Bank Portfolio Management under Credit Market Imperfections
Bank Portfolio Management under Credit Market Imperfections
复制标题
信贷市场不完善下的银行组合管理
DOI：
10.4236/jmf.2019.93013
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发表时间：
2019
期刊：
影响因子：
--
通讯作者：
Indrajit Mallick
中科院分区：
文献类型：
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作者：
Indrajit Mallick
本文研究了银行监管下的银行投资组合管理、银行对借款人类型和筛选的信息不对称以及信贷市场的不完全竞争。银行试图在投资组合方差约束下最大化预期利润。分析得到如下结果：对于垄断银行，高效借款人的激励约束具有约束力，低效借款人的参与约束具有约束力。进一步，在方差约束约束下，最优投资组合将在效率边界上。本文还研究了侵略性银行（捕食者）和防御性银行（猎物）之间的双寡头竞争以及潜在合作的范围，并揭示了自然垄断、进入威慑、收购和通过合并或利益互换有效的投资组合多样化的替代方案，当任何一对相互作用的银行之间的投资组合收益负相关时，合作有效的投资组合分散策略将优于任何非合作策略，因为它减少了给定的利息和贷款组合的投资组合方差。
This paper examines bank portfolio management under banking regulation and asymmetric information about borrower types and screening by banks and imperfect competition in the credit market. A bank tries to maximize expected profit subject to a portfolio variance constraint. The analysis yields the following results: For a monopoly bank, the incentive constraint of the efficient type of borrowers will be binding and the participation constraint of the inefficient type of borrowers will be binding. Further, given the variance constraint being binding, the optimal portfolio will be on the efficiency frontier. The paper also examines duopoly competition between aggressive (predator) and defensive (prey) banks and the scope for potential cooperation and reveals that among the alternatives of natural monopoly, entry deterrence, takeovers and efficient portfolio diversification through mergers or interest swaps, the cooperative efficient portfolio diversification strategy will dominate any non-cooperative strategy whenever portfolio returns are negatively correlated between any pair of interacting banks as it reduces portfolio variance for a given package of interest and loans.