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论文编号：	3403
作者编号：	1120070745
上传时间：	2011/6/10 12:52:42
中文题目：	银行信贷与中介治理研究-以资产管理公司为例
英文题目：	Bank Credit and Financial Intermediary Governance-An Example of Asset Management Companies
指导老师：	李维安 童道驰
中文关键字：	金融中介 银行信贷 三方契约 资产管理公司
英文关键字：	Asset Management Corporation Bank Credit Three-part Contract Financial Intermediation
中文摘要：	在我国目前银行信贷融资的基本模式中，资产管理公司是一个影子当事人，如果信贷契约能够正常履行，贷款结束之后银行与企业获得各自期望收益，资产管理公司在信贷融资中将不会发挥作用；但是一旦贷款企业无法正常偿还贷款，导致不良信贷资产出现，此时资产管理公司折价从银行手中收购不良债权并进行管理与处置，实际上只起到一个事后监督的作用。虽然这种信贷模式在一定程度上降低了银行的信用风险，但是无法从根本上解决银行的信贷配给问题，使得一些具有很好投资项目，但是初始资金不足的企业无法获得银行信贷融资。 正因为如此，我国资产管理公司在商业银行的信贷业务中起到的监督作用相当有限。如果将资产管理公司变为信贷契约的参与者，发挥其中介治理的作用，即在银行信贷中的监督节点前移，从事后监督转变为事中监督甚至为事前监督。将有助于转移银行的信用风险，减少信贷不良资产的出现，并在一定程度上解决仅仅因为初始资金不足无法获得银行信贷支持的难题。同时，当前我国资产管理公司政策性不良资产处置任务即将完成，业务转型迫在眉睫，银行信贷中的配给问题为资产管理公司业务的重新定位提供了良好的契机。 如果资产管理公司能够在银行贷款前期介入，协同银行对于企业进行贷前尽职调查以及贷后监督管理，会进一步降低企业的道德风险与经营者渎职的可能性。在资产管理公司进入银行信贷前期监督的运行模式下，如果企业贷款运行良好，资产管理公司收取一定的中介费用；一旦企业贷款转化为不良资产，资产管理公司通过银行收购企业的不良资产，利用其在不良资产管理与处置领域的专业性，对企业不良资产进行债务追偿、资产租赁或者其他形式转让、重组。银行信贷中资产管理公司作为第三方中介，其治理作用的发挥，对于降低银行的信贷风险以及企业的道德风险与信贷约束具有一定的理论与现实意义。 基于上述设想，本文运用博弈论与信息经济学的研究方法，针对于资产管理公司介入信贷契约后的三方当事人行为，建立银行-金融中介-企业的三方契约融资模型，分析金融中介的第三方监督对于企业信贷约束和道德风险以及银行信贷风险的影响。发现企业的初始资金以及经营者是否尽职决定了企业的融资能力。在项目投资固定不变的情况下，只有初始资金充足的企业可以直接得到银行的融资，初始资金不够充足的企业，可以通过银行-金融中介-企业的三方契约来获得融资，但是企业在融资过程中需要接受金融中介的监督。在三方契约中，补偿金融中介监督成本的均衡利率受到累计企业自有资金数量与累计银行信贷资金数量的影响。具有充足初始资金的企业会更容易获得融资，并且能够获得更加廉价的融资成本以及更少的第三方监督；杠杆率较高的企业需要存在第三方监督的情况下获得融资；当金融中介的监督水平一定时，初始资金贫乏的企业首先被挤出。 上述基础模型基于静态假设构建，但是现实经济运行中企业会面临动态的经营环境，例如企业投资多样化的选择和企业可能面临的流动性冲击，这种银行信贷模式是否可行需要进行进一步理论验证。因此在三方融资契约模型的基础上，本文对企业面临多样化投资选择与企业面临流动性冲击的影响进行了拓展分析，发现企业多样化投资的选择能够进一步降低企业的代理成本以及资产管理公司对于企业清算价值的要求，间接地降低了企业在三方契约中的融资门槛。当企业面临流动性冲击时，企业的道德风险问题将会增加，如果流动性冲击可验证时，企业的索取权与流动性冲击的可能性之间存在负相关性，企业获得三方契约融资的关键取决于企业在流动性冲击时能够获得的预期收益；如果流动性冲击不可验证时，企业的道德风险将会进一步增加，企业获得三方契约融资的条件取决于企业面临流动性冲击时，企业采取退出策略时可以获得的收益。 当然，金融中介作为信贷契约的监督者也并非完美，金融中介在三方融资契约中作为企业信贷融资的第三方监督者，缓解了享有企业所有外部索取权的监督者过度监督问题。但是金融中介的监督是有成本的，可能导致金融中介的偏好出现漂移，利用自身的信息优势与企业之间达成共谋，套取银行信贷资金，从而损害银行的利益。因此在三方融资契约的设计中，要考虑金融中介监督成本的补偿，来弱化金融中介与企业共谋的激励。同时，当存在监督竞争的情况下，在位金融中介将获得一定的在位租金，而后进入金融中介将会在博弈中蒙受损失，出现“赢者诅咒”的现象，使得后进入金融中介与在位金融中介的竞争中处于劣势，在位金融中介将会利用这种垄断力量对企业敲竹杠。这些都需要在未来的实践当中，通过完善相应的机制设计加以解决。
英文摘要：	Asset management company (AMC) is shadow party in current mode of bank credit in our country. Banks and enterprises obtain the expected returns if credit contract be fulfilled, and AMC will not take part in it. However, AMC will purchase non-performing loan (NPL) discounted from banks, managing and disposing these non-performing asset (NPA) if enterprises fail to repayment. In fact, AMC plays a role as post-supervisor in credit contract. Although the credit risk of bank is reduced to some extent in this mode, it can not fundamentally solve the problem of bank credit rationing, and can lead to the problem that some enterprises with profitable investments but lacking initial funds can not obtain bank credit. Therefore, AMC plays a quite limited role as a supervisor in commercial bank credit business in our country. If the AMC becomes participant of the credit contract and play governance role as the third party intermediation, or even become a manse-supervision prior supervision, the credit risk of bank will be transferred, NPL will be reduced, and the problem that fund-shortage enterprises can not get bank credit will be of solved in some extent. Meanwhile, the mission of AMC deposing policy NPA will be completed, business transformation is in urgent, and it is a good opportunity for AMC in business reposition. If AMC can participate in bank credit in earlier periods and cooperate with banks to take due diligence before loan and take supervision after loan, the possibility of moral hazard of enterprises and manager malfeasance will be decreased. While in this operation model, AMC could take the intermediary fee with the condition that the enterprise works well, otherwise, once