本文選題：聯(lián)保貸 + 策略違約　； 參考：《安徽大學(xué)》2013年碩士論文

【摘要】：中小企業(yè)聯(lián)保貸融資模式緩解了銀企信息不對稱的困境,將銀企之間的不完全信息動態(tài)博弈轉(zhuǎn)化為聯(lián)保小組與銀行、聯(lián)保小組成員之間的還款博弈,多層次的連帶責(zé)任分擔(dān)體系則有效地轉(zhuǎn)嫁了商業(yè)銀行的信用風(fēng)險。通過對相關(guān)文獻(xiàn)的解讀,我們會發(fā)現(xiàn)目前對于聯(lián)保貸的分析視角更多地是集中在聯(lián)保小組成員企業(yè)之間的還款博弈分析,雖有深究但涉及面卻難免局限。本文是在已有研究的基礎(chǔ)上梳理商業(yè)銀行聯(lián)保貸業(yè)務(wù)的流程風(fēng)險,并基于業(yè)務(wù)實踐的風(fēng)險頻發(fā)狀況,將該流程細(xì)分為準(zhǔn)入前與準(zhǔn)入后兩個維度,據(jù)此采取針對性的風(fēng)險防范對策。 對于準(zhǔn)入前的風(fēng)險防控主要是從以下幾個方面來實現(xiàn)：(1)社會資本作為一種“軟約束”,通常可以視為借款企業(yè)短視行為的“機(jī)會成本”,而其作用的發(fā)揮則主要依賴于社會關(guān)系網(wǎng)絡(luò)的覆蓋狀況以及成員間的依存強(qiáng)度,因而商業(yè)銀行若想實現(xiàn)連帶責(zé)任效用的充分發(fā)揮,則在聯(lián)保體準(zhǔn)入篩選時應(yīng)該嚴(yán)格把關(guān),避免風(fēng)險因素的前期累積。(2)中小企業(yè)聯(lián)保貸作為解決中小企業(yè)融資難的金融創(chuàng)新工具,雖然具有自我篩選和改善商業(yè)銀行信息獲取能力的機(jī)制優(yōu)越性,但該種貸款面向的客戶群體主要是來自同一行業(yè)或某一產(chǎn)業(yè)鏈的關(guān)聯(lián)企業(yè),成員企業(yè)的過高依存度會導(dǎo)致商業(yè)銀行的信貸投向過于集中,一旦發(fā)生償債困難,極易誘發(fā)具有“羊群效應(yīng)”特征的系統(tǒng)性風(fēng)險。但組合風(fēng)險管理理念為我們提供了一個可行方案,一方面是為主動分散成員構(gòu)成的聯(lián)保小組提供外部激勵,另一方面則是要求商業(yè)銀行從機(jī)構(gòu)層面量化某個集群產(chǎn)業(yè)聯(lián)保體的增量授信對機(jī)構(gòu)存量累計風(fēng)險的邊際貢獻(xiàn)來決定其準(zhǔn)入資格。(3)信用風(fēng)險緩釋工具是商業(yè)銀行抵補(bǔ)風(fēng)險敞口的最直接手段,為了盡可能地降低風(fēng)險暴露,商業(yè)銀行可以從提高聯(lián)保體的保證金額度、要求擔(dān)保公司介入或者直接由聯(lián)保小組提供反擔(dān)保來實現(xiàn)風(fēng)險的有效控制。(4)聯(lián)保貸體制內(nèi)生的規(guī)模效應(yīng)讓我們可以通過適當(dāng)?shù)卦黾映蓡T人數(shù)來實現(xiàn)較高的貸款回收率,但是規(guī)模的擴(kuò)張必須是有限約束下的條件最優(yōu)。格萊珉銀行在聯(lián)保小組的規(guī)模設(shè)定方面要求組員人數(shù)為5人,因而聯(lián)保小組成員人數(shù)的界定必須與商業(yè)銀行的經(jīng)營戰(zhàn)略掛鉤,不能盲目擴(kuò)張。上述準(zhǔn)入標(biāo)準(zhǔn)是商業(yè)銀行防范授信風(fēng)險的必備參考,因而具有重要的理論借鑒意義。 對于準(zhǔn)入后的風(fēng)險控制主要從下面幾條途徑來實現(xiàn)：(1)擅自改變貸款用途投資高危行業(yè)是商業(yè)銀行貸中風(fēng)險的高發(fā)典型,聯(lián)保貸款也不例外,因此商業(yè)銀行應(yīng)當(dāng)注重貸中資金的監(jiān)管,并通過完善支付方式來實現(xiàn)；(2)商業(yè)銀行的信用風(fēng)險不僅包括交易對手直接違約的風(fēng)險,同時也包括其信用等級的惡化給商業(yè)銀行帶來潛在損失的風(fēng)險,這就要求我們不僅要對到期后的貸款采取必要的保全措施,還應(yīng)當(dāng)動態(tài)監(jiān)控信用風(fēng)險的時點變動以采取針對性的緩釋措施來避免損失面積的進(jìn)一步擴(kuò)大,而Credit Metrics模型則為我們提高信用風(fēng)險計量的精確性提供了可能,商業(yè)銀行應(yīng)當(dāng)完善自身的信用評級體系,并應(yīng)注重數(shù)據(jù)挖掘和模型開發(fā)；(3)策略違約通常是當(dāng)某個成員被動違約而引起其他成員基于自身支付函數(shù)權(quán)衡比較的占優(yōu)策略,也是聯(lián)保貸體制過于僵化的不利結(jié)果。