财务困境企业债务重组的博弈分析

1FinancialdistressInsolvencyMarinelaDaniela2002200120022003ST3(T0T1T2)T0BT1YT1IT2X1),0(∞∈X)(XF)(XfX0T10T1BY20YL=T1BYIBY+YBI−+T0T1T22T1IYT1BT2YI−YBIX−+XYBIX−+'BXBYBI−+'LYIdXXfBdXXXfZZ≥−−+∫∫∞)()(')(0(1)YBIZ−+≡(1)(1)(1)0−IX0)()'(0)()'(−=−−=∫∫∞∞dXXfBXdXXfBXRSHZZ30NPV1230)()(')(0≥−−−+=∫∫∞LYIdXXfBdXXXfRBHZZ1NPVRSHRBHRDHNPV(RSH)(RBH)()()()()()()()()()()()()ChenYehing,WestonJ.FandAltmanE.I”FinancialDistressandRestructuringModels”,FinancialManagement,Vol.24,No.2,Summerp5819952φH=φ0NPVL=φ0NPVH=φL=φ4(take-it-or-leave-it)T22L',GG',SSSSGLG'0,'5φH=φ2S11{}{}(SG)(0L){}(perfectNashequilibrium){}0NPVζζNPV450S’03(out-of-equilibriumpath)(subgameperfectNashequilibrium){}{}L=φ2S22{}{}(0L){}L=φS2D2S1(0,L)(S,G)D1LHN(0,L)(0,L)(S’,G’)(0,L)222S1SG0L0L0L32S2S’G’0L0L0L0NPV0NPV4(asymmetricinformation)T0TB1YT1T1T2)0(=RRX0R},{LH∈φ6H=φRX=L=φRX=1β0=Xβ−1H=φuL=φ[0,1]u−1u]1,0[~Uu0NPVH=φ0NPVL=φ0NPVH=φL=φH=φuL=φu−1233D1D2Nφ()0NPV)0(NPVuH=φT2GIRYGL−+≤≤IRYSG−+=+SL=φT2'LLIRYSL−+=+β''T'S1L)')(1()(')1('SIRYuSIRYuLuuGEA−−+−+−−+=−+=β65LER='S1(0,L)(S,G)S2D2D1(0,L)(0,L)31-LHN(S’,L’)(0,L)'''RAEE≥LLuuG≥−+')1()'()1('''SSRRSILGLLu−−−−+=−−≥ββ)'()1(''SSRRSIuK−−−−+=ββ'Kuu≥'Kuu⎟⎠⎞⎜⎝⎛≥−−=0'''SLGLGES7P{H=φ|}P{uL=φ|}'u−1ω'1ω−(poolingequilibrium){H()})'1(ω−u{L()})1('u−ω0NPV0NPV)'()1(')1(}{'''SSRSIRLGLGuuuPKK−−−−−=⎟⎠⎞⎜⎝⎛−−=−=≥=βω6)1(r−)1(r−8(1)(2)(3))1(r−)1(r−)1(r−4HLN'N)1(rr−)1(uu−{H=φ()}{L=φ()}0NPV0NPVC)1,(uu−RAEE≥SSRCSIRCLGCLGC−+−+−−+=−+−+=')1(''βωSSRCSRI−+−++−=−')1('1ββωSSRβCSSRβIω−+−+−+−=−')('121ruHP}|{)1(}|{urLP−=r011,0→−→rr0}|{→HP0}|{→LP01,1→−→rruHP→}|{uLP−→1}|{8Sharp(1990)70→r)(}{cfP=0)(∂∂ccf(S,G)8rr−1N’HL1-S’D(0,L)(0,L)HL1-SD(0,L)(0,L)(0,L-C)(S’,L’)(0,L)N(S,G)(0,L-C)(S’,L’)N’(0,L)4)1(r−20——4)1(r−200101,1→−→rruHP→}|{uLP−→1}|{200119992000456080TT9109[][1]ChenYehing,WestonJ.FandAltmanE.I1995:FinancialDistressandRestructuringModels,FinancialManagement,Vol.24,No.2,Summer,57-75[2]Diamond,D.,1991a:Monitoringandreputation:thechoicebetweenbankloansandpubliclyplaceddebtJournalofPoliticalEconomy99,689–721.[3]Gilson,S.C.,John,K.,Lang,W.W.,1990:Troubleddebtrestructurings:anempiricalstudyofprivatereorganizationoffirmsindefault,JournalofFinancialEconomics27,315–354.[4]Gilson,S.CandVetsuypents.M1993:CEOCompensationinFinanciallyDistressedFirms,JournalofFinance48:425-458[5]MarinelaE.andDaniela2002:DecentralizedCreditorLedCorporateRestructuringCrossCountryExperience,WorldBank[6]PierreM.B,1999:TheDynamicsofDefaultandDebtReorganization,ReviewofFinancialStudies,12,535-578.[7]Sharp,S.,1990,“AsymmetricInformation,BankLendingandImplicitContracts:AStylizedModelofCustomerRelationships,”JournalofFinance,45.1069-1087.[7]TitmansOT,1994:FinancialDistressandCorporatePerformance,JournalofFinance,volXLIX,1015-1040.[8]WruckKH,1990:Financialdistress,reorganization,andorganizationalefficiency,JournalofFinancialEconomics,Volume27,Issue2,October,419-444[9]ST20033[10]20028[11]20014DebtRestructuringofCorporationinFinancialDistressAGameTheoryAnalysisAbstract:Thispaperinvestigatethegameofcorporatedebtrestructuringbetweencompanyanditscreditor,iteducethatsymmetricinformationisthegreatobstacleofdebtrestructuring.InthedebtrestructuringofChineseSOEs,insidercontrolisveryserious,itincurmoreinefficientcontinuance,enhancethedominantroleofcommercialbankandinvestmentbank,revisethebankruptcylawandimproveshareholderstructurewillbehelpfultoovercomethisinefficiency.Keywords:financialdistressdebtrestructuringasymmetricinformationBayesianequilibrium