Abstract: The financing difficulty of small-and-medium-sized enterprises is the bottleneck of China’s sustainable economic development, and it is also a worldwide problem. Overcoming the financing difficulties of small-and-medium-sized enterprises and private enterprises plays an immeasurable role in the high-quality growth of China’smacro economy. In the face of high-risk small-and-medium-sized enterprise loans, how commercial banks sign credit derivatives contracts to alleviate their credit risk, and then achieve their maximum utility in supporting the financing of small-and-medium-sized enterprises and private enterprises, has become a key issue for commercial banks to support the financing of small-and-medium-sized enterprises.
This paper constructs a theoretical model, combines credit risk transfer tools with loan sales, and compares the utility differences of commercial banks with and without moral hazard. Based on this consideration, the main contribution of this paper is to combine credit risk transfer tools with loan sales, and compare the utility differences of commercial banks with and without moral hazard.
The theoretical model analysis shows that: (1)When there is no moral hazard, the loan sales market will ensure that commercial banks achieve the expected return of loans, and tend to use loan sales to transfer credit risk. When they sell loans combined with their overall asset quality, the pricing of the loan is independent of the state of the economy. This shows that if they can accurately evaluate the quality of their loans, they can accurately price the credit risk of loans and reduce the price uncertainty of selling loans. (2)In the presence of moral hazard, the loan sales market cannot fully hedge the credit risk of commercial banks. If commercial banks do not make efforts to manage credit risk, they will lose all the benefits of the loan. Because commercial banks do not make decisions based on the overall quality of assets when selling loans, they do not fully realize the transfer of credit risk and will also bear the credit risk of loans. (3)In the presence of moral hazard, for credit risk transfer tools, the asset management ability of the seller of credit risk mitigation tools is very important for commercial banks to successfully transfer credit risk, and the signing of credit risk mitigation contracts has the characteristics of state separation. Due to the seller’s moral hazard, when the seller observes the expected good signal, it has the incentive to effectively manage the assets, because at this time, the buyer’s payment probability to the seller increases, and the seller’s effective management of its own assets will obtain more benefits. Once the seller observes the signal of the expected recession, the incentive for it to make efforts to manage the assets will be reduced, because the income will be used to compensate the buyer’s credit risk loss, and then the moral hazard will be very significant. Commercial banks are exposed to credit risk because they are not paid by the seller.
In the future, it is necessary to explore how to design targeted financial risk management systems and policies for the moral hazard problems existing in the practice of credit derivatives in alleviating the credit risk of small-and-medium-sized enterprises, so as to give full play to the advantages of credit derivatives in managing credit risk and alleviate the financing difficulties of small-and-medium-sized enterprises.

Key words: credit risk mitigation, credit risk transfer, loan selling, medium-small enterprises financing

摘要： 在面临高风险的中小企业贷款时,商业银行如何签订信用衍生产品合约来缓解自身信用风险,进而在支持中小企业和民营企业融资时实现自身的最大效用,成为商业银行支持中小企业融资需要重点考虑的问题。本文将信用风险转移工具与贷款出售相结合,比较了存在道德风险与不存在道德风险情况下商业银行的效用差异。理论模型分析表明,当不存在道德风险时,贷款出售市场会保证商业银行实现贷款的期望收益;但监管成本的存在使得信用风险转移工具的使用效用低于贷款的预期收益,且合约支付没有呈现出状态分离特征,商业银行会倾向于使用贷款出售来转移信用风险。在存在道德风险时,贷款出售市场并没有完全对冲商业银行的信用风险;而对于信用风险转移工具而言,当信用风险缓释工具卖方资产管理能力非常强,且大于监管惩罚的期望值时,商业银行能够获得高于贷款预期收益的效用,信用风险转移工具是更优的选择。

关键词: 信用风险缓释, 信用风险转移, 贷款出售, 中小企业融资