商業(yè)銀行此時應(yīng)當(dāng)通過合約調(diào)整或者連帶收益的外部激勵來改善借款人的還款意愿,以實現(xiàn)銀企之間的“雙贏”格局。(4)信息流和聲譽效應(yīng)導(dǎo)致的從眾行為是我國證券市場和信貸市場都普遍存在的一種現(xiàn)象,該行為的出現(xiàn)不僅會導(dǎo)致風(fēng)險的過度集聚,而且還會扭曲價格信號,降低金融資源的配置效率。對于聯(lián)保貸而言,商業(yè)銀行的多頭授信導(dǎo)致信貸資源投向過于集中,從而加大了單個銀行增量授信的風(fēng)險系數(shù)。安全性、收益性和流動性作為商業(yè)銀行經(jīng)營的基本原則,一旦聯(lián)保小組出現(xiàn)經(jīng)營危機(jī)而引發(fā)商業(yè)銀行的集體抽貸行為時,商業(yè)銀行的信貸資產(chǎn)安全性和流動性都將會受到極大影響,為了有效地抑制商業(yè)銀行的集體非理性行為,本文通過運用貝葉斯后驗法則來說明該種做法的非理智性,并提出加強(qiáng)同業(yè)間的信息交互機(jī)制以及必要的還款救助機(jī)制是商業(yè)銀行應(yīng)對該風(fēng)險的占優(yōu)選擇。最后就本文的研究結(jié)論和不足之處進(jìn)行了總結(jié),并就聯(lián)保貸的未來研究方向進(jìn)行了展望,希望通過聯(lián)保貸內(nèi)在機(jī)制的靈活設(shè)計使其在解決中小企業(yè)融資難問題上發(fā)揮最大的功效。
[Abstract]:The SME loan financing model alleviates the dilemma of information asymmetry between banks and enterprises, transforms the dynamic game of incomplete information between banks and enterprises into the joint insurance group and the bank, the repayment game between the members of the joint insurance group, and the multi-level joint responsibility sharing system has effectively passed on the credit risk of the commercial bank. We will find that the analysis angle of the current insurance loan is more focused on the analysis of the repayment game between the members of the joint insurance group. Although there is a deep study, it is difficult to avoid the limitation. This paper is based on the existing research and combs the process risk of the commercial bank's joint loan service, and is based on the frequent risk of business practice, The process is divided into two dimensions: before admission and after admission. Accordingly, targeted risk prevention measures are adopted.
