담보의 차입자 가치와 대출계약에 관한 연구

• 영문명: A Study on Collateral Valuation of the Borrowers and Loan Contracts
• 발행기관: 한국무역연구원
• 저자명: 권세훈(Se-Hoon Kwon)
• 간행물 정보: 『무역연구』제15권 제1호, 459~471쪽, 전체 13쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2019.02.25

영문 초록

This study explains that the collateral valuation can be different among the borrowers and the efficiency of the bank loan contract could be improved by considering it. Lenders usually have asymmetric information about the borrower’s project which is financed by loan contracts. Bester (1985) argues that collateral can be alternative means to cope with problems of adverse selection or moral hazard, instead of credit rationing. We generalize the collateral valuation of the borrowers and show that more diverse separating equilibrium is possible. In the loan contracts, the expected collateral value is the product of two factors: the borrower’s default probability and the collateral value. Existing literature assumes that the lender’s valuation of the collateral is less than the borrower’s one. We take additional assumption that the collateral valuation is different between the firms due to the asset specificity which is independent of the firm’s default risk. Although the bank’s profits are not affected by the specificity of the collateral, the firms consider it when they select the loan contract menu. The implication is that the borrower’s characteristics can be used to separate the borrower’s risk types, even though they are independent of the default risks.

목차

Ⅰ. 서론

Ⅱ. 기업과 은행 간 대출계약 게임의 구성

Ⅲ. 대출계약 게임의 분리 균형

Ⅳ. 결론

키워드

Asset Specificity Collateral Credit Rationing Loan Contract Self Selection