Research On Credit Risk With Asymmetry Information And Its Spreading On Credit Chain

According to the definition given by C.E.Shannon, information is something that could be used to decrease uncertainty. Just for uncertainty brings about risks, it's natural to have an idea like that: could we review and solve the credit risk problems in the dimensionality of information? In fact, there were pioneers had made it. They brought forward valuable conclusions and efficient methods. Acknowledging their work, this paper has made a retrospection and reanalysis to the issues about credit risk based on Information Theory and Economics of Information. Here, credit risk, its traits, birth and transmission were systematically investigated and researched by two aspects: behaviors in credit dealings (micro) and credit correlations (macro). From the point of view of Asymmetry information and by the means of Game theory, this paper studied the reasons that caused credit risk and the representation of that risk. To be mentioned, bank credit as a typical credit business, is prevalent and has a wide and far-reaching effect, so bank credit is representative in relative credit studies. In succession to foregoing work, the next main part of this paper took bank centric credit chain as reference system for researching on risk spreading on credit chain, and explored risk transmission route and mode in the intricate credit network. Furthermore, the third-party effect and the situation of credit chain crashing down were taken into account in this paper.This paper divides into five chapters:In chapter 1, I briefly introduced Economics of Information and Theory of Asymmetry Information as theory foundation for subsequence and depicted concepts of credit and credit risk to set forth the subjects of research and their basic identities and attributes.In chapter2,1 set Principal-Agent theory as base point to analyze causes and representation of credit risk in the asymmetric information instances and measured credit risk via analyzing P&L of the Principal chiefly.In chapter3,1 analyzed option space and strength contrast of both bargaining sides in credit dealings by dint of Game Theory means and discussed qualification and properties of P&L balance status of both sides. For credit dealings are inter-term and more repeated, it's necessary to divide the process (loaning) to 2 phases: ex ante & ex post and introduce repeating game analysis to discuss repeating loanings.In chapter4, by seeing about complicated credit relations in society, I chose bank centric credit chain as the object of investigation and analyzed its structure, identity and risk spreading on it from its vertical and horizontal orientation. Then I added government as the third-party to study its effect on the chain and explained the rupture phenomenon of credit chain by Bank Run model.In Chapters, I gave an outline and summary of this paper and some suggestions, including the incompleteness and forwarding works in the future.