中小企业与银行的信贷违约博弈模型研究

发布时间：2018-06-05 22:09

本文选题：中小企业 + 信贷违约　；参考：《华南理工大学》2013年硕士论文

【摘要】：中小企业信贷违约率高这一现象，在严重阻碍其自身可持续发展的同时，也为银行的信贷业务带来了巨大风险。在“资金脱媒”、“利率市场化”、“经济下行”等宏观经济背景下，研究如何有效规避中小企业的信贷违约风险和降低违约率对实现“政、银、企”三方互利共赢有着重要的现实意义。本文以中小企业信贷违约现象为研究对象，主要通过建立银企博弈模型来研究如何降低中小企业信贷违约率。本文的研究在模型中创新性的引入行贿成本这一变量，既符合我国特殊的国情，也优化了银企博弈的已有模型。除此之外，本文还将贷前的信号博弈与贷后的进化博弈联系起来，并从建立社会效益最大化的新型银企博弈模型的角度，探讨了其实现的临界条件，提出了政府与银行视角下降低中小企业信贷违约率的建议。在对中小企业信贷违约现象的研究过程中，我们通过贷后的进化博弈模型解析得出，当银行的监管比率大于贷款本息和与行贿成本的差额除以惩罚成本得到的商时，企业群体都会倾向于选择不违约这一稳定策略。当企业的违约比率小于银行的监管成本除以惩罚收益得到的商时，银行群体都会倾向于选择不监管这一稳定策略。通过建立企业不违约银行不监管这一社会效益最大化的新型银企关系模型，我们发现当低质量企业的行贿成本提高到大于贷款本息和与平均监管收益(银行监管比率与惩罚收益的乘积，通常是一个常数)的差额时，新型银企关系才能实现。对于如何提高行贿成本，本文又从企业信贷的次数、政府成本性与收益性政策、行业商誉与企业个体信誉等多个角度进行了探讨，为政策建议提供了一些思路。在通过对银企贷后博弈模型和新型银企关系博弈模型的研究之后，，本研究还为金融市场的相关政策完善提出了一些合理化建议。本研究不仅有助于降低银行授信业务风险、加快银行利润增长，还有利于促进中小企业的健康发展，并对提高政府对信贷市场的重视起到一定的作用。
[Abstract]:The high credit default rate of small and medium-sized enterprises not only seriously hinders their own sustainable development, but also brings huge risks to the credit business of banks. Under the macroeconomic background of "capital disintermediation", "interest rate marketization", "economic downturn" and so on, this paper studies how to effectively avoid the credit default risk of small and medium-sized enterprises and how to reduce the default rate to realize "government, silver," Enterprise "three-way mutual benefit and win-win has important practical significance." In this paper, the phenomenon of SMEs credit default as the research object, mainly through the establishment of a game model to study how to reduce the credit default rate of SMEs. In this paper, the variable of bribery cost is innovatively introduced into the model, which not only accords with the special situation of our country, but also optimizes the existing model of the game between banks and enterprises. In addition, this paper also connects the pre-loan signal game with the post-loan evolutionary game, and discusses the critical conditions for its realization from the point of view of establishing a new type of bank-enterprise game model that maximizes social benefits. This paper puts forward some suggestions to reduce the credit default rate of SMEs from the perspective of government and bank. In the course of studying the phenomenon of credit default of SMEs, we draw a conclusion by analyzing the evolutionary game model after loan that when the bank's supervision ratio is greater than the loan principal and interest and the difference between the loan cost and the bribe cost divided by the penalty cost. Corporate groups tend to opt for a stable strategy of not defaulting. When the default ratio of firms is less than the regulatory cost of banks divided by the reward of punishment, the banks tend to choose the stable strategy of not supervising. Through the establishment of a new model of the relationship between banks and enterprises without defaulting banks, which maximizes the social benefits of the banks, We find that the new relationship between banks and enterprises can only be achieved when the cost of bribery increases to greater than the loan principal and interest and the difference with the average regulatory return (the product of the bank regulation ratio and the penalty income is usually a constant). As to how to increase the cost of bribery, this paper probes into the times of enterprise credit, the policy of government cost and profitability, the goodwill of industry and the reputation of individual enterprise, and provides some ideas for the policy suggestion. After the study of the game model and the new game model of the relationship between banks and enterprises, this study also puts forward some reasonable suggestions for the improvement of the relevant policies of the financial market. This study not only helps to reduce the risk of bank credit business, accelerate the growth of bank profits, but also promote the healthy development of small and medium-sized enterprises, and play a certain role in enhancing the government's attention to the credit market.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4;F224.32

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