loans converse into NPL, AMC buys NPA from bank, and AMC will recover NPA through leasing , restrict and other methods by using its profession on managing and disposing NPA. The third-party supervision of AMC is significant for moral hazard of enterprises and credit constraints in both theory and practice. Based on the assumption above, this dissertation applies game theory and information economics approach to build a model of the third-part contract and aim at address the moral hazard problem in bank credit, and to analyze the effects of financial intermediation on credit constraints, moral hazard and the credit risk of bank. In our model, the financial ability of enterprisers depends on their initial fund and managers’ due diligence. Based on a fixed project investment, the enterprisers with enough funds can finance their investment directly from banks and without any monitoring, enterprisers with poor funds can not invest at all, and other enterprisers can invest only with monitoring by financial intermediation. In this three-part contract, both the accumulative own funds and the accumulative bank credit fund could influence the balance interest, which compensate the supervision cost of financial intermediation. Enterprises with enough funds could get the finance much easier with less financing cost and the third party supervision. Otherwise, the enterprise with high leverage will get its finance with the third party supervision. The enterprise that lacks of initial fund will be washed out when the supervision of financial intermediation reaches a certain level. The basic model is built based on static assumptions, however, enterprises always face a dynamic environment in real economic condition, such as the choice of diversified investment and liquidity shock, so it need further verification on the feasibility of this model. Therefore, we analyze diverse investment and liquidity shock based on the third-party fundamental model. The enterprises’ agency cost and liquidation value requested by financial intermediation will be reduced when enterprise take diversified investment options. When enterprise face liquidity shocks, moral hazard of enterprise will be increased. If liquidity shocks are verifiable, the possibility of liquidity shocks will negatively correlate with claim of enterprise, expected benefit in liquidity shocks take a very important role in third-party contract. If liquidity shocks are unverifiable, the moral hazard of enterprise will be increased, the enterprises’ expected benefits of exit strategy will play an important role in three-part contract. Of course, it is not perfect for financial intermediation to play as a supervisor in the credit contract. When financial intermediation is third-party supervisor, over-monitoring problem will be decreased in three-part contract. But supervision is costly, and financial intermediation’s preference may drift, then financial intermediation will collude with enterprise to cheat bank credit and injure the bank in three-part contract, because financial intermediation has information superiority as the third party supervisor. Therefore, compensation for the cost of financial intermediation’s monitoring should be considered in design of the three-part contract in order to deter collusion between financial intermediation and enterprise. In monitoring competition, there is information asymmetry about enterprise between reigning financial intermediation and potential entrant, and the former will obtain a certain rent, the latter will suffer loss in the game, this is a “winner’s curse”. The latter will be disadvantage in competition and the former will get monopoly power, there will appear hold-up problem and enterprise will not be profit in three-part contract. This requires any improvement in mechanism design in the future.
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