基于博弈机制的信用衍生品监管分析

摘要

Credit derivatives are an important tool of risk management for commercial banks in credit risk transfer;however, it' s vulnerable to weaken supervision over loan review when commercial banks transfer credit risks, which may result in the formation of moral risk.By constructing complete information static game model between commer-cial banks and financial regulators, the paper made an analysis on the game equilibrium state between the regulation of financial regulators and the moral risk behavior of commercial banks, and the influential factors upon the state;proposing that it' s necessary for the regulatory authorities to enhance the punishment for moral hazard behavior of commercial banks, and reasonably adjust regulation frequency in line with the size of the excess return from the mor-al hazard behavior caused by the commercial banks.%信用衍生品是商业银行转移信用风险的重要风险管理工具,但在信用风险转移过程中易导致商业银行弱化贷款审查监督力度,形成道德风险. 通过构建商业银行与金融监管机构的完全信息静态博弈模型,分析金融监管机构的监管力度与商业银行道德风险行为间的博弈均衡状态以及影响该状态的因素,建议监管机构应加大对商业银行道德风险行为的惩罚力度,并视商业银行道德风险行为产生超额收益的大小合理调整其监管频次.