Font Size: a A A

Analysis Of Bank Credit Risk Management Game

Posted on:2005-06-14Degree:DoctorType:Dissertation
Country:ChinaCandidate:S X WangFull Text:PDF
GTID:1116360125467601Subject:Finance
Abstract/Summary:PDF Full Text Request
Under the background of increasing banking merger & Acquisition trend,increasing industry competition level from domestic and foreign sides, extensiveapplication of information technology, more respect on shareholder value, andchanging banking regulation structure, the origin of credit risk in bank have alsochanged a lot. So do the appearance and nature of credit risk in bank. It is quitenecessary to research the bank credit risk management under the new bankingenvironment. This paper includes one introduction and six chapters. Aiming at the deficiency of current risk management theories caused by the newbanking environment, this paper emphasizes the importance of comprehensiveconsidering the subjective incentive game analysis in developing bank credit riskmanagement. It analyzes the risk level of bank using the maximization of thesubjective incentive of the decision making entity and considers bank credit riskmanagement game analysis from three levels, which are divided according to thethree-level origins of bank credit risk. Then through the synthetical analysis of thebank credit risk management, it suggests how to develop an integrated riskmanagement mechanism. The first segment of the paper is introduction. It states the urgency andimportance of this research from both actual background and theoretical sense aspects.Then through the explanation of the main credit risk management literatures, it pointsout the direction and trend of the credit risk management theories. Also aiming at thedeficiency of current credit risk measurement models, it suggests the combination ofobjective measurement or pricing models and subjective incentive analysis in thecredit risk management. After the division of the three-level bank credit riskmanagement game analysis, it lists the main conclusions and innovation points. The second part of the paper first generalizes the meaning and principles of bankcredit risk management and analyzes the origin of bank credit risk according to thefinancial characteristics of bank. In the theoretical analysis frame, it uses CAPMmodel and Option Pricing model to analyze how banks choose their optional risk level,and how the optional risk level would be affected by the franchise value or sunk costs.At last it points out the quantitative, qualitative and subjective incentive combinationdirection of bank credit risk management, after summarizing the evolution of bank vicredit risk management analysis mechanism. The third part analyzes bank credit risk management from industry competitionaspect. Taking the principal-agent relationship of creditor and shareholder as startpoint, it explores the bank risk level changes caused by competition from both singleand multi periods. And it finds the excessively high competition pressure would causebank to choose higher risk level than optional, so do the pursuit of market share andpressure from shareholder. If the bank risk monitoring cost exists, the efforts investedin risk monitoring would decrease. In the fourth part, it analyzes bank credit risk management from the principal-agent gamepoint of shareholders and managers. It analyzes effects on the risk level and invested riskmanagement efforts brought by economy cycle, competition level, bank assets quality and otherfactors under single and multi periods. And the conclusion is that the compensation should havepositive relationship with working efforts, risk management efforts, profit level and have negativerelationship with bank risk level, when designing the monitoring and compensation contract ofmanagers. The fifth part is the fourth chapter of the paper. In this segment, it analyzes the bank creditrisk management from bank regulation game analysis. Starting from the description andevaluation of current international financial risk supervision structures, it analyzes the relationshipbetween capital adequacy requirement and bank risk level under t...
Keywords/Search Tags:Credit Risk Management, Competition, Banking Regulation, PrincipalAgent, Franchise Value
PDF Full Text Request
Related items