Ravnoteža na tržištu kredita u uvjetima asimetrično raspodijeljenih informacija

master's thesis

• Title (english): Equilibrium in the credit market in terms of asymmetrically distributed information
• Author: Gloria Lemac
• Mentor: Ilko Vrankić (mentor)
• Committee member: Ilko Vrankić (predsjednik povjerenstva)
• Committee member: Miljenko Huzak (član povjerenstva)
• Committee member: Snježana Lubura Strunjak (član povjerenstva)
• Committee member: Slaven Kožić (član povjerenstva)
• Granter: University of Zagreb; Faculty of Science; (Department of Mathematics); Zagreb
• Defense date and country: 2020-09-28, Croatia
• Scientific / art field, discipline and subdiscipline: NATURAL SCIENCES; Mathematics

Abstract

Ovim radom barem djelomice je objašnjen problem asimetrije informacija, teškoće s kojima se tržište kredita pogodeno ovom problematikom može susresti te je navedeno na koji način te iste probleme možemo minimizirati, a u nekim situacijama potpuno iskorijeniti, u svrhu poboljšanja kvalitete tržišta. Informacijski problemi na tržištu kredita poput negativne selekcije i moralnog hazarda usko su povezani s očekivanim povratima na bankarske kredite koji su samo djelomično monotone funkcije kamatne stope R. To može biti tako jer previsoke stope kredita mogu dovesti do povećanih stopa defaulta koje nadvladavaju rastuće očekivane povrate uzrokovane visokim stopama kredita. Dakle, glavna implikacija postojanja asimetričnih informacija je ta da funkcija ponude kredita može biti padajuća za visoke razine kamatnih stopa. Ako se potražnja za kreditom ponaša dobro, to jest kao silazna funkcija u odnosu na kamatnu stopu, može se dogoditi da pod odredenim tržišnim uvjetima ne postoji ravnoteža čišćenja tržišta, odnosno krivulja ponude i potražnje se ne presijecaju. To je dovelo do uvodenja alternativnog koncepta ravnoteže, ravnotežnog kreditnog racioniranja tamo gdje potražnja za kreditom premašuje ponudu. Nadalje, u radu se još proučavao Besterov model baziran na heterogenim klijentima i korištenju kolaterala kao sredstva za razvrstavanje različitih tipova dužnika od strane banke. Banka nudi za svaku vrstu zajmoprimca po jedan ugovor i shodno tome objašnjava se pojam ujedinjujuće i razdvajajuće ravnoteže. Uvodi se pojam klase ugovora o zajmu i pokazuje da se povećavanjem klase eliminira kreditno racioniranje.

Abstract (english)

This paper explains, at least in part, the problem of information asymmetry, the diffculties that the credit market affected by this problem may encounter and outlines how these problems can be minimized, and in some situations completely eliminated, to improve the quality of the market. Information problems in the credit market, such as negative selection and moral hazard are closely linked to the expected returns on bank loans, which are only partially monotonous functions of the interest rate R. This may be so because too high loan rates can lead to increased default rates that outweigh the rising expected returns that are caused by high loan rates. Thus, the main implication of the existence of asymmetric information is that the loan supply function may be decreasing for high interest rates. If the demand for credit behaves well, that is, as a decreasing function of the interest rate, it may happen that there is no equilibrium of market cleanliness under certain market conditions, i.e. the supply and demand curves do not intersect. This has led to the introduction of an alternative concept of equilibrium, equilibrium credit rationing where demand for credit exceeds supply. Furthermore, the paper also studies the Bester’s model based on heterogeneous clients and the use of collateral as a means of classifying different types of borrowers by the Bank. The Bank offers one contract for each type of borrower and the concept of pooling and separating equilibriums are explained accordingly. The concept of a loan agreement class is introduced and shows that increasing the class eliminates credit rationing.

• Keywords: problem asimetrije informacija; tržište kredita; kamatna stopa
• Keywords (english): problem of information asymmetry; the credit market; interest rate
• Language: croatian
• URN:NBN: urn:nbn:hr:217:198047
• Study programme: Title: Finance and Business Mathematics; Study programme type: university; Study level: graduate; Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2021-02-26 13:15:51