Gambling Analysis And Dynamic Simulation On Credit Risk Of Commercial Bank

On the basis of game theory and statistical theory, this paper sets up signaling game andreputation model before and after the loan under asymmetric information conditions, analyzesfinitely and infinitely repeated game model and makes dynamic simulation.In the application stage, the bank corrects enterprise type by the information of enterprisecredit level. Separating equilibrium、confusion equilibrium and separate equilibrium are got byanalyzing dominant strategy of bank and enterprise theoretically. When markets are healthyenough, the increased regulation of bank will lead to the enterprise reduce color appropriately toor even withdraw from the market, then Banks will got the dominant and recessive revenues. Inthe repayment stage, when the cost of investment regulatory reaches a certain level, then thebank make the optimal benefits and whitewash ability of enterprise is proportional to the level ofcredit. At this point, intensify supervision of "bad" enterprise will get a better impression. Ininfinitely repeated game, the discount factor leading the equilibrium result, cold strategicequilibrium or Nash equilibrium can be realized. In limited times of repeated game, the optimalstrategy is associated with tights, rational enterprise more willing to establish long-termcooperation relations and emergencies also affect banks’ optimal decision.In the end, Matlab software is applied to simulate the stage of application and repaymentdramatically. In the paper,1000different credit level of sample enterprise are simulatedrandomly to enter the application game simulation system, the results show that the whitewashdegree of “good” enterprise is lower than the “bad” enterprise. And some decisive variables suchas bank regulation, credit standards, credit scale variables have influences on the expectationbenefits of enterprise and this influence’ s degree is inversely proportional to the level of credit.After entering the repayment game simulation system, when the minimum reimbursementproportion is0.7707, the banks will get0.041optimal payment unit and there are only sevenwhitewashing enterprise. With the analysis of simulation and theory, this paper proposes somesuggestion for banks and enterprises which as the subjects of the credit.