Gambling Analysis On Credit Risk Of Commercial Banks And Incentive Contract's Design

The reason of credit risk for modern commercial banks is the asymmetry information. The movement of credit funds mainly involves commercial banks and enterprises, the enterprises are users of funds, and have sufficient information about the funds'actual use. Commercial banks could not timely,accurate,comprehensive grasp information, so there are mistakes in decision making which may lead to the loss of credit, as well as financial crisis buried in hidden dangers. Thus, how to explore solutions to credit risk from theory and practice, establish a reasonable way to the credit decision-making mechanism is one of China's urgent and important task.This paper firstly introduces the definition of credit risk,harm,research status simply, the knowledge of information economics and game theory,and use these knowledge to analyze the cause of adverse selection and moral hazard.The major work of this paper mainly study enterprise not to invest projects which is in accordance with the contract but to invest high-risk projects. The research about this issue limited to qualitative analysis in our country. In this paper, the model of dynamic game of incomplete information which is used to avoid moral hazard in insurance market is quoted to loan market. Based on game theory and quantitative analysis method, establishing the dynamic game of incomplete information model about the banks and enterprise. As the ceiling of lending rate is opened, the paper use linear programming methods , while optimizing the level of interest rates and penalties design incentive contract which encourage enterprise not to default and maximize the interests of the lender. The closed-form solution can be get.