The risk prevention and control before access is realized mainly from the following aspects: (1) as a "soft constraint", social capital can usually be regarded as the "opportunity cost" of the short sight behavior of the borrower, and its role is mainly dependent on the coverage of social network and the intensity of dependence among its members, so the commercial silver is so important. In order to realize the full play of joint liability utility, we should strictly control the entry and screening of the joint insurance body to avoid the early accumulation of risk factors. (2) as a financial innovation tool to solve the financing difficulties of small and medium sized enterprises, the medium and small enterprises' joint insurance loan is superior to the mechanism of self screening and improving the information acquisition ability of commercial banks. The customer group oriented by the kind of loan is mainly from the same industry or the associated enterprise of a certain industrial chain. The high dependence of the member enterprises will lead to the excessive concentration of the credit investment of the commercial banks. Once the debt paying difficulties occur, the systematic risk of "herd effect" is easily induced. But the concept of combined risk management provides us with the risk. One feasible scheme is to provide external incentives for the active decentralization group, and on the other hand, it requires commercial banks to quantify the marginal contribution of the incremental credit of a cluster industry group from the institutional level to the cumulative risk of the institutional stock. (3) the credit risk sustained-release tool is business. The most direct means to offset the risk exposure, in order to reduce the risk exposure as much as possible, the commercial banks can increase the margin of the bond, require the Guarantee Corporation to intervene or provide the counter guarantee directly by the co insurance group to achieve the effective control of the risk. (4) the internal scale effect of the joint insurance loan system allows us to pass the appropriate scale. To increase the number of members to achieve a higher rate of loan recovery, the expansion of the scale must be the optimal condition under limited constraints. The Grameen Bank requires a number of 5 members in the scale setting of the joint insurance group, so the definition of the membership of the joint insurance group must be linked to the business strategy of the commercial bank and can not be expanded blindly. The access standard is a necessary reference for commercial banks to guard against credit risks, so it has important theoretical reference significance.
The risk control after access is realized mainly from the following ways: (1) the high risk industry of the loan use investment is the high risk in the commercial bank, and the joint insurance loan is no exception. Therefore, the commercial bank should pay attention to the supervision of the funds in the loan and realize the payment by improving the way of payment; (2) the credit of the commercial bank Risk not only includes the risk of direct breach of a counterparty, but also the risk of potential loss to commercial banks, which requires that we not only take necessary measures to protect the loans after maturity, but also dynamically monitor the time point changes of credit risk in order to avoid the sustained release measures. The loss free area is further expanded, and the Credit Metrics model provides us with the possibility of improving the accuracy of credit risk measurement. Commercial banks should improve their credit rating system, and should pay attention to data mining and model development; (3) strategic breach of contract is usually based on the passive default of a certain member and other members based on themselves. The dominant strategy of the balance of payment functions is also an unfavorable result of the overly ossification of the loan system. The commercial banks should at this time improve the borrower's willingness to repay the borrower through the contract adjustment or the external incentives of the income, in order to realize the "win-win" pattern between the banks and the enterprises. (4) the herd behavior caused by the interest flow and the reputation effect is our country. There is a common phenomenon in both the securities market and the credit market, which not only leads to the excessive accumulation of risk, but also distorts the price signal and reduces the allocation efficiency of the financial resources. For the loan, the multi credit of commercial banks leads to the overconcentration of credit resources, thus increasing the increment of the individual bank. The risk factor of credit, security, profitability and liquidity are the basic principles of commercial banks' management. Once the joint insurance group has the operation crisis and the collective action of the commercial banks, the security and liquidity of the credit assets of the commercial banks will be greatly affected, in order to effectively restrain the collective non rationale of commercial banks. In this paper, we use the Bayesian method to illustrate the irrational nature of the practice, and put forward that the mechanism of information interaction and the necessary repayment mechanism are the dominant choice for commercial banks to deal with the risk. Finally, the conclusions and shortcomings of this paper are summarized and the future research of the joint insurance loan is made. In the end, we hope to make the most effective effect in solving the financing difficulties of SMEs through the flexible design of the internal mechanism of UNPROFOR loan.
【學(xué)位授予單位】：安徽大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.4;F276.3

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