基于声誉羊群行为的商业银行信用风险模型  

A Model of Commercial Banks Credit Risk Based on Reputational Herding Behavior

作　　者：邹新月[1] 李思慧[2] 

机构地区：[1]广东商学院金融学院,广东广州510320 [2]湖南科技大学商学院,湖南湘潭411201

出　　处：《广东商学院学报》2009年第6期64-71,83,共9页Journal of Guangdong University of Business Studies

基　　金：国家自然科学基金项目(70573032);国家社会科学基金项目(06BJL017);湖南省自然科学基金项目(09JJ3131)

摘　　要：通过建立商业银行声誉羊群行为信用风险模型,应用贝叶斯法则推导出均衡结论:在一定条件下,基于声誉问题的考虑,商业银行经理人总是忽略私有信息,跟从他人做出相同的信贷决策。经理人信息获取能力、初始声誉及信贷市场群体信息强烈地影响着"头羊"A跟从私有信息行动的概率。经理人信息获取能力、初始声誉、群体信息与"头羊"A的行动一起同时强烈影响着"追随者"B羊群行为发生的概率。This paper sets up a credit risk model of reputational herding behavior in commercial banks and followed by the Bayes rule, some equilibrium conclusions are deduced. Under certain circumstances, when con- cerning their reputations, managers of commercial banks often mimic tile investment of others, ignoring private information. If a manager has high ability for obtaining information, initial reputation and strong public informa- tion that is consistent with his private information, the leader herd A would be likely to follow the private information. Manager＇s ability, initial reputation and strong public information as well as the leader herd A＇s action will strongly influence the follower B in his herding behavior.

关 键 词：商业银行 声誉羊群行为 贝叶斯法则 群体信息 信息关联度 

分 类 号：F832.2[经济管理—金融学] F224