基于博弈论的我国商业银行信贷行为及信贷策略研究

发布时间：2018-01-28 03:16

本文关键词： 商业银行信息不对称信贷行为博弈模型　出处：《东北大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着社会经济的不断发展,我国商业银行的业务也在不断的扩大,随之而来的信贷风险凸显了商业银行在管理上、体制上等多方面的不足。信贷风险的不断扩大使商业银行在金融领域的投融资捉襟见肘,使商业银行的业务发展陷入瓶颈。因此,近年来研究如何防范信贷风险,如何管理不良资产和规范信贷业务成为商业银行和各地政府所关注的首要问题。本文从商业银行信贷风险发生的源头即信贷行为的角度进行阐述,将其分成两参与者信贷行为模型和三参与者信贷行为模型,运用博弈论的方法深入剖析商业银行信贷的行为策略。在两参与者的商业银行信贷行为博弈模型中,可将信贷市场上的企业分为“优秀企业”和“不良企业”,而商业银行作为信息的劣势方,需要通过博弈的模型所计算出的概率来选择是否贷款给企业。通过采取海萨尼转换将不完全信息的静态博弈转化为完全信息动态博弈来进行商业银行与企业双方的行为策略探讨,最后得出在既定概率下商业银行的不同策略选择。三参与者的商业银行信贷行为博弈模型中,在商业银行与企业之间关于是否偿贷和追贷的博弈模型中加入政府监督这一参与者,对整个信贷过程中起着调节和平衡的作用。通过在三参与者的动态信贷博弈模型中运用逆向归纳法分析商业银行、企业和政府的运行动态,并讨论在给定条件下通过模型计算其收益并最终做出策略选择的行为。最后,通过对两种模型的构建与分析得出相关实施策略。博弈模型的研究给商业银行在信贷市场中一定的理论基础去引导它们做出最优的策略选择,最大限度的规避信贷风险,最终达到整个信贷市场稳定运行的目的。
[Abstract]:With the continuous development of social economy, our country's commercial banking business is constantly expanding, the credit risk of commercial banks highlights in the management, system and other aspects of insufficient. Expanding the credit risk of commercial banks in the financial investment and financing in the field of shoestring, make the business development of commercial banks in bottleneck. Therefore, in recent years, the study of how to prevent the credit risk, how to manage bad assets and standardize the credit business has become the most important problem of commercial banks and local governments have paid close attention to. The article elaborates the source of credit risk of commercial bank credit behavior angle, it is divided into two participants and three participants in the credit model credit behavior behavior model and in-depth analysis of commercial bank credit behavior strategy using game theory. In the commercial bank credit behavior game model of two participants in the letter The credit of enterprises on the market is divided into "excellent enterprise" and "bad business", but the commercial bank as an information disadvantage, need through the game model of the probability calculated to choose whether or not to grant loans to enterprises. By taking the Harsanyi transformation will be the static game of incomplete information into a complete information dynamic game to conduct business the behavior of both the bank and the enterprise strategy, finally choose different strategies for commercial banks in a given probability. The commercial bank credit behavior game model of three participants, between commercial banks and enterprises to join the game model about whether to repay the loan after loan and supervision in the participants, plays a role of regulating and balancing the entire credit process. Through analyzing the commercial bank using the dynamic game model of credit in three participants in the operation of enterprises and the government, and to please In given conditions through the model to calculate the income and eventually make the strategy choice behavior. Finally, through the construction and analysis of the related implementation strategies of the two models. The game model of commercial banks to choose to go to a certain theoretical basis in the credit market to guide them to make optimal strategy, the maximum to avoid the credit risk finally, achieve the purpose of stable operation of the credit market.

【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4

【参考文献】