The Research Of Credit Risk In Commercial Bank Under Information Asymmetry

There are a lot of risks in commercial banking, but the credit risk is the most important one. In the information economics, credit risk can be classified as two types. One is the adverse selection which is a kind of ex ante action, the other is the moral hazard which is a kind of ex post action. Both of them derive from asymmetric information. The paper includes five parts as below: The first part is a general picture about the background, the classifications, the method of evaluating and the management of credit risk in commercial bank. Afterwards, the credit risk has been discussed from a new direction using game theory and information economics. The second part discusses the arising mechanism of adverse selection and moral hazard in the credit market by a model, and explains how the adverse selection happens which results in low efficiency in credit market. The third part constructs a model to analyze how to prevent moral hazard. In addition, this part discusses loan pricing from a new direction and gets a range of loan pricing. When I applied it with an example, the results tally with the present economy of China. The forth part presents more discussion about moral hazard. By using game theory, I build a monitoring model of preventing moral hazard and discuss the respective strategy of principal (bank) and agents (corporation) under different circumstances. The example shows the model is reliable. The last part is about the strategies for managing credit risk. I consider the credit rationing is an effective measure for preventing and decomposing the credit risk of commercial bank in present economy.