基于不完全信息的或有资本设计及其投融资分析

Introducing contingent capital in the Banks' capital structure has been explicitly proposed by Basel III to prevent and survive future financial crises. On the one hand, Chinese banks have firstly issued the write-down contingent capital since July 2013, and its scale has surged to over 1.3 trillion Yuan by the end of 2017. Among the total 282 financial institutions involved in issuing contingent capital, over 89 % are small and medium-sized commercial banks. On the other hand, what should not be ignored is that the asymmetric information and delayed information between equity holders and investors could distort banks’ policy decisions, risk bank capital, as well as reduce the efficiency of financial resources allocation. To shed more light on the information asymmetry and its impact on contingent capital, this project optimally designs contingent capital contracts under two aforementioned types of incomplete information. Based on equilibrium asset pricing theory, dynamic programming theory and perfect Bayesian equilibrium theory, this research further analyzes the adverse selection and the principal-agent problem related with incomplete information. Moreover, we provide insightful economic explanations and policy recommendations of insuring contingent capital based on our numerical simulations. Starting from solving interesting real-world problems, this research has built innovative models featuring the theory of investment and risk management of commercial banks with the aim of preventing and mitigating risks borne into the information asymmetry. No wonder this research complements the existing theory of finance and investment for banks but also has invaluable practical applications for the current financial reform in China as well.

为应对和预防金融危机，巴塞尔协议III明确提议在银行资本结构中引入或有资本。一方面，我国从2013年7月首次发行“中国版”或有资本-二级资本债，到2017年底其规模突破1.3万亿元。参与发行机构约282家，中小商业银行占比达89%；另一方面，银行、投资者与管理者之间存在不完全信息问题，诚然，这些不完全信息会扭曲银行金融决策，进而影响其资本安全与资源配置效率。鉴于此，本项目着重考虑信息不对称和信息滞后两类不完全信息，运用均衡定价理论、动态规划和精炼贝叶斯均衡方法，科学设计或有资本条款，发展基于不完全信息下的银行投融资理论，分析投资者的逆向选择和银行的委托代理问题；对模型进行数值仿真、比较，并给出经济解释和政策建议。本项目从我国金融实践中提炼出新问题继而构建新模型，在理论上对发展我国银行投融资理论具有较好的学术价值；在应用上对于我国目前金融改革中防范金融风险等现实问题具有一定参考意义。

信息滞后和信息不对称这类带有摩擦的市场是银行经营管理过程中所必须面对的，且直接影响银行风险管理和资产安全。或有资本是巴赛尔协议III中推崇解决金融机构系统性金融风险的 “有力武器”。为此，本项目基于这一背景框架，假设银行股东与外部投资者间存在不完全信息，通过建立信号传递博弈模型，给出分离均衡存在的单相交条件，研究或有资本对银行投融资决策、金融风险防范的影响，也从不完全信息角度来解释银行股东存在正的动机发行或有资本；进一步，考虑宏观经济周期不确定下或有资本作为CEO薪酬激励部分与企业风险承担问题，发现或有资本作为管理者薪酬激励较传统薪酬在抑制管理者冒险动机、降低委托代理成本方面均具有明显优势，合理设置或有资本条款可以降低甚至消除管理者冒险动机，使得银行在经济下行环境中更加稳健运营，从而使得整个经济更好地向繁荣时期平稳过渡。这些研究对防范化解系统性金融风险以及高管薪酬改革具有一定的理论价值和现实意义。