华东经济管理
華東經濟管理
화동경제관리
East China Economic Management
2010年
4期
80~83
,共null页
存货质押贷款 甄别 抵押物 不对称信息
存貨質押貸款 甄彆 牴押物 不對稱信息
존화질압대관 견별 저압물 불대칭신식
inventory pledge loan; screening; collateral; asymmetric information
抵押贷款仅考虑借款人信用风险，存货质押贷款还应考虑质物价格风险。当银行时借款人事前违约概率具有不对称信息时，在DannyBen—shahar抵押贷款模型基础上，综合考虑借款人信用风险和质物价格风险，证明存在高风险借款人选择（高利率、高贷款价值比）合同，低风险借款人选择（低利率、低贷款价值比合同）的唯一分离均衡。
牴押貸款僅攷慮藉款人信用風險，存貨質押貸款還應攷慮質物價格風險。噹銀行時藉款人事前違約概率具有不對稱信息時，在DannyBen—shahar牴押貸款模型基礎上，綜閤攷慮藉款人信用風險和質物價格風險，證明存在高風險藉款人選擇（高利率、高貸款價值比）閤同，低風險藉款人選擇（低利率、低貸款價值比閤同）的唯一分離均衡。
저압대관부고필차관인신용풍험，존화질압대관환응고필질물개격풍험。당은행시차관인사전위약개솔구유불대칭신식시，재DannyBen—shahar저압대관모형기출상，종합고필차관인신용풍험화질물개격풍험，증명존재고풍험차관인선택（고리솔、고대관개치비）합동，저풍험차관인선택（저리솔、저대관개치비합동）적유일분리균형。
Researches on mortgage loan only taking account of borrower＇s credit risk, whereas inventory pledge loan should contain price risk of collateral. The mortgage loan model of Danny Ben-shahar is extended to containing both borrower＇s credit risk and price risk of collateral. With asymmetric information on borrower＇s ex ante default possibility, Creditor can screen on borrowers with interest rate and LTV ratio mechanism. We conclusion that a self-selection process is attained, where higher default risk type borrowers choose a inventory pledge loan contract with higher interest rate and higher LTV, whereas lower default risk type borrowers choose lower interest rate and lower LTV.
