风险控制能力差异下的薪酬契约研究

道德风险和逆向选择问题是委托代理理论的研究重点,也是企业薪酬机制设计的核心。本文在道德风险和逆向选择同时存在的框架下,创新性地将利润风控能力作为能力差异的体现引入异质经理人,求解出单一契约和两种契约情况下薪酬契约的显式最优解,并对结果进行了数值模拟验证。本文与单一契约相比,两种契约情况下股东的期望收益较高,对低能力经理的激励降低,对高能力经理的激励上升,但高能力经理的效用由于受到契约的扭曲反而会下降。股东还可针对高能力经理设计单一契约,但当低能力经理所占的比例足够高时,设计两种契约将成为股东的最优选择。本文的研究结果可为私募基金等重视经理风控能力的行业提供薪酬契约设计方面的参考。

Optimal Contract Designing Based on Different Risk-Controlling Ability of Managers

Moral hazard and adverse selection, sometimes referred to hidden actions and hidden information, have always been the focus of principal-agent theory, and also the core problem in the design of corporate compensation contract. But most study described the hidden information from the perspectives of output and cost, which were not comprehensive enough.In this paper, the hidden information of the agent is described from the perspective of the ability to control over profit risk, and the optimal compensation contract design is also explored under a single contract situation and two contracts situation.and the explicit optimal solutions are solved. The results show that, compared with the case of a single contract, the agents with different abilities under the two contract conditions would achieve the separation equilibrium, and the shareholders get higher expect return. The incentive of the contract to the managers with low abilities would decrease, while the incentive to the managers with high abilities would increase, but the utility would be distorted and decrease. It is also found that shareholders could design a single contract for high ability managers, but this method could fail when the proportion of local ability managers is too high, and designing two contracts would become the optimal choice again.The research results are verified through numerical simulation, and the findings of this paper would be helpful to provide important reference of the compensation contracts designing for industries that attach importance to the risk controlling ability of managers, such as private equity funds.