无追索权抵押贷款违约后的最优处置时机探讨_陈金龙.pdfVIP

24 1 V o.l 24 N o. 1 2009 2 JOURNAL OF SYSTEM S ENG IN EER ING F eb. 2009 ¹ 陈金龙, 熊 涛 ( , 362021) 应用实物期权方法, 研究无追索权抵押贷款成为不良贷款后的最优处置时机. 当抵押贷款成为不良贷 款时, 银 拥有的等待处置机会可以看成一个实物期权, 利用随机动态规划方法, 可以确定该实物期权价值 和银 最优处置时机. 研究表明, 再投资回报率和不良贷款处置损失率是影响银 处置其不良贷款的主要因 素. 在动态环境下, 银 推迟处置其不良贷款是一种理性的表现. 政府要促进银 处置不良贷款, 可以通过适 当金融援助, 迅速改变不良贷款处置损失和再投资回报等途径来实现. ; ; ; F830. 9 A 1000 - 57 81( 2009) 0 1- 0084 - 05 Optimal tim ing in banks. write-off decision to the non-recourse mortgage loans in default CHEN Jin-long, XIONG ao ( Co llege of Bu siness A dm in istration, H uaqiao U nversity, Qu anzhou 362021, Ch ina) Abstract: Th is pap er m ainly stu dies the optmi al tmi ing o f banks. w riting-o ff decision to the non-re- course m ortgage loan s after they becom e non-perform ing loans w ith the approach of rea l opt ion. The d isposal opportun ity possessed by b ank to non-p erform ing loan s( NPL ) can be regarded as a rea l op- tion. By the w ay of stoch astic dynam ic programm ing, the value of the real option can be obta ined and the optmi a l w rite-off tmi ing can be determ ined. The resu lt show s th at re investm ent return and loss rate are the key factors to the disposal of the N PL. In the dynam ic setting, it is rational for b ank s to defer w rit ing-off the ir N PL. If governm ent w ou ld prom ote banks to w rite off the ir NPL, it can be realized