Research On Mutual-beneficial Credit Loan Model Based On Multiple Scenarioes

Credit risk is the risk of loss due to a debtor's non-payment of a loan, or the counterparty fails to fulfill contract obligations, or the change of credit quality undermines the value of finance products, all of these may cause a loss of the debtor and finance products holder. From a global perspective, since the 80s of the 20th century, the facts are that there are over 20 international financial crises and frequent enterprise bankruptcy, especially, the U.S. "Subprime Crisis" and the sovereignty debt crisis taken place in Greece made many countries suffer tremendous loss. All of the above warn that unsound credit system heavily shocks to the economic and social sustainable development. The complex evolution involved in the interaction relationship between economic development and credit system is often beyond our imagination, and thus the correlation effect of credit risk should not be ignored.As a rising great power, China and other countries have melted into the indivisible "body" in the economic area. Accordingly, the positive and negative effects of the credit system on their development will become increasingly prominent. Without denying, both the coordinate credit philosophy which emphasizes Abiding by Credit; Equality and Mutual Benefit; Mutual Support and Mutual Prosperity, and ctedit system with the mutual-beneficial development, have not yet been established. This makes the study of mutual-beneficial credit mechanism becomes one of the key factors to the stability of China's economic development.In this doctoral dissertation, we try to build a mutual-beneficial credit loan model considering multiple default risk factors based on multichannel financing mode, and analyze the strategy change of credit loan of every participant in the framework of multiple scenario analysis. Then, with the empirical analysis and simulation, we seek to provide some policy suggestions for the three players in a credit syatem, i.e. the firm, bank and non-banking investment institution. Main contents and conclusions are outlined as follows:â… . This dissertation takes complete contract mechanism as Scenario One. We tradeoff the risk and return of every participant in this scenario, build investment and financing game model for three players, and obtain the game equilibrium solution of the tripartite under the return and risk balance. This equilibrium is a single-period.Nash equilibrium in complete information game.By analyzing the related parameters, we find that the investment utility of the bank is positively correlated to the enterprise's shareholding ratio, and negatively correlated to enterprise's moral hazard and default probability. The enterprise's shareholding ratio is negatively correlated to its degree of absolute risk-aversion, and the investment institution amount of investment is negatively correlated to its degree of absolute risk-aversion. Ideally, the total return of the whole credit loan system is only related to enterprise's annual rate of return and credit level.â…¡. This dissertation takes incomplete contract mechanism as Scenario Two. Then we obtain the game equilibrium strategy of the tripartite under the benefit and risk balance based on the Nash game and Leader-follower game rules, respectively. This equilibrium solution is a single-period game equilibrium strategy under the incomplete information.The enterprise's actions such as insolvency or unwilling to pay the debt can lead to the investor loss of return. The game equilibrium solutions in the incomplete contract show that the enterprise's rate of debt is negatively correlated to the moral hazard and loan interest rate. The solutions mean that the enterprise may increase its moral hazard degree under some conditions.â…¢. This dissertation takes the multi-period time-varying feature of default risk as Scenario Three. We describe the variation of default probability using default intensity with CIR process. Then we construct the mutual-beneficial credit loan model in the tripartite player by the sensitivity analysis for corresponding parameters.We present the expected return of credit tripartite using certainty equivalence principle, and compute the discount value with default risk premium under the condition that it gradually changes. We obtain the game equilibrium solutions and analyse the sensitivities of corresponding parameters using the numerical simulation method. With the above, we find the effective strategy set of the credit tripartite under the condition that the risk gradually changes.â…£. This dissertation takes the mutation change feature of default risk affected by the macroeconomic system and the pro-cyclical assumption as Scenario Four. We describe the mutation feature of the default risk factor using the affine transformation and the jump diffusion model, and analyze the sensitivity of corresponding parameters. Then we construct the mutual-beneficial credit loan model of the tripartite players.We link the mutation fluctuation of the default risk to mutation characterstic of the macroeconomic factor using the affine transformation, construct the optimal expected utility model of credit loan tripartite player, and then obtain the Nash equilibrias. Then empirical analysis is done with macroeconomic indicators (GDP growth rates, forward exchange rate of RMB vs. U.S. dollar, the Shibor change rate in quarter.), and we estimate corresponding fluctuation parameters of unexpected change by jump identify non-parametric estimation. And then we construct the mutual-beneficial credit loan model with the unexpected change feature of default risk.â…¤. This dissertation takes the fact that many enterprises face a competitive environment applying credit loan resource in limited size as Scenario Five. We examine the equilibrium proportations accounted by different enterprises to the total resource, based on the Lotka-Voterra biological competition models and extended Copula tail correlation coefficient. Then we construct the mutual-beneficial credit loan model, and analyze the sensitivity of corresponding parameters.The limited size of the credit loan funds results in competition between borrowers, and influences the mutual-beneficial equilibrium decision. So we examine the equilibrium proportations accounted by different borrowers with Lotka-Voterra biological competition model, then construct the expected return utility model, and obtain the Mutual-beneficial equilibrium solution. We estimate influence factor parameter of Lotka-Voterra biological competition model by the constructed expectated value of Copula tail dependence coefficient and the condition tail correlation coefficient. Meanwhile, we do empirical analysis and sensitivity test on the corresponding parameters.