本文關(guān)鍵詞： 商業(yè)銀行 信息不對稱 信貸行為 博弈模型　出處：《東北大學》2014年碩士論文　論文類型：學位論文

【摘要】：隨著社會經(jīng)濟的不斷發(fā)展,我國商業(yè)銀行的業(yè)務(wù)也在不斷的擴大,隨之而來的信貸風險凸顯了商業(yè)銀行在管理上、體制上等多方面的不足。信貸風險的不斷擴大使商業(yè)銀行在金融領(lǐng)域的投融資捉襟見肘,使商業(yè)銀行的業(yè)務(wù)發(fā)展陷入瓶頸。因此,近年來研究如何防范信貸風險,如何管理不良資產(chǎn)和規(guī)范信貸業(yè)務(wù)成為商業(yè)銀行和各地政府所關(guān)注的首要問題。本文從商業(yè)銀行信貸風險發(fā)生的源頭即信貸行為的角度進行闡述,將其分成兩參與者信貸行為模型和三參與者信貸行為模型,運用博弈論的方法深入剖析商業(yè)銀行信貸的行為策略。在兩參與者的商業(yè)銀行信貸行為博弈模型中,可將信貸市場上的企業(yè)分為“優(yōu)秀企業(yè)”和“不良企業(yè)”,而商業(yè)銀行作為信息的劣勢方,需要通過博弈的模型所計算出的概率來選擇是否貸款給企業(yè)。通過采取海薩尼轉(zhuǎn)換將不完全信息的靜態(tài)博弈轉(zhuǎn)化為完全信息動態(tài)博弈來進行商業(yè)銀行與企業(yè)雙方的行為策略探討,最后得出在既定概率下商業(yè)銀行的不同策略選擇。三參與者的商業(yè)銀行信貸行為博弈模型中,在商業(yè)銀行與企業(yè)之間關(guān)于是否償貸和追貸的博弈模型中加入政府監(jiān)督這一參與者,對整個信貸過程中起著調(diào)節(jié)和平衡的作用。通過在三參與者的動態(tài)信貸博弈模型中運用逆向歸納法分析商業(yè)銀行、企業(yè)和政府的運行動態(tài),并討論在給定條件下通過模型計算其收益并最終做出策略選擇的行為。最后,通過對兩種模型的構(gòu)建與分析得出相關(guān)實施策略。博弈模型的研究給商業(yè)銀行在信貸市場中一定的理論基礎(chǔ)去引導它們做出最優(yōu)的策略選擇,最大限度的規(guī)避信貸風險,最終達到整個信貸市場穩(wěn)定運行的目的。
[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.

【學位授予單位】：東北大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.4

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本文編號：1469612