规避道德风险的信贷风险决策合同模型分析

主要研究信贷市场中风险类型并合与风险类型非并合两种不同情形下道德风险的规避方法及信贷风险决策合同的设计.分析了贷前道德风险企业与贷后道德风险企业两种不同的拖欠还贷的特点,指出了在风险类型并合下,如果不采取激励相容机制,将使银行筛选有害银行利益的贷款合同.但如果银行对企业采取激励相容机制,则将有效抵御来自企业的道德风险.通过引入抵押率的概念来作为衡量道德风险的重要指标.研究结果表明,较大的抵押率使银行抵御道德风险的能力减弱,较小的抵押率使银行抵御道德风险的能力增强.通过模型证明了充足的抵押品能减少道德风险的产生,不充足的抵押品将有可能引发道德风险.

Analysis on the Credit Risk Decision Contract against Moral Risk

The paper mainly studies the method against moral risk under the two different cases of both risk type pooling and risk type non-pooling in the credit market. It analyses two different characteristics on the default about the moral risk applicants before contracting and after contracting. It shows that, under the appearing risk type pool, if the bank does not adopt incentive compatibility mechanism, it will select a contract harming himself. But if the bank adopts incentive compatibility mechanism, it can resist the moral risk. In additional, the paper still introduces collateral rate as an important index scaling the moral risk. The results show that, the collateral rate is larger, the ability of resisting the moral risk is weaker.Contrarily, the collateral rate is smaller, the ability of resisting the moral risk is stronger.By using the model,the paper also proves that enough collateral can reduce the moral risk and non-enough collateral will be likely to lead the moral risk.