商业银行不良贷款处置时机抉择

商业银行对不良贷款的相机处置权可以看成一个实物期权,在不良资产处置回收率服从几何布朗运动及再投资回报服从扩散跳跃模型的假设下,运用随机动态规划技术,确定不良贷款等待处置期权价值满足的偏微分方程,并利用价值匹配和平滑粘贴条件确定方程的解析解。利用该解析解可以得到不良贷款的最优处置时机,以及不良贷款推迟处置的条件。

The Optimal Timing in Banks' Write-off Decisions

This paper employs a real option approach to get the value of the option in delaying write-offs non-performing loans（NPLs） in commercial banks.On the assumption that the callback rate of NPLs follows the geometric Bronian motion and that the reinvestment return follows jumpdiffusion model,the partial differential equation that the value keeps to is obtained through dynamic programming technique.And with the condition of value-matching and smooth-pasting,the solution of the equation is obtained.The optimal timing in banks’ writing off their NPLs is gained with the solution,together with the condition to put off disposal of NPLs.