Study On Management Of Credit Risk Of Commercial Bank Based On Game Theory

With the rapid growth of China's economy, the function and position of commercial banks in the modern economy living are increasingly prominent,and the commercial banks are urgent to need searching new methods to develop itself ,even the whole society. However, because of many factors, there has been accumulating a great deal of bad loan in China's financial system, which severely blocks the development of the financial industry. Among these factors, credit risk has been become the most important problem. So, how to enhance the management of loan risk of banking has many theoretic and practical meanings, and this is also the main content of my thesis.This thesis studies current station of the credit market, first of all, introduces the theory of asymmetry information and the game theory, and analyzes the credit behavior of the commercial bank. It indicates that there is lots of information asymmetry which result in the credit risk mainly. Secondly, it introduces the concept and category of credit risk, studies the diverse selection and moral hazard living in the market, and indicates asymmetry information makes distortion in credit market. Secondly, to meet the need of the thesis, we build a Signaling Games Model of imperfect information dynamic game; it answers perfect Bayesian Nash equilibrium and Separating Equilibrium and Hybrid Equilibrium, and studies two kinds of incentive Mechanisms to make the borrower return back the loan. Lastly, combining with the above analysis, we bring up some useful measures on the management of credit risk and custody to accelerate the progress of the commercial bank.