷风险决策机制及分析(Ⅱ)——信贷风险决策机制,系统工程理论与实践,2001,(5):82-87
[17]庞素琳,姚洪珠,黎荣舟,不完全信息下的信贷风险决策模型,暨南大学学报(自然科学版),2001,22(5):22-27
[18]庞素琳,黎荣舟,柏元淮,信贷风险决策问题的一种相互逼近算法,数学的实践与认识,2004,34(6):64-69
[19]彭惠,从国际经验看我国国有商业银行改革与不良资产处置,中国金融,2004,(16):42-43
[20]石汉祥,论国有商业银行的信贷风险管理,武汉大学学报(社会科学版),2003,56(1):77-81
[21]田宏伟,张维,信用风险的动态测量方法,南开管理评论,2000,(1):36-41
[22]汤小青,我国金融风险形成的财政政策环境和制度因素,金融研究,2002,(11):1-10
[23]唐有瑜,财务危机预警模型及其在信贷风险管理中的应用,金融论坛,2002 (1):53-56
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