一、背景：TARP的提出和不良资产定价难题
本轮美国金融危机发端于次贷危机，至2008年9月份一个又一个大型金融机构倒闭或国有化将危机推向高潮。简单从问题资产价格变动的角度看危机的路径：当问题资产价格下跌时，根据市值计价原则（...一、背景：TARP的提出和不良资产定价难题
本轮美国金融危机发端于次贷危机，至2008年9月份一个又一个大型金融机构倒闭或国有化将危机推向高潮。简单从问题资产价格变动的角度看危机的路径：当问题资产价格下跌时，根据市值计价原则（Mark to Market），金融机构需要计提大量资产减记，核减资本金。为了满足资本充足率的要求，展开更多
Based on the analysis of the characteristics of AMC＇s non-performing asset auction, this paper puts forward a model of AMC＇s non-performing asset disposal with the Game Theory thinking, explored the Nash Equilibrium...Based on the analysis of the characteristics of AMC＇s non-performing asset auction, this paper puts forward a model of AMC＇s non-performing asset disposal with the Game Theory thinking, explored the Nash Equilibrium solution to the pricing model of AMC＇s non-performing asset auction, discussed the impact of the actual value of non-performing assets, auction disposal costs and other relevant elements on auction price, analyzed the pricing and decision-making mechanism of AMC＇s non-performing asset auction with Game Theory, and provided a theoretical guide for AMC to auction the non-performing assets in practice.展开更多
文摘一、背景：TARP的提出和不良资产定价难题
本轮美国金融危机发端于次贷危机，至2008年9月份一个又一个大型金融机构倒闭或国有化将危机推向高潮。简单从问题资产价格变动的角度看危机的路径：当问题资产价格下跌时，根据市值计价原则（Mark to Market），金融机构需要计提大量资产减记，核减资本金。为了满足资本充足率的要求，
基金This project is supported by National Natural Science Foundation of China （70873014）.
文摘Based on the analysis of the characteristics of AMC＇s non-performing asset auction, this paper puts forward a model of AMC＇s non-performing asset disposal with the Game Theory thinking, explored the Nash Equilibrium solution to the pricing model of AMC＇s non-performing asset auction, discussed the impact of the actual value of non-performing assets, auction disposal costs and other relevant elements on auction price, analyzed the pricing and decision-making mechanism of AMC＇s non-performing asset auction with Game Theory, and provided a theoretical guide for AMC to auction the non-performing assets in practice.
