基于或有资本的新型信用担保体系与中小企业金融

Small and medium-sized enterprises (SMEs, henceforth) are the backbone of all economies but their availability of finance is always very limited, which has greatly hindered the development of SMEs. For this reason, it is common to construct credit guarantee system in all countries in the world. At the end of 2011, there are 4,439 credit guarantee institutions in China. However, in our country there exist two serious shortcomings in the current mechanism of credit guarantees. That is, the credit guarantee institutions are exposed to too much default risk and it depends completely on experiences instead of exact computations while guarantee contracts are signed. To this aim, we utilize asset pricing theory and the means of financial engineering to develop a new contingent capital, called contingent convertible security. We propose and argue a new contingent capital-based guarantee mechanism in order to solve financing problems faced by SMEs. We quantitatively devise guarantee contracts and provide their fair prices. Based on the new contracts, we develop new financing and investment theory for SMEs and discuss the optimal capital structure for credit guarantee institutions. We simulate the models numerically and present comparative and empirical analysis. After that, we provide advices on policy and investment. This research finds new problems and sets up new models from financial practices in our country. It belongs to a cutting-edge research academically and is obviously creative. The research has an important academic value in developing financing and investment theory for SMEs and also has a significant application value to solve the urgent practical problems of financing constrains on SMEs in China.

中小企业具有举足轻重的经济地位，但"融资难"长期困扰着中小企业的健康发展。对此，各国普遍做法是建立信用担保体系。截止2011年底，我国中小企业信用担保机构共有4439家。然而，我国现行信用担保体系存在"担保公司自身难保"和"担保契约设计完全依赖经验"的严重缺陷。鉴此，本项目运用资产定价理论和金融工程手段，开发设计一种新型或有资本-或有可转换证券；提出及论证"基于或有资本的新型信用担保体系"破解中小企业融资难问题的新举措；精确设计和公平定价担保契约；发展基于新型信用担保业务的中小企业融资和投资理论；给出信用担保公司的最优资本结构；对模型和理论进行数值仿真、比较和实证分析，给出政策和投资建议。这些研究从我国金融实践中提炼出新问题和新模型，在理论上属于学术前沿，具有突出的原创性，对于发展中小企业融资和投资理论具有重要的学术价值；在应用上对于破解我国中小企业融资难的紧迫现实问题具有显著的实际价值。

中小企业在国民经济中具有举足轻重的地位，但中小企业长期面临着融资难问题。对此，各国普遍做法是建立信用担保体系。根据世界银行的企业调查部门统计,通过担保获得的贷款占总贷款量的79%。截止2011年底，我国中小企业信用担保机构共有4439家。然而，我国现行信用担保体系存在“担保公司自身难保”和“担保契约设计完全依赖经验”的缺陷，学术界很少有基于担保的投融资理论，尤其是没有基于担保换股权、担保换期权的理论研究。本项目运用资产定价理论和金融工程手段，建立严谨的担保理论模型，给出担保契约下公司证券及担保成本的公平定价，包括担保费的科学计算、担保换取股权的合理比例、担保换取期权的公平数量；给出了宏观经济风险、投资者风险厌恶指数等因素对担保成本的精确影响；揭示了担保契约下借款人的投资行为和融资选择规律；精确测定了担保创新带来的社会福利；讨论了担保契约下投资者的激励行为，分析了资产替代效应和债务积压问题。这些针对商业性担保的理论研究为制定商业性担保契约提供了重要的理论参考。本项目研究成果得到国内外同行广泛肯定：在本项目资助下，项目负责人以第一作者身份发表论文38篇，其中SSCI收录论文15篇、另有5篇SCI收录。例如，题为“Optimal investment and financing with macroeconomic risk and loan guarantees”的论文是中国学者首次在信用风险权威杂志《Journal of Credit Risk》上发表的论文。该论文阐述了担保公司的意义和作用，尤其是该文精确地分析了宏观经济风险对担保契约设计和借款人的激励行为的影响。在《Macroeconomic Dynamics》上发表的论文通过严格的数理模型解释了为什么对于短期债务中国的担保费率约等于银行贷款利率的50%，同时论证了对于长期债务这一担保费率太小了。发表在EJOR的论文论证了担保换股权诱导了企业更高的杠杆率；担保换股权不仅能解决中小企业融资难问题，而且显著地提高了借款人的福利水平，其福利水平随着企业家的风险厌恶程度和非系统风险的增加而急剧上升。