存货质押贷款中银行对借款人的甄别—分离均衡  

Bank's Screening-Separating Equilibrium in Inventory Pledge Loan on Borrower

作　　者：于萍[1] 封红雨[2] 

机构地区：[1]山东科技大学财经系,山东济南250031 [2]海信集团管理研究中心,山东青岛266071

出　　处：《华东经济管理》2010年第4期80-83,共4页East China Economic Management

基　　金：国家自然科学基金资助项目(70871097)

摘　　要：抵押贷款仅考虑借款人信用风险,存货质押贷款还应考虑质物价格风险。当银行对借款人事前违约概率具有不对称信息时,在Danny Ben-shahar抵押贷款模型基础上,综合考虑借款人信用风险和质物价格风险,证明存在高风险借款人选择(高利率、高贷款价值比)合同,低风险借款人选择(低利率、低贷款价值比合同)的唯一分离均衡。Researches on mortgage loan only taking account of borrower＇s credit risk, whereas inventory pledge loan should contain price risk of collateral. The mortgage loan model of Danny Ben-shahar is extended to containing both borrower＇s credit risk and price risk of collateral. With asymmetric information on borrower＇s ex ante default possibility, Creditor can screen on borrowers with interest rate and LTV ratio mechanism. We conclusion that a self-selection process is attained, where higher default risk type borrowers choose a inventory pledge loan contract with higher interest rate and higher LTV, whereas lower default risk type borrowers choose lower interest rate and lower LTV.

关 键 词：存货质押贷款 甄别 抵押物 不对称信息 

分 类 号：F275[经济管理—企业管理]