含违约风险参量的信贷决策模型  

Credit decision model including default risk parameter

作　　者：庞素琳[1] 王燕鸣[2] 

机构地区：[1]暨南大学管理学院会计系及金融工程研究所,广州510632 [2]中山大学岭南学院金融系,广州510275

出　　处：《系统工程理论与实践》2008年第8期81-88,117,共9页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(60574069);广州市科技攻关项目(2007Z3-D0171);顺德信用社与暨南大学产学研项目(2007-2008)

摘　　要：违约风险是导致银行信贷风险的主要原因,本文中违约风险用违约概率来量化和描述.首先探讨了违约概率的存在对银行期望收益的影响.然后通过把一个普通的含有贷款利率、抵押品和配给量的信贷决策合同γ=(r,C,q)进一步描述为一个含有违约概率s的信贷决策合同γ=(s(r),C,q),并在此基础上建立了含有违约风险参量的信贷决策模型,给出了相应的信贷决策机制和无配给贷款条件下的信贷决策机制,探讨了相应条件下银行拒绝企业贷款申请的条件.Default risk is an important reason led to credit risk for a bank. In this paper, the size of default risk can be quantized and described by the size of the default probability. At first, we discuss the existence of the default probabihty influence on the expected return of the bank. And then we further describe an ordinary credit decisionmaking contract 7 = （ r, C, q ） only considering interest rate, collateral and credit rationing as a credit decisionmaking contract 7 = （ s （r）, C, q ） considering the default probabihty s. Along the idea, we establish a credit decision model including default risk parameter and give both the corresponding credit decision mechanism and a credit decision mechanism tinder a non-rationing loan respectively. We also discuss the condition of the loan rejected by the bank under the corresponding condition.

关 键 词：违约风险 违约概率 信贷决策模型与机制 无配给贷款 个体合理性 

分 类 号：F830[经济管理—金融学]