基于多项任务多阶段委托-代理模型的银行信贷风险管理研究
发布时间：2019-04-16 18:39
【摘要】：从商业银行和信贷员之间的委托-代理关系的角度分析了商业银行的信贷风险管理问题.研究了商业银行和信贷员之间委托-代理关系的特殊性,建立了多项任务多阶段委托-代理模型.结果表明,多项任务多阶段委托-代理模型能够激励信贷员花在收集"显式"信息和"隐式"信息上的努力都大于零,信贷员2阶段的产出明显大于只有1阶段时的产出,从而降低由于信息不对称而产生的信贷员的道德风险,有效减小银行的信贷风险.模型解决了商业银行对信贷员的激励约束问题,既防范了信贷员的道德风险,又有效降低了商业银行的信贷风险.
[Abstract]:This paper analyzes the credit risk management of commercial banks from the perspective of principal-agent relationship between commercial banks and credit officers. This paper studies the particularity of principal-agent relationship between commercial banks and credit officers, and establishes a multi-task multi-stage principal-agent model. The results show that the multi-task multi-stage principal-agent model can motivate credit officers to spend more than zero on the collection of "explicit" information and "implicit" information, and the output of the second stage of the credit officer is significantly larger than that of only one stage. Thus, the moral hazard of credit officers caused by asymmetric information is reduced, and the credit risk of banks is effectively reduced. The model solves the problem of incentive and restriction of credit officers in commercial banks, which not only prevents the moral hazard of credit officers, but also effectively reduces the credit risks of commercial banks.
【作者单位】： 上海理工大学管理学院;
【基金】：上海市一流学科建设资助项目(S1201YLXK) 沪江基金资助项目(A14006)
【分类号】：F830.5
本文编号：2459000
[Abstract]:This paper analyzes the credit risk management of commercial banks from the perspective of principal-agent relationship between commercial banks and credit officers. This paper studies the particularity of principal-agent relationship between commercial banks and credit officers, and establishes a multi-task multi-stage principal-agent model. The results show that the multi-task multi-stage principal-agent model can motivate credit officers to spend more than zero on the collection of "explicit" information and "implicit" information, and the output of the second stage of the credit officer is significantly larger than that of only one stage. Thus, the moral hazard of credit officers caused by asymmetric information is reduced, and the credit risk of banks is effectively reduced. The model solves the problem of incentive and restriction of credit officers in commercial banks, which not only prevents the moral hazard of credit officers, but also effectively reduces the credit risks of commercial banks.
【作者单位】： 上海理工大学管理学院;
【基金】：上海市一流学科建设资助项目(S1201YLXK) 沪江基金资助项目(A14006)
【分类号】：F830.5
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