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Autor
Paliński Andrzej (AGH University of Science and Technology, Poland)
Tytuł
Game-Theoretic Approach to Bank Loan Repayment
Źródło
Decision Making in Manufacturing and Services, 2015, vol. 9, nr 1, s. 79-88, bibliogr. 18 poz.
Słowa kluczowe
Teoria gier, Kredyt, Banki, Negocjacje, Umowa kredytowa
Game theory, Credit, Banks, Negotiations, Credit agreement
Uwagi
summ.
Abstrakt
This paper presents a model of bank-loan repayment as a signaling game with a set of discrete types of borrowers. The type of borrower is the return on an investment project. A possibility of renegotiation of the loan agreement leads to an equilibrium in which the borrower adjusts the repaid amount to the liquidation value of its assets (from the bank's point of view). In the equilibrium, there are numerous pooling equilibrium points, with values rising according to the expected liquidation value of the loan. The article additionally proposes a mechanism forcing the borrower to pay all of his return instead of the common liquidation value of subset of types of the borrower. The paper contains also a simple numerical example explaining this mechanism. (original abstract)
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Bibliografia
Pokaż
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  10. Gale, D., Hellwig, M., 1985. Incentive-compatible Debt Contracts. The One-Period Problem. The Review of Economics Studies, 52, pp. 647-663.
  11. Hart, O., Moore, J., 1994. A Theory of Debt Based on the Inalienability of Human Capital. The Quarterly Journal of Economics, 109(4), pp. 841-879.
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  13. Krasa, S., Villamil, A., 2000. Optimal Contracts when Enforcement is a Decision Variable. Econometrica, 68(1), pp. 119-134.
  14. Krasa, S., Sharma, T., Villamil A., 2005. Debt contracts and cooperative improvements. Journal of Mathematical Economics, 41, pp. 857-874.
  15. Lacker, J., 2001. Collateralized Debt as the Optimal Contract. Review of Economic Design, 4, pp. 842-859.
  16. Palinski, A., 2013. Loan Payment and Renegotiation: The Role of the Liquidation Value, SSRN Working Papers, URL http://ssrn.com/abstract=2325424.
  17. Petersen, M., Rajan, R., 1994. The benefits of lending relationships: Evidence from small business data. Journal of Finance, 49, pp. 3-37.
  18. Rajan, R., 1992. Insiders and outsiders. The choice between informed and arm's length debt. Journal of Finance, 47, pp. 1367-1400.
Cytowane przez
Pokaż
ISSN
2300-7087
Język
eng
URI / DOI
http://dx.doi.org/10.7494/dmms.v9i1.1